کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
8954740 1646042 2018 27 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Fluctuations of Omega-killed spectrally negative Lévy processes
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Fluctuations of Omega-killed spectrally negative Lévy processes
چکیده انگلیسی
In this paper we solve the exit problems for (reflected) spectrally negative Lévy processes, which are exponentially killed with a killing intensity dependent on the present state of the process and analyze respective resolvents. All identities are given in terms of new generalizations of scale functions. For the particular cases ω(x)=q and ω(x)=q1(a,b)(x), we obtain results for the classical exit problems and the Laplace transforms of the occupation times in a given interval, until first passage times, respectively. Our results can also be applied to find the bankruptcy probability in the so-called Omega model, where bankruptcy occurs at rate ω(x) when the Lévy surplus process is at level x<0. Finally, we apply these results to obtain some exit identities for spectrally positive self-similar Markov processes. The main method throughout all the proofs relies on the classical fluctuation identities for Lévy processes, the Markov property and some basic properties of a Poisson process.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 128, Issue 10, October 2018, Pages 3273-3299
نویسندگان
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