A factorization of a Lévy process over a phase-type horizon (Q4634188): Difference between revisions

@@ Property / author @@
-Soren Asmussen
@@ Property / author: Soren Asmussen / rank @@
-Normal rank
@@ Property / author @@
+Soren Asmussen
@@ Property / author: Soren Asmussen / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+EMpht
@@ Property / describes a project that uses: EMpht / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2963422501
@@ Property / OpenAlex ID: W2963422501 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.00273
@@ Property / arXiv ID: 1803.00273 / rank @@
+Normal rank
@@ Property / cites work @@
+The Theory of Scale Functions for Spectrally Negative Lévy Processes
+Normal rank
@@ Property / cites work @@
+Russian and American put options under exponential phase-type Lévy models.
+Normal rank
@@ Property / cites work @@
+Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
+Normal rank
@@ Property / cites work @@
+Meromorphic Lévy processes and their fluctuation identities
+Normal rank
@@ Property / cites work @@
+The joint density of the maximum and its location for a Wiener process with drift
+Normal rank
@@ Property / cites work @@
+Applied Probability and Queues
@@ Property / cites work: Applied Probability and Queues / rank @@
+Normal rank
@@ Property / cites work @@
+Matrix-Exponential Distributions in Applied Probability
+Normal rank
@@ Property / cites work @@
+Real self-similar processes started from the origin
+Normal rank
@@ Property / cites work @@
+Splitting and time reversal for Markov additive processes
+Normal rank
@@ Property / cites work @@
+On the symmetric wiener-hopf factorization for markov additive processes
+Normal rank
@@ Property / cites work @@
+A note on Wiener-Hopf factorization for Markov additive processes
+Normal rank
@@ Property / cites work @@
+Q3526631
@@ Property / cites work: Q3526631 / rank @@
+Normal rank
@@ Property / cites work @@
+Stationary distributions for fluid flow models with or without brownian noise
+Normal rank
@@ Property / cites work @@
+First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type
+Normal rank
@@ Property / cites work @@
+First Passage of a Markov Additive Process and Generalized Jordan Chains
+Normal rank
@@ Property / cites work @@
+Extremes of Markov-additive processes with one-sided jumps, with queueing applications
+Normal rank
@@ Property / cites work @@
+Markov Processes with Homogeneous Second Component, II
+Normal rank
@@ Property / cites work @@
+Potential measures of one-sided Markov additive processes with reflecting and terminating barriers
+Normal rank
@@ Property / cites work @@
+A Wiener-Hopf Monte Carlo simulation technique for Lévy processes
+Normal rank
@@ Property / cites work @@
+Valuing equity-linked death benefits in jump diffusion models
+Normal rank
@@ Property / cites work @@
+Markov Aging Process and Phase-Type Law of Mortality
+Normal rank
@@ Property / cites work @@
+The use of phase-type models for disability insurance calculations
+Normal rank
@@ Property / cites work @@
+Q3838095
@@ Property / cites work: Q3838095 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4171380
@@ Property / cites work: Q4171380 / rank @@
+Normal rank
@@ Property / cites work @@
+On the law of the supremum of Lévy processes
@@ Property / cites work: On the law of the supremum of Lévy processes / rank @@
+Normal rank