First passage upwards for state dependent-killed spectrally negative L\'evy processes

TL;DR

This paper investigates the probability of a spectrally negative Lévy process, killed at a position-dependent rate, crossing an upper boundary, providing new insights into first passage times for such processes and related models.

Contribution

It introduces a novel analysis of first passage probabilities for position-dependent killed spectrally negative Lévy processes, linking to time-changed processes and self-similar Markov processes.

Findings

Derived explicit formulas for upward passage probabilities.

Connected results to first passage times of self-similar Markov processes.

Enhanced understanding of killed Lévy processes with state-dependent rates.

Abstract

For a spectrally negative L\'evy process (snLp) $X$, killed according to a rate that is a function $\omega$ of its position, we analyse the exit probability of the one-sided upwards-passage problem. When $\omega$ is strictly positive, this problem is related to the determination of the Laplace transform of the first passage time upwards for $X$ that has been time-changed by the inverse of the additive functional $\int_0^\cdot \omega(X_u)du$. In particular our findings thus shed extra light on related results concerning first passage times upwards (downwards) of spectrally negative positive self-similar Markov processes (continuous state branching processes).