Fluctuations of Omega-killed level-dependent spectrally negative Lévy processes

Date

2025-03-01

Author

Palmowski, Zbigniew
Şimşek, Meral
Papaioannou, Apostolos D.

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In this paper, we solve exit problems for a level-dependent Lévy process which is exponentially killed with a killing intensity that depends on the present state of the process. Moreover, we analyse the respective resolvents. All identities are given in terms of new generalisations of scale functions (counterparts of the scale function from the theory of Lévy processes), which are solutions of Volterra integral equations. Furthermore, we obtain similar results for the reflected level-dependent Lévy processes. The existence of the solution of the stochastic differential equation for reflected level-dependent Lévy processes is also discussed. Finally, to illustrate our result, the probability of bankruptcy is obtained for an insurance risk process.

URI

https://hdl.handle.net/11511/113991

Journal

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

DOI

https://doi.org/10.1016/j.spa.2025.104617

Collections

Graduate School of Applied Mathematics, Article

Citation Formats

Z. Palmowski, M. Şimşek, and A. D. Papaioannou, “Fluctuations of Omega-killed level-dependent spectrally negative Lévy processes,” STOCHASTIC PROCESSES AND THEIR APPLICATIONS, vol. 185, pp. 0–17, 2025, Accessed: 00, 2025. [Online]. Available: https://hdl.handle.net/11511/113991.