Fluctuation theory for level-dependent Lévy risk processes

DOI10.1016/j.spa.2019.03.006zbMath1448.60103arXiv1712.00050OpenAlexW2963668662MaRDI QIDQ2280031

Irmina Czarna, Tomasz Rolski, Kazutoshi Yamazaki, José Luis Pérez Garmendia

Publication date: 17 December 2019

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1712.00050

zbMATH Keywords

Lévy processfluctuation theoryVolterra equationrefracted Lévy processlevel-dependent Lévy processmulti-refracted Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Markov processes (60J99) Credit risk (91G40)

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