Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes (Q2904873)

scientific article

Language	Label	Description	Also known as
English	Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes	scientific article

Statements

instance of

scholarly article

0 references

title

Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes (English)

0 references

zbMATH Open document ID

1274.60148

0 references

DOI

10.1007/978-3-0348-0021-1_8

0 references

0 references

0 references

Seminar on Stochastic Analysis, Random Fields and Applications VI

0 references

publication date

24 August 2012

0 references

full work available at URL

https://arxiv.org/abs/0801.0393

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

scale functions

0 references

spectrally negative Lévy processes

0 references

Mittag-Leffler functions

0 references

Wiener-Hopf factorization

0 references

MaRDI profile type

MaRDI publication profile

0 references

0 references

0 references

Explicit M/G/1 waiting-time distributions for a class of long-tail service-time distributions

0 references

Some remarks on first passage of Lévy processes, the American put and pasting principles

0 references

Q4379506

0 references

On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts.

0 references

Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options

0 references

On the optimal dividend problem for a spectrally negative Lévy process

0 references

Queues with Delays in Two-State Strategies and Lévy Input

0 references

Q4888858

0 references

Exponential decay and ergodicity of completely asymmetric Lévy processes in a finite interval

0 references

Continuous branching processes and spectral positivity

0 references

Smoothness of scale functions for spectrally negative Lévy processes

0 references

Sur certains processus de lévy conditionnés à rester positifs

0 references

Conditionings and path decompositions for Lévy processes

0 references

Conditioned stable Lévy processes and the Lamperti representation

0 references

Some explicit identities associated with positive self-similar Markov processes

0 references

Passage times for a spectrally negative Lévy process with applications to risk theory

0 references

Overshoots and undershoots of Lévy processes

0 references

Séminaire de Probabilités XXXVIII

0 references

Hitting Probabilities for Spectrally Positive Lévy Processes

0 references

Fluctuation theory for Lévy processes. Ecole d'Eté de probabilités de Saint-Flour XXXV -- 2005.

0 references

Scale functions of Lévy processes and busy periods of finite-capacity M/GI/1 queues

0 references

Exit problem for a spectrally positive process

0 references

Calculation of the Moments and the Moment Generating Function for the Reciprocal Gamma Distribution

0 references

Risk processes perturbed by α-stable Lévy motion

0 references

Optimal capital structure and endogenous default

0 references

Ruin probabilities for competing claim processes

0 references

Q5462966

0 references

Ruin probabilities and overshoots for general Lévy insurance risk processes

0 references

On extreme ruinous behaviour of Lévy insurance risk processes

0 references

Boundary Problems for a Compound Poisson Process

0 references

On Ruin Problems for a Compound Poisson Process

0 references

First passage times of a jump diffusion process

0 references

Multifractal spectra and precise rates of decay in homogeneous fragmentations

0 references

Introductory lectures on fluctuations of Lévy processes with applications.

0 references

Quasi-stationary distributions for Lévy processes

0 references

Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process

0 references

Special, conjugate and complete scale functions for spectrally negative Lévy processes

0 references

Convexity and smoothness of scale functions and de Finetti's control problem

0 references

Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels

0 references

Completely asymmetric Lévy processes confined in a finite interval

0 references

Quasi-stationary distributions and the continuous-state branching process conditioned to be never extinct

0 references

On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes

0 references

Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms

0 references

On doubly reflected completely asymmetric Lévy processes.

0 references

On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum

0 references

Q4662395

0 references

An Excursion-Theoretical Approach to Some Boundary Crossing Problems and the Skorokhod Embedding for Reflected Lévy Processes

0 references

Distribution of the Present Value of Dividend Payments in a Lévy Risk Model

0 references

The two-sided exit problem for spectrally positive Lévy processes

0 references

Q4445977

0 references

Problem of desteuction and resolvent of a terminating process with independent increments

0 references

VOTRE LÉVY RAMPE-T-IL?

0 references

Q5528195

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:2904873