DATE : Le vendredi 23 janvier 2009
CONFERENCIER : Andreas Kyprianou (The University of Bath)
TITRE : Refracted Levy Processes
LIEU : Concordia University, LB-921.04, Library Bldg., 1400 de Maisonneuve West
HEURE : 15 h 30
We discuss solutions to a very elementary, but none the less degenerate, SDE which describes the aggregate path of a Levy process when is perturbed by a linear drift every time it spends time above a fixed level. Despite the simple nature of the SDE, some work is required to establish existence and uniqueness of a solution. This problem is put in context by an application in insurance mathematics.