English

On the Refracted-Reflected Spectrally Negative L\'evy Processes

Probability 2017-06-13 v2

Abstract

We study a combination of the refracted and reflected L\'evy processes. Given a spectrally negative L\'evy process and two boundaries, it is reflected at the lower boundary while, whenever it is above the upper boundary, a linear drift at a constant rate is subtracted from the increments of the process. Using the scale functions, we compute the resolvent measure, the Laplace transform of the occupation times as well as other fluctuation identities that will be useful in applied probability including insurance, queues, and inventory management.

Keywords

Cite

@article{arxiv.1511.06027,
  title  = {On the Refracted-Reflected Spectrally Negative L\'evy Processes},
  author = {José-Luis Pérez and Kazutoshi Yamazaki},
  journal= {arXiv preprint arXiv:1511.06027},
  year   = {2017}
}

Comments

28 pages, forthcoming in Stochastic Processes and their Applications

R2 v1 2026-06-22T11:49:00.381Z