Lévy Processes, Phase-Type Distributions, and Martingales (Q2937469): Difference between revisions

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+Soren Asmussen
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+MaRDI publication profile
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+https://doi.org/10.1080/15326349.2014.958424
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+W1991461165
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@@ Property / cites work @@
+Numerical Inversion of Laplace Transforms of Probability Distributions
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+Lévy Processes and Stochastic Calculus
@@ Property / cites work: Lévy Processes and Stochastic Calculus / rank @@
+Normal rank
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+Applied Probability and Queues
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+Russian and American put options under exponential phase-type Lévy models.
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+A multi-dimensional martingale for Markov additive processes and its applications
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+On optional stopping of some exponential martingales for Lévy processes with or without reflection.
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+Loss Rates for Lévy Processes with Two Reflecting Barriers
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+Approximations of small jumps of Lévy processes with a view towards simulation
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+American Options in Regime-Switching Models
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+First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type
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+Occupation Times for Markov-Modulated Brownian Motion
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+Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model
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+An ODE approach for the expected discounted penalty at ruin in jump-diffusion model
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+Financial Modelling with Jump Processes
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+Martingales and insurance risk
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+First Passage of a Markov Additive Process and Generalized Jordan Chains
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+Phase-type Fitting of scale functions for spectrally negative Lévy processes
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+Explicit solutions of the exit problem for a class of Lévy processes; applications to the pricing of double-barrier options
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+On the First Passage time for Brownian Motion Subordinated by a Lévy Process
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+Singularities of the matrix exponent of a Markov additive process with one-sided jumps
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+Occupation densities in solving exit problems for Markov additive processes and their reflections
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+Martingales and the distribution of the time to ruin.
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+The time to ruin for a class of Markov additive risk process with two-sided jumps
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+Exit times for a class of random walks exact distribution results
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+On perpetual American put valuation and first-passage in a regime-switching model with jumps
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+Useful Martingales for Stochastic Storage Processes with Lévy-Type Input
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+Useful martingales for stochastic storage processes with Lévy input
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+Introductory lectures on fluctuations of Lévy processes with applications.
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+On the distribution of exponential functionals for Lévy processes with jumps of rational transform
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+On the Wiener-Hopf factorization for Lévy processes with bounded positive jumps
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+The Theory of Scale Functions for Spectrally Negative Lévy Processes
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+Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
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+Ruin probabilities for a risk model with two classes of claims
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+Q4662396
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+On the exact asymptotics of the busy period in GI/G/1 queues
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+On Maxima and Ladder Processes for a Dense Class of Lévy Process
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+On Optimal Stopping Problems for Matrix-Exponential Jump-Diffusion Processes
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+The Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times
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