Phase-type Fitting of scale functions for spectrally negative Lévy processes (Q2252259): Difference between revisions

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+ON A FLUCTUATION IDENTITY FOR RANDOM WALKS AND LÉVY PROCESSES
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+Introductory lectures on fluctuations of Lévy processes with applications.
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+The Theory of Scale Functions for Spectrally Negative Lévy Processes
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+Evaluating Scale Functions of Spectrally Negative Lévy Processes
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+Applied Probability and Queues
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+Smoothness of scale functions for spectrally negative Lévy processes
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+Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
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+Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
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+Russian and American put options under exponential phase-type Lévy models.
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+On the efficient evaluation of ruin probabilities for completely monotone claim distributions
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+Chebyshev Approximation of Completely Monotonic Functions by Sums of Exponentials
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+A geometric interpretation of the relations between the exponential and generalized Erlang distributions
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+On Maxima and Ladder Processes for a Dense Class of Lévy Process
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+On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum
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+On the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Lévy Models
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+Perpetual options and Canadization through fluctuation theory
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+On the convergence properties of the EM algorithm
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+On the optimal dividend problem for a spectrally negative Lévy process
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