Publication:4662396
From MaRDI portal
zbMath1079.60048MaRDI QIDQ4662396
Publication date: 30 March 2005
Processes with independent increments; Lévy processes (60G51) Martingales with continuous parameter (60G44)
Related Items
A New Proof of the Wiener-Hopf Factorization via Basu's Theorem, Useful Martingales for Stochastic Storage Processes with Lévy-Type Input, LOCAL RISK MINIMIZATION OF CONTINGENT CLAIMS SIMULTANEOUSLY EXPOSED TO ENDOGENOUS AND EXOGENOUS DEFAULT TIMES, Lévy Processes, Phase-Type Distributions, and Martingales, Lévy risk model with two-sided jumps and a barrier dividend strategy, Penalisation of a stable Lévy process involving its one-sided supremum, Queues with Delays in Two-State Strategies and Lévy Input, On fluctuation theory for spectrally negative Lévy processes with Parisian reflection below, and applications, Occupation times of alternating renewal processes with Lévy applications, Occupation densities in solving exit problems for Markov additive processes and their reflections, On the drawdown of completely asymmetric Lévy processes, TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems, Busy period, virtual waiting time and number of customers in \(G^{\delta }|M^{\kappa}|1| \text B\) system, Queues with Lévy input and hysteretic control, Unifying the Dynkin and Lebesgue–Stieltjes formulae, Lévy Processes with Two-Sided Reflection, Lévy processes with adaptable exponent, Renewal theorems and stability for the reflected process, Exit problems for the difference of a compound Poisson process and a compound renewal process, Fluctuations of Lévy processes and scattering theory, On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function