On weighted occupation times for refracted spectrally negative Lévy processes

Abstract

For refracted spectrally negative Lévy processes, we identify expressions of several quantities related to Laplace transforms on their weighted occupation times until first exit times. Such quantities are expressed in terms of 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.

References in corpus (3)

• Fluctuations of Omega-killed spectrally negative Lévy processes
• Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view
• Occupation times of general Lévy processes

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