A Feynman–Kac-type formula for Lévy processes with discontinuous killing rates
نویسندگان
چکیده
منابع مشابه
Loss Rates for Lévy Processes with Two Reflecting Barriers
Let {Xt} be a Lévy process which is reflected at 0 andK > 0. The reflected process {V K t } is constructed as V K t = V K 0 +Xt+Lt −Lt where {Lt} and {Lt } are the local times at 0 and K, respectively. We consider the loss rate ` , defined by ` = EπKL1 , where EπK is the expectation under the stationary measure πK . The main result of the paper is the identification of ` in terms of πK and the ...
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2016
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s00780-016-0301-7