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

From MaRDI portal
Publication:1355741

DOI10.1214/aoap/1034625257zbMath0880.60077OpenAlexW2016247795MaRDI QIDQ1355741

Jean Bertoin

Publication date: 7 January 1998

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1034625257




Related Items

Unified approach for solving exit problems for additive-increase and multiplicative-decrease processesParisian excursion with capital injection for drawdown reflected Lévy insurance risk processUniform control of local times of spectrally positive stable processesExit identities for Lévy processes observed at Poisson arrival timesThe moments of the discounted loss and the discounted dividends for a spectrally negative Lévy risk processAn Excursion-Theoretic Approach to Regulator’s Bank Reorganization ProblemOld and New Examples of Scale Functions for Spectrally Negative Lévy ProcessesPhylogenetic analysis accounting for age-dependent death and sampling with applications to epidemicsNumber of jumps in two-sided first-exit problems for a compound Poisson processRuin probabilities for two collaborating insurance companiesLaw of two-sided exit by a spectrally positive strictly stable processOn q-scale functions of spectrally negative Lévy processesMartingales and rates of presence in homogeneous fragmentationsIntertwining certain fractional derivativesOn the Gerber-Shiu function for a risk model with multi-layer dividend strategyOptimality of Two-Parameter Strategies in Stochastic ControlQueues with Delays in Two-State Strategies and Lévy InputA Lévy Insurance Risk Process with TaxMeromorphic Lévy processes and their fluctuation identitiesOccupation densities in solving exit problems for Markov additive processes and their reflectionsInventory Control for Spectrally Positive Lévy Demand ProcessesOn the drawdown of completely asymmetric Lévy processesUnnamed ItemTheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problemsMultifractal spectra and precise rates of decay in homogeneous fragmentationsExit problems for spectrally negative Lévy processes and applications to (Canadized) Russian optionsA two-dimensional ruin problem on the positive quadrantContraction options and optimal multiple-stopping in spectrally negative Lévy modelsPrinciples of smooth and continuous fit in the determination of endogenous bankruptcy levelsFluctuation theory for one-sided Lévy processes with a matrix-exponential time horizonOn the optimal dividend problem for a spectrally negative Lévy processOn a Classical Risk Model with a Constant Dividend BarrierOn several two-boundary problems for a particular class of Lévy processesPrecautionary measures for credit risk management in jump modelsOn the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Lévy ModelsSplitting Trees Stopped when the First Clock Rings and Vervaat's TransformationScale functions of Lévy processes and busy periods of finite-capacity M/GI/1 queuesSome fluctuation identities for Lévy processes with jumps of the same signExact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theoryRuin probabilities and overshoots for general Lévy insurance risk processesConvexity and smoothness of scale functions and de Finetti's control problemOptimal dividend problem with a terminal value for spectrally positive Lévy processesQueues with Lévy input and hysteretic controlSmoothness of scale functions for spectrally negative Lévy processesOccupation times of spectrally negative Lévy processes with applicationsOn the Parisian ruin of the dual Lévy risk modelDistribution of the Present Value of Dividend Payments in a Lévy Risk ModelOn a modification of the classical risk processFirst passage problems for upwards skip-free random walks via the scale functions paradigmOptimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes: an alternative approachBrownian motion on stable looptreesParisian ruin with a threshold dividend strategy under the dual Lévy risk modelEvaluating Scale Functions of Spectrally Negative Lévy ProcessesLévy processes with adaptable exponentOptimal Dividends Paid in a Foreign Currency for a Lévy Insurance Risk ModelThe time to ruin for a class of Markov additive risk process with two-sided jumpsA Two-Dimensional Risk Model with Proportional ReinsuranceOn an explicit Skorokhod embedding for spectrally negative Lévy processesFluctuations of Lévy processes and scattering theoryPassage times for a spectrally negative Lévy process with applications to risk theoryPotential measures of one-sided Markov additive processes with reflecting and terminating barriersSome remarks on first passage of Lévy processes, the American put and pasting principlesNumerical algorithms for mean exit time and escape probability of stochastic systems with asymmetric Lévy motionOn doubly reflected completely asymmetric Lévy processes.On a doubly reflected risk process with running maximum dependent reflecting barriersErlangian approximation to finite time ruin probabilities in perturbed risk modelsAuthors’ Reply: On a Classical Risk Model with a Constant Dividend Barrier - Discussion by Beda Chan; Hans U. Gerber; Chuancun Yin; Elias S. W. Shiu“On Optimal Dividend Strategies in the Compound Poisson Model”, by Hans U. Gerber and Elias S. W. Shiu, April 2006Asymptotic behavior of local times of compound Poisson processes with drift in the infinite variance caseRuin time and aggregate claim amount up to ruin time for the perturbed risk processLoss rates in the single-server queue with complete rejectionBranching particle systems in spectrally one-sided Lévy processes