Fluctuation theory in continuous time
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(82)- Continuum random trees and branching processes with immigration
- On an explicit Skorokhod embedding for spectrally negative Lévy processes
- Wiener-Hopf factorisation of Brownian motion
- Factorizing Laplace exponents in a spectrally positive Lévy process
- Exit distributions for symmetric Markov processes via Gaussian techniques
- Conditioning a reflected one-dimensional diffusion via its canonical decomposition
- Continuous branching processes and spectral positivity
- Branching processes in Lévy processes: The exploration process
- Branching processes in Lévy processes: Laplace functionals of snakes and superprocesses
- Darling-Erdős theorems for normalized sums of i. i. d. variables close to a stable law
- On the distribution of supremum of diffusion local time
- On the joint distribution of ladder variables of random walk
- Lévy processes with no positive jumps at an increase time
- Increase of stable processes
- Holomorphic resolvent for integrodifferential equation with completely positive measure
- Cramér's estimate for Lévy processes
- On the local rate of growth of Lévy processes with no positive jumps
- A hitting time for Lévy processes, with application to dams and branching processes
- Finite time ruin probabilities with one Laplace inversion.
- Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
- Parisian ruin in the dual model with applications to the \(G/M/1\) queue
- On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts.
- Random observations of marked Cox processes. Time insensitive functionals
- On optional stopping of some exponential martingales for Lévy processes with or without reflection.
- The Beneš equation and stochastic calculus of variations
- Prediction theory for stationary functional time series
- Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory
- Queues with Lévy input and hysteretic control
- On the threshold dividend strategy for a generalized jump-diffusion risk model
- On fluctuations of a multivariate random walk with some applications to stock options trading and hedging
- A first passage time problem for spectrally positive Lévy processes and its application to a dynamic priority queue
- Level crossings of an oscillating marked random walk
- On the optimal dividend problem for a spectrally negative Lévy process
- Diffusion local time storage
- Increase of Lévy processes
- Passage times for a spectrally negative Lévy process with applications to risk theory
- On doubly reflected completely asymmetric Lévy processes.
- Russian and American put options under exponential phase-type Lévy models.
- Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes
- Persistence probabilities and exponents
- Factorization identities for reflected processes, with applications
- The class of distributions associated with the generalized Pollaczek-Khinchine formula
- Credit risk modeling using time-changed Brownian motion
- Optimal Stopping for Processes with Independent Increments, and Applications
- Fluctuations of Lévy processes and scattering theory
- A TANDEM QUEUE WITH LÉVY INPUT: A NEW REPRESENTATION OF THE DOWNSTREAM QUEUE LENGTH
- Queues with Delays in Two-State Strategies and Lévy Input
- Random Walk Analysis in Antagonistic Stochastic Games
- First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type
- Transient Asymptotics of Lévy-Driven Queues
- A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes
- Analysis of stochastic fluid queues driven by local-time processes
- Lévy processes with adaptable exponent
- Occupation densities in solving exit problems for Markov additive processes and their reflections
- First passage times of a jump diffusion process
- Some fluctuation identities for Lévy processes with jumps of the same sign
- First passage time moments of asymmetric Lévy flights
- Potential measures of one-sided Markov additive processes with reflecting and terminating barriers
- Recurrence and transience of reflecting Brownian motion in the quadrant
- Last Exit Before an Exponential Time for Spectrally Negative Lévy Processes
- On extrema of stable processes
- Convergence of the all-time supremum of a Lévy process in the heavy-traffic regime
- On Exit Times of a Multivariate Random Walk and Its Embedding in a Quasi Poisson Process
- On Maxima and Ladder Processes for a Dense Class of Lévy Process
- On the Correlation Structure of a Lévy-Driven Queue
- Unified approach for solving exit problems for additive-increase and multiplicative-decrease processes
- The sticky Lévy process as a solution to a time change equation
- A note on one-sided solutions for optimal stopping problems driven by Lévy processes
- De Finetti's optimal dividends problem with an affine penalty function at ruin
- Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance
- On the log-concavity of the Wright function
- Efficient evaluation of double-barrier options
- Splitting at the infimum and excursions in half-lines for random walks and Lévy processes
- A path decomposition for Lévy processes
- On the last zero process with an application in corporate bankruptcy
- Exotic options under Lévy models: an overview
- Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications
- On the Hausdorff dimension of regular points of inviscid Burgers equation with stable initial data
- Hitting law asymptotics for a fluctuating Brownian functional
- The optimal capital structure of the firm with stable Lévy assets returns
- Queueing approximation of suprema of spectrally positive Lévy process
- On exit times of multivariate random walk with some applications to finance
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