On the refracted-reflected spectrally negative Levy processes

被引：9

作者：

Perez, Jose-Luis ^{[1
]}

Yamazaki, Kazutoshi ^{[2
]}

机构：

[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

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2018年 / 128卷 / 01期

关键词：

Levy processes; Fluctuation theory; Scale functions; Insurance risk; INSURANCE RISK PROCESSES; RUIN PROBABILITIES; DIVIDEND PROBLEM; DUAL MODEL; STRATEGIES;

D O I：

10.1016/j.spa.2017.03.024

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：

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.

引用

页码：306 / 331

页数：26

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