16 citations · 51 across the 8 of their papers we have counts for
8 papers
An excursion theoretic approach to Parisian ruin problem
Bo Li, Xiaowen Zhou
Applying excursion theory, we re-express several well studied fluctuation quantities associated to Parisian ruin problem for Lévy risk processes in terms of integrals with respect…
On the explosion of a class of continuous-state nonlinear branching processes
Bo Li, Xiaowen Zhou
In this paper, we consider a class of generalized continuous-state branching processes obtained by Lamperti type time changes of spectrally positive Lévy processes using different…
How long does the surplus stay close to its historical high?
Bo Li, Yun Hua, Xiaowen Zhou
In this paper we find the Laplace transforms of the weighted occupation times for a spectrally negative Lévy surplus process to spend below its running maximum up to the first exit…
Local times for spectrally negative Lévy processes
Bo Li, Xiaowen Zhou
For spectrally negative Lévy processes, adapting an approach from \cite{BoLi:sub1} we identify joint Laplace transforms involving local times evaluated at either the first passage…
On weighted occupation times for refracted spectrally negative Lévy processes
Bo Li, Xiaowen Zhou
For refracted spectrally negative Lévy processes, we identify expressions of several quantities related to Laplace transforms on their weighted occupation times until first exit ti…
Exit problems for general draw-down times of spectrally negative Lévy processes
Bo Li, Nhat Linh Vu, Xiaowen Zhou
For spectrally negative Lévy processes, we prove several fluctuation results involving a general draw-down time, which is a downward exit time from a dynamic level that depends on…
Occupation times of intervals until last passage times for spectrally negative Levy processes
Bo Li, Chunhao Cai
In this paper, we derive the joint Laplace transforms of occupation times until its last passage times as well as its positions. Motivated by Baurdoux [2], the last times before an…
Fluctuations of Omega-killed spectrally negative Lévy processes
Bo Li, Zbigniew Palmowski
In this paper we solve the exit problems for (reflected) spectrally negative Lévy processes, which are exponentially killed with a killing intensity dependent on the present state…