Optimal Control with Absolutely Continuous Strategies for Spectrally Negative Lévy Processes [PDF]
Journal of Applied Probability, 2010 In the last few years there has been renewed interest in the classical control problem of de Finetti (1957) for the case where the underlying source of randomness is a spectrally negative Lévy process.
A. Kyprianou +2 more
semanticscholar +1 more source
Power identities for Lévy risk models under taxation and capital injections
Stochastic Systems, 2014 In this paper we study a spectrally negative Lévy process which is refracted at its running maximum and at the same time reflected from below at a certain level. Such a process can for instance be used to model an insurance surplus process subject to tax
Hansjörg Albrecher, Jevgenijs Ivanovs
doaj +1 more source
Ray Knight theorems for spectrally negative Lévy processes [PDF]
Electronic Journal of Probability, 2023 In this paper, we study the law of the local time processes $(L_T^x(X),x\in \mathbb{R})$ associated to a spectrally negative L\'evy process $X$, in the cases $T=\tau_a^+$, the first passage time of $X$ above $a>0$ and $T=\tau(c)$, the first time it ...
J. Contreras, V. Rivero
semanticscholar +1 more source
Asymptotic behavior of local times of compound Poisson processes with drift in the infinite variance case [PDF]
, 2012 Consider compound Poisson processes with negative drift and no negative jumps, which converge to some spectrally positive L\'evy process with non-zero L\'evy measure.
Lambert, Amaury, Simatos, Florian
core +3 more sources
On the last exit times for spectrally negative Lévy processes [PDF]
Journal of Applied Probability, 2016 Using a new approach, for spectrally negative Lévy processes we find joint Laplace transforms involving the last exit time (from a semiinfinite interval), the value of the process at the last exit time, and the associated occupation time, which ...
Yingqiu Li, C. Yin, Xiaowen Zhou
semanticscholar +1 more source
Building Molecules by a Self‐Replicator That Catalyzes Acyl Hydrazone Formation
Angewandte Chemie, EarlyView.A self‐replicator efficiently catalyzes the formation of acyl hydrazone bonds between a set of different substrates. In addition to previously reported (bond‐breaking) catalytic activity, this renders the self‐replicator highly promiscuous, which is a good starting point for Darwinian experiments en route to de‐novo life.
Kayleigh S. van Esterik +2 more
wiley +2 more sources
The hitting time of zero for a stable process [PDF]
, 2014 For any two-sided jumping $\alpha$-stable process, where $1 < \alpha < 2$, we find an explicit identity for the law of the first hitting time of the origin. This complements existing work in the symmetric case and the spectrally one-sided case; cf.
Kuznetsov, Alexey +3 more
core +3 more sources
Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory [PDF]
, 2011 We consider the spectrally negative Lévy processes and determine the joint laws for the quantities such as the first and last passage times over a fixed level, the overshoots and undershoots at first passage, the minimum, the maximum, and the duration of
C. Yin, K. Yuen
semanticscholar +1 more source
A first passage time problem for spectrally positive Lévy processes and its application to a dynamic priority queue [PDF]
, 2013 We study a first passage time problem for a class of spectrally positive Lévy processes. By considering the special case where the Lévy process is a compound Poisson process with negative drift, we obtain the Laplace–Stieltjes transform of the steady ...
Balcioglu, Ahmet Baris +2 more
core +1 more source
Optimality of doubly reflected Lévy processes in singular control [PDF]
, 2015 We consider a class of two-sided singular control problems. A controller either increases or decreases a given spectrally negative Lévy process so as to minimize the total costs comprising of the running and controlling costs where the latter is ...
Baurdoux, Erik J., Yamazaki, Kazutoshi
core +1 more source