Occupation times of refracted double exponential jump diffusion processes

DOI10.1016/j.spl.2015.07.023zbMath1397.60111OpenAlexW980324465MaRDI QIDQ900561

N. E. Zubov

Publication date: 22 December 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2015.07.023

zbMATH Keywords

Laplace transformoccupation timestwo-sided exit problemrefracted Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Diffusion processes (60J60)

Related Items (3)

On weighted occupation times for refracted spectrally negative Lévy processes ⋮ First passage problems of refracted jump diffusion processes and their applications in valuing equity-linked death benefits ⋮ The distribution of refracted Lévy processes with jumps having rational Laplace transforms

Cites Work

• Occupation times of refracted Lévy processes
• Pricing double-barrier options under a flexible jump diffusion model
• Refracted Lévy processes
• On first passage times of a hyper-exponential jump diffusion process
• The time of deducting fees for variable annuities under the state-dependent fee structure
• First passage times of a jump diffusion process
• On the time spent in the red by a refracted L\'evy risk process

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