15/10/2025, 17:00 — 18:00 — Online
José Luis Pérez Garmendia, Centro de Investigación en Matemáticas, México
Fluctuation theory for spectrally negative Lévy processes killed by an additive functional and applications to the penalization problem
In this talk we solve the exit problems for spectrally negative Lévy processes, which are exponentially killed with a killing intensity dependent on an additive functional of the Lévy process. Additionally, we study their associated resolvents. All identities are given in terms of new generalizations of scale functions. Our results generalize those for omega-killed spectrally negative processes obtained by Palmowski and Li. Finally, we apply these results to derive penalization results for spectrally negative Lévy processes with clocks driven by additive functionals. This is joint work with Kei Noba, Kouji Yano, and Kohki Ibba.
