Markov chain approximations to scale functions of Lévy processes (Q492961): Difference between revisions

@@ Property / author @@
-S. D. Jacka
@@ Property / author: S. D. Jacka / rank @@
-Normal rank
@@ Property / author @@
+S. D. Jacka
@@ Property / author: S. D. Jacka / rank @@
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+G51
@@ Property / Mathematics Subject Classification ID: 60G51 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+J25
@@ Property / Mathematics Subject Classification ID: 60J25 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+C99
@@ Property / Mathematics Subject Classification ID: 65C99 / rank @@
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@@ Property / zbMATH DE Number @@
+6474647
@@ Property / zbMATH DE Number: 6474647 / rank @@
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@@ Property / zbMATH Keywords @@
+spectrally negative Lévy processes
@@ Property / zbMATH Keywords: spectrally negative Lévy processes / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+continuous-time Markov chains
@@ Property / zbMATH Keywords: continuous-time Markov chains / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+scale functions
@@ Property / zbMATH Keywords: scale functions / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+approximation algorithm
@@ Property / zbMATH Keywords: approximation algorithm / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+convergence rates
@@ Property / zbMATH Keywords: convergence rates / rank @@
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+Matlab
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@@ Property / arXiv ID: 1310.1737 / rank @@
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@@ Property / cites work @@
+A Unified Framework for Numerically Inverting Laplace Transforms
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+On the efficient evaluation of ruin probabilities for completely monotone claim distributions
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+Q3560912
@@ Property / cites work: Q3560912 / rank @@
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@@ Property / cites work @@
+Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
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@@ Property / cites work @@
+Q4888858
@@ Property / cites work: Q4888858 / rank @@
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@@ Property / cites work @@
+A basic course in probability theory
@@ Property / cites work: A basic course in probability theory / rank @@
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+A note on scale functions and the time value of ruin for Lévy insurance risk processes
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+Continuous branching processes and spectral positivity
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+Collocation Methods for Volterra Integral and Related Functional Differential Equations
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+Recursive calculation of finite time ruin probabilities under interest force.
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+Smoothness of scale functions for spectrally negative Lévy processes
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+Numerical methods for Laplace transform inversion
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+Recursive calculation of finite-time ruin probabilities
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+Approximations to ruin probability in the presence of an upper absorbing barrier
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+Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes
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+On the limit distributions of continuous-state branching processes with immigration
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+The Theory of Scale Functions for Spectrally Negative Lévy Processes
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+Introductory lectures on fluctuations of Lévy processes with applications.
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+Gerber-Shiu risk theory
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+Species abundance distributions in neutral models with immigration or mutation and general lifetimes
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+On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
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+On the drawdown of completely asymmetric Lévy processes
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+Markov chain approximations for transition densities of Lévy processes
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+Q4226355
@@ Property / cites work: Q4226355 / rank @@
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+Q4937701
@@ Property / cites work: Q4937701 / rank @@
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@@ Property / cites work @@
+Evaluating Scale Functions of Spectrally Negative Lévy Processes
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@@ links / mardi / name / links / mardi / name @@
+Publication:492961