Alternative approach to derive q-potential measures of refracted spectrally Lévy processes

Jiang Zhou; Lan Wu

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arXiv · 1604.03636

Alternative approach to derive q-potential measures of refracted spectrally Lévy processes

Jiang Zhou·Lan Wu

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Abstract

For a refracted Lévy process driven by a spectrally negative Lévy process, we use a different approach to derive expressions for its q-potential measures without killing. Unlike previous methods whose derivations depend on scale functions which are defined only for spectrally negative Lévy processes, our approach is free of scale functions. This makes it possible to extend the result here to a quite general refracted Lévy process by applying the approach presented below.

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Jiang Zhou, Lan Wu. 2016-04-13. Alternative approach to derive q-potential measures of refracted spectrally Lévy processes. https://arxiv.org/abs/1604.03636

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