Applications of factorization embeddings for Lévy processes

DOI10.1239/AAP/1158685001MaRDI QIDQ5395359zbMATH OpenOpenAlexFDO

Authors A. B. Dieker

Publication date 2 November 2006

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/aap/1158685001

zbMATH Keywords

first factorization identityperturbed risk modelphase-type jumpruin probability

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Extreme value theory; extremal stochastic processes (60G70)

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Cites work

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Cited in

(10)

• On a generic class of two-node queueing systems
• Deep factorisation of the stable process. II: Potentials and applications
• Rank-to-rank embeddings, Laver tables, and Galton-Watson processes
• The uniform local asymptotics for a Lévy process and its overshoot and undershoot
• First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type
• On the infimum attained by a reflected Lévy process
• Extremes of Markov-additive processes with one-sided jumps, with queueing applications
• On fluctuation-theoretic decompositions via Lindley-type recursions
• Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations
• Convolution equivalence and distributions of random sums

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