Occupation Times of Refracted Lévy Processes
By Andreas E. Kyprianou, Juan Carlos Pardo, José-Luis Pérez. Journal of theoretical probability, 2012
46 citations recorded by the source corpus.
A refracted Lévy process is a Lévy process whose dynamics change by subtracting off a fixed linear drift (of suitable size) whenever the aggregate process is above a pre-specified level. More precisely, whenever it exists, a refracted Lévy process is described by the unique strong solution to the stochastic differential equation dUt=−δ1{Ut>b}dt+dXt,t≥0\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$\begin{aligned} {\mathrm{d}}U_t=-\delta \mathbf 1 _{\{U_t>b\}}{\mathrm{d}}t +{\mathrm{d}}X_t,\quad t\ge 0 \end{aligned}$$\end{document}where X=(Xt,t≥0)\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$X=(X_t, t\ge 0)$$\end{document} is a Lévy process with law P\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$\mathbb{P }$$\end{document} and b,δ∈R\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$b,\delta \in \mathbb{R }$$\end{document} such that the resulting process U\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$U$$\end{document} may visit the half line (b,∞)\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$(b,\infty )$$\end{document} with positive probability. In this paper, we consider the case that X\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$X$$\end{document} is spectrally negative and establish a number of identities for the following functionals ∫0∞1{Ut<b}dt,∫0κc+1{Ut<b}dt,∫0κa−1{Ut<b}dt,∫0κc+∧κa−1{Ut<b}dt,\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$\begin{aligned} \int \limits _0^\infty \mathbf 1 _{\{U_t<b\}}{\mathrm{d}}t, \quad \int \limits _0^{\kappa _c^+}\mathbf 1 _{\{U_t<b\}}{\mathrm{d}}t, \quad \int \limits _0^{\kappa ^-_a}\mathbf 1 _{\{U_t<b\}}{\mathrm{d}}t, \quad \int \limits _0^{\kappa _c^+\wedge \kappa ^-_a}\mathbf 1 _{\{U_t<b\}}{\mathrm{d}}t, \end{aligned}$$\end{document}where κc+=inf{t≥0:Ut>c}\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$\kappa ^+_c=\inf \{t\ge 0: U_t> c\}$$\end{document} and κa−=inf{t≥0:Ut<a}\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$\kappa ^-_a=\inf \{t\ge 0: U_t< a\}$$\end{document} for a<b<c\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$a<b<c$$\end{document}. Our identities extend recent results of Landriault et al. (Stoch Process Appl 121:2629–2641, 2011) and bear relevance to Parisian-type financial instruments and insurance scenarios.
Subfields: Finance, Management Science and Operations Research, Mathematical Physics
View Paper: https://www.semanticscholar.org/paper/db631674d48add4e2beb38fb31df18cd45c95e4f
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Citations in the corpus
- The Joint Laplace Transforms for Diffusion Occupation Times (2013, background): “More recently, Laplace transforms have also been obtained for occupation times of processes with jumps; see [7], [9], [14], [15], [17], [23], and [24] for results along this line and their applications in risk theory and finance.”