English

Approximation and duality problems of refracted processes

Probability 2018-06-15 v1

Abstract

For given two standard processes with no positive jumps, we construct, using the excursion theory, a Markov process whose positive and negative motions have the same law as the two processes. The resulting process is a generalization of Kyprianou--Loeffen's refracted L\'evy processes. We discuss approximation problem for our refracted processes coming from L\'evy processes by removing small jumps and taking the limit as the removal level tends to zero. We also discuss conditions for refracted processes to have dual processes.

Keywords

Cite

@article{arxiv.1806.05433,
  title  = {Approximation and duality problems of refracted processes},
  author = {Kei Noba},
  journal= {arXiv preprint arXiv:1806.05433},
  year   = {2018}
}

Comments

24 pages

R2 v1 2026-06-23T02:29:47.844Z