5 papers · 2 filters
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…