Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
8899316 | Journal of Mathematical Analysis and Applications | 2018 | 23 Pages |
Abstract
For refracted spectrally negative Lévy processes, we identify expressions for several quantities related to the Laplace transforms of their weighted occupation times until first exit times. Such quantities are expressed in terms of the unique solutions to integral equations involving weight functions and scale functions for the associated spectrally negative Lévy processes. Previous results on refracted Lévy processes are recovered.
Related Topics
Physical Sciences and Engineering
Mathematics
Analysis
Authors
Bo Li, Xiaowen Zhou,