Smoothness of continuous state branching with immigration semigroups

Autor: Marie Chazal, Pierre Patie, Ronnie Loeffen

Publikováno v: JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS
Chazal, M, Loeffen, R & Patie, P 2018, ' Smoothness of continuous state branching with immigration semigroups ', Journal of Mathematical Analysis and Applications, vol. 459, no. 2, pp. 619-660 . https://doi.org/10.1016/j.jmaa.2017.10.071

In this work we develop an original and thorough analysis of the (non)-smoothness properties of the semigroups, and their heat kernels, associated to a large class of continuous state branching processes with immigration. Our approach is based on an

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2e46cf971f658f22b3b3a1307330715d
https://doi.org/10.1016/j.jmaa.2017.10.071

Extinction time of non-Markovian self-similar processes, persistence, annihilation of jumps and the Fréchet distribution

Autor: Mladen Savov, Pierre Patie, Ronnie Loeffen

Publikováno v: Loeffen, R, Patie, P & Savov, M 2019, ' Extinction time of non-Markovian self-similar processes, persistence, annihilation of jumps and the Fréchet distribution ', Journal of Statistical Physics . https://doi.org/10.1007/s10955-019-02279-3
no.

We start by providing an explicit characterization and analytical properties, including the persistence phenomena, of the distribution of the extinction time $$\mathbb {T}$$ of a class of non-Markovian self-similar stochastic processes with two-sided

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::73f9aa4bf9c2965d68c54c33337ba528
https://doi.org/10.1007/s10955-019-02279-3

Occupation times of intervals until first passage times for spectrally negative Lévy processes

Autor: Ronnie Loeffen, Xiaowen Zhou, Jean-François Renaud

Publikováno v: Stochastic Processes and their Applications. 124:1408-1435

In this paper, we identify Laplace transforms of occupation times of intervals until first passage times for spectrally negative Levy processes. New analytical identities for scale functions are derived and therefore the results are explicitly stated

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3f8794d7d92d8a46f5bfedd1c717e25f
https://doi.org/10.1016/j.spa.2013.11.005

Parisian ruin probability for spectrally negative L\'{e}vy processes

Autor: Ronnie Loeffen, Zbigniew Palmowski, Irmina Czarna

Publikováno v: Bernoulli 19, no. 2 (2013), 599-609
Loeffen, R L, Czarna, I & Palmowski, Z 2012, ' Parisian ruin probability for spectrally negative Lévy processes ' Bernoulli .

In this note we give, for a spectrally negative Levy process, a compact formula for the Parisian ruin probability, which is defined by the probability that the process exhibits an excursion below zero, with a length that exceeds a certain fixed perio

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::665f9cf20ee3e30d562e4e3a5388ca59
http://arxiv.org/abs/1102.4055

Refracted Lévy processes

Autor: Ronnie Loeffen, Andreas E. Kyprianou

Publikováno v: Ann. Inst. H. Poincaré Probab. Statist. 46, no. 1 (2010), 24-44
Kyprianousupasup, A E & Loeffen, R L 2010, ' Refracted Lévy processes ', Annales de l'institut Henri Poincare (B) Probability and Statistics, vol. 46, no. 1, pp. 24-44 . https://doi.org/10.1214/08-AIHP307

Motivated by classical considerations from risk theory, we investigate boundary crossing problems for refracted L\'evy processes. The latter is a L\'evy process whose dynamics change by subtracting off a fixed linear drift (of suitable size) whenever

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bd522f89ac9fa58c44ef1dbe675b7a3f
https://doi.org/10.1214/08-aihp307