Martingales associated with functions of Markov and finite variation processes (Q2146384): Difference between revisions

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+Lévy matters V. Functionals of Lévy processes
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+Applied Probability and Queues
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+Q3560912
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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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+Loss Rates for Lévy Processes with Two Reflecting Barriers
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+Decomposition results for stochastic storage processes and queues with alternating Lévy inputs
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+Clearing models for \(M/G/1\) queues
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+Queues and Lévy fluctuation theory
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+The expected time to ruin in a risk process with constant barrier via martingales
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+Useful martingales for stochastic storage processes with Lévy input
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+Unifying the Dynkin and Lebesgue–Stieltjes formulae
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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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+Q4662394
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+A technique for exponential change of measure for Markov processes
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+Annuities with controlled random interest rates.
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+Stochastic-Process Limits
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