On the refracted-reflected spectrally negative Levy processes

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:128

Article

Perez, Jose-Luis¹  Yamazaki, Kazutoshi² 

[1] Ctr Invest Matemat AC, Dept Probabil & Stat, Calle Jalisco S-N, Guanajuato 36240, Mexico

[2] Kansai Univ, Fac Engn Sci, Dept Math, 3-3-35 Yamate Cho, Suita, Osaka 5648680, Japan

关键词: Levy processes;    Fluctuation theory;    Scale functions;    Insurance risk;   

DOI  :  10.1016/j.spa.2017.03.024

来源: Elsevier

【 摘 要 】

We study a combination of the refracted and reflected Levy processes. Given a spectrally negative Levy 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. (C) 2017 Elsevier B.V. All rights reserved.

【 授权许可】

Free