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

Palmowski Z., Şimşek M., Papaioannou A. D.

STOCHASTIC PROCESSES AND THEIR APPLICATIONS, vol.185, pp.0-17, 2025 (SCI-Expanded)

  • Publication Type: Article / Article
  • Volume: 185
  • Publication Date: 2025
  • Doi Number: 10.1016/j.spa.2025.104617
  • Journal Name: STOCHASTIC PROCESSES AND THEIR APPLICATIONS
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus, Academic Search Premier, CAB Abstracts, Compendex, MathSciNet, zbMATH
  • Page Numbers: pp.0-17
  • Middle East Technical University Affiliated: Yes

Abstract

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.