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On weighted occupation times for refracted spectrally negative L\'evy processes

Authors :
Li, Bo
Zhou, Xiaowen
Source :
Journal of Mathematical Analysis and Application(2018)
Publication Year :
2017

Abstract

For refracted spectrally negative L\'evy processes, we identify expressions of several quantities related to Laplace transforms on their weighted occupation times until first exit times. Such quantities are expressed in terms of unique solutions to integral equations involving weight functions and scale functions for the associated spectrally negative L\'evy processes. Previous results on refracted L\'evy processes are recovered.

Subjects

Subjects :
Mathematics - Probability

Details

Database :
arXiv
Journal :
Journal of Mathematical Analysis and Application(2018)
Publication Type :
Report
Accession number :
edsarx.1703.05952
Document Type :
Working Paper
Full Text :
https://doi.org/10.1016/j.jmaa.2018.05.077