On weighted occupation times for refracted spectrally negative Levy processes
On weighted occupation times for refracted spectrally negative Levy processes
复制标题
关于折射光谱负 Levy 过程的加权占据时间
DOI：
10.1016/j.jmaa.2018.05.077
复制
发表时间：
2018
影响因子：
1.3
通讯作者：
Zhou Xiaowen
中科院分区：
文献类型：
--
作者：
Li Bo;Zhou Xiaowen
对于折射谱负Lévy过程，我们确定了几个量的表达式相关的拉普拉斯变换的加权占用时间，直到第一个出口时间。这样的数量表示的唯一解决方案的积分方程，涉及权函数和尺度函数的相关谱负Lévy过程。恢复了以前关于折射Lévy过程的结果。
For refracted spectrally negative Lévy processes, we identify expressions for several quantities related to the Laplace transforms of their weighted occupation times until first exit times. Such quantities are expressed in terms of the unique solutions to integral equations involving weight functions and scale functions for the associated spectrally negative Lévy processes. Previous results on refracted Lévy processes are recovered.