General Draw-Down Times for Refracted Spectrally Negative Levy Processes

被引：0
|
作者：
Huang, Xuan [1 ]
Zhou, Jieming [1 ,2 ]
机构：
[1] Hunan Normal Univ, Sch Math & Stat, MOE LCSM, Changsha 410081, Hunan, Peoples R China
[2] Hunan Normal Univ, Coll Hunan Prov, Sch Math & Stat, Key Lab Appl Stat & Data Sci, Changsha 410081, Hunan, Peoples R China
来源：
METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY | 2022年 / 24卷 / 02期
关键词：
Refracted spectrally negative Levy processes; Draw-down time; Exit problems; Potential measure; OCCUPATION TIMES; LAPLACE TRANSFORMS;
D O I：
10.1007/s11009-022-09933-6
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, we prove several results involving a general draw-down time from the running maximum for refracted spectrally negative Levy processes. Using an approximation method, which is excursion theory at its heart, we find expressions for the Laplace transforms for the two-sided exit problems which are related to the draw-down time and an expression for the associated potential measure. The results are expressed in terms of scale functions.
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页码：875 / 891
页数：17
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