86 citations · 104 across the 11 of their papers we have counts for
7 papers · 1 filter
Alternative approach to derive q-potential measures of refracted spectrally Lévy processes
Jiang Zhou, Lan Wu
For a refracted Lévy process driven by a spectrally negative Lévy process, we use a different approach to derive expressions for its q-potential measures without killing. Unlike pr…
Occupation times of general Lévy processes
Lan Wu, Jiang Zhou, Shuang Yu
For an arbitrary Lévy process which is not a compound Poisson process, we are interested in its occupation times. We use a quite novel and useful approach to derive formulas fo…
A note on refracted Lévy processes without positive jumps
Jiang Zhou, Lan Wu
For a refracted spectrally negative Levy process, we find some new and fantastic formulas for its q-potential measures without killing. Unlike previous results, which are written i…
The distribution of refracted Lévy processes with jumps having rational Laplace transforms
Jiang Zhou, Lan Wu
We consider a refracted jump diffusion process having two-sided jumps with rational Laplace transforms. For such a process, by applying a straightforward but interesting approach,…
Occupation times of generalized Ornstein-Uhlenbeck processes with two-sided exponential jumps
Jiang Zhou, Lan Wu
For an Ornstein-Uhlenbeck process driven by a double exponential jump diffusion process, we obtain formulas for the joint Laplace transform of it and its occupation times. The appr…
Pricing variable annuities with multi-layer expense strategy
Jiang Zhou, Lan Wu
We study the problem of pricing variable annuities with a multi-layer expense strategy, under which the insurer charges fees from the policyholder's account only when the account v…
Occupation times of refracted Levy processes with jumps having rational Laplace transforms
Lan Wu, Jiang Zhou
We investigate a refracted Levy process driven by a jump diffusion process, whose jumps have rational Laplace transforms. For such a stochastic process, formulas for the Laplace tr…