Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7550511 | Stochastic Processes and their Applications | 2018 | 26 Pages |
Abstract
We study a combination of the refracted and reflected Lévy processes. Given a spectrally negative Lévy process and two boundaries, it is reflected at the lower boundary while, whenever it is above the upper boundary, a linear drift at a constant rate is subtracted from the increments of the process. Using the scale functions, we compute the resolvent measure, the Laplace transform of the occupation times as well as other fluctuation identities that will be useful in applied probability including insurance, queues, and inventory management.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
José-Luis Pérez, Kazutoshi Yamazaki,