Special, conjugate and complete scale functions for spectrally negative Lévy Following from recent developments in Hubalek and Kyprianou [28], the objective . Motivated by classical considerations from risk theory, we investigate boundary crossing problems for refracted Lévy processes. The latter is a Lévy process. The purpose of this article is to provide, with the help of a fluctuation identity, a generic link between a number of known identities for the first passage time and.
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Emilia Caballero and Juan Ruiz de Chavez.
Introduccion a los procesos de Markov lfvy positivos Introduction to the theory of positive self-similar Markov processes Spanish Course tought at the V Escuela leby verano de Probabilidad, September Kyprianou and Renming Song. A copy of this manuscript is available from the author upon request.
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Kyprianou , Loeffen : Refracted Lévy processes
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Mathematics > Probability
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