Fluctuations of Omega-killed level-dependent spectrally negative Lévy processes
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arXiv
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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2023
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| _version_ | 1866929749263122432 |
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| author | Palmowski, Zbigniew Şimşek, Meral Papaioannou, Apostolos D. |
| author_facet | Palmowski, Zbigniew Şimşek, Meral Papaioannou, Apostolos D. |
| contents | In this paper, we solve exit problems for a level-dependent Lévy process which is exponentially killed with a killing intensity that depends on the present state of the process. Moreover, we analyse the respective resolvents. All identities are given in terms of new generalisations of scale functions (counterparts of the scale function from the theory of Lévy processes), which are solutions of Volterra integral equations. Furthermore, we obtain similar results for the reflected level-dependent Lévy processes. The existence of the solution of the stochastic differential equation for reflected level-dependent Lévy processes is also discussed. Finally, to illustrate our result, the probability of bankruptcy is obtained for an insurance risk process. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2307_16721 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Fluctuations of Omega-killed level-dependent spectrally negative Lévy processes Palmowski, Zbigniew Şimşek, Meral Papaioannou, Apostolos D. Probability 60G51 G.3 In this paper, we solve exit problems for a level-dependent Lévy process which is exponentially killed with a killing intensity that depends on the present state of the process. Moreover, we analyse the respective resolvents. All identities are given in terms of new generalisations of scale functions (counterparts of the scale function from the theory of Lévy processes), which are solutions of Volterra integral equations. Furthermore, we obtain similar results for the reflected level-dependent Lévy processes. The existence of the solution of the stochastic differential equation for reflected level-dependent Lévy processes is also discussed. Finally, to illustrate our result, the probability of bankruptcy is obtained for an insurance risk process. |
| title | Fluctuations of Omega-killed level-dependent spectrally negative Lévy processes |
| topic | Probability 60G51 G.3 |
| url | https://arxiv.org/abs/2307.16721 |