Evaluating Scale Functions of Spectrally Negative Lévy Processes
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Recommendations
- The theory of scale functions for spectrally negative Lévy processes
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- Special, conjugate and complete scale functions for spectrally negative Lévy processes
Cites work
- Completely asymmetric Lévy processes confined in a finite interval
- Evaluating first-passage probabilities for spectrally one-sided Lévy processes
- Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
- Exponential decay and ergodicity of completely asymmetric Lévy processes in a finite interval
- scientific article; zbMATH DE number 3854294 (Why is no real title available?)
- scientific article; zbMATH DE number 3479988 (Why is no real title available?)
- scientific article; zbMATH DE number 2149873 (Why is no real title available?)
- scientific article; zbMATH DE number 918811 (Why is no real title available?)
- Introductory lectures on fluctuations of Lévy processes with applications.
- Multidimensional transform inversion with applications to the transient \(M/G/1\) queue
- On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum
- On the First Exit Time of a Completely Asymmetric Stable Process from a Finite Interval
- On the optimal dividend problem for a spectrally negative Lévy process
- On the probability of ruin for infinitely divisible claim amount distributions
- Optimal capital structure and endogenous default
- Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels
- Scale functions of Lévy processes and busy periods of finite-capacity M/GI/1 queues
- Smoothness of scale functions for spectrally negative Lévy processes
- Spectrally negative Lévy processes with applications in risk theory
- The Fourier-series method for inverting transforms of probability distributions
- The probability of ruin for the inverse Gaussian and related processes
Cited in
(44)- Special, conjugate and complete scale functions for spectrally negative Lévy processes
- Discounted penalty function at Parisian ruin for Lévy insurance risk process
- A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes
- Parisian excursion below a fixed level from the last record maximum of Lévy insurance risk process
- On scale functions for Lévy processes with negative phase-type jumps
- Phase-type Fitting of scale functions for spectrally negative Lévy processes
- Analysis of a drawdown-based regime-switching Lévy insurance model
- On future drawdowns of Lévy processes
- A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes
- Numerical techniques in Lévy fluctuation theory
- Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes
- Evaluating first-passage probabilities for spectrally one-sided Lévy processes
- Old and new examples of scale functions for spectrally negative Lévy processes
- The theory of scale functions for spectrally negative Lévy processes
- General tax structures and the Lévy insurance risk model
- An Excursion-Theoretic Approach to Regulator’s Bank Reorganization Problem
- An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density
- Lévy processes with adaptable exponent
- Occupation times of alternating renewal processes with Lévy applications
- Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method
- Games of singular control and stopping driven by spectrally one-sided Lévy processes
- Markov chain approximations to scale functions of Lévy processes
- Contraction options and optimal multiple-stopping in spectrally negative Lévy models
- Optimal capital structure with scale effects under spectrally negative Lévy models
- On series expansions for scale functions and other ruin-related quantities
- TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
- Last Exit Before an Exponential Time for Spectrally Negative Lévy Processes
- On optimal dividends in the dual model
- Precautionary measures for credit risk management in jump models
- On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models
- Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
- Poissonian occupation times of spectrally negative Lévy processes with applications
- Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process
- A note on series representation for the q-scale function of a class of spectrally negative Lévy processes
- An optimal dividends problem with transaction costs for spectrally negative Lévy processes
- The distribution of tax payments in a Lévy insurance risk model with a surplus-dependent taxation structure
- A note on scale functions and the time value of ruin for Lévy insurance risk processes
- Asymptotic behaviors of subcritical branching killed Lévy processes
- The last passage time before ruin: theory and applications in liquidation risk management
- Approximation and estimation of scale functions for spectrally negative Lévy processes
- Smoothness of scale functions for spectrally negative Lévy processes
- Occupation times of spectrally negative Lévy processes with applications
- On occupation times in the red of Lévy risk models
- Refracted Lévy processes
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