Completely asymmetric Lévy processes confined in a finite interval
DOI10.1016/S0246-0203(00)00126-6zbMATH Open0970.60055OpenAlexW2011974110MaRDI QIDQ1978135FDOQ1978135
Publication date: 16 October 2001
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Full work available at URL: http://www.numdam.org/item?id=AIHPB_2000__36_2_251_0
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Mittag-Leffler functionexcursion measure\(h\)-transformconditional lawtwo-sided exit problemLévy process
Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Sample path properties (60G17) Probabilistic potential theory (60J45)
Cited In (33)
- Lévy processes with finite variance conditioned to avoid an interval
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- Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
- Speed and fluctuations of \(N\)-particle branching Brownian motion with spatial selection
- A note on scale functions and the time value of ruin for Lévy insurance risk processes
- Smoothness of scale functions for spectrally negative Lévy processes
- On an explicit Skorokhod embedding for spectrally negative Lévy processes
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- OPTIMAL CAPITAL STRUCTURE WITH SCALE EFFECTS UNDER SPECTRALLY NEGATIVE LÉVY MODELS
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- Evaluating Scale Functions of Spectrally Negative Lévy Processes
- Multifractal spectra and precise rates of decay in homogeneous fragmentations
- A Lévy input model with additional state-dependent services
- Complete discounted cash flow valuation
- Smoothness of continuous state branching with immigration semigroups
- Predicting the time at which a Lévy process attains its ultimate supremum
- Lévy risk model with two-sided jumps and a barrier dividend strategy
- Survival and maximum of spectrally negative branching Lévy processes with absorption
- Refracted Lévy processes
- Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels
- Law of two-sided exit by a spectrally positive strictly stable process
- A Lévy input fluid queue with input and workload regulation
- Parisian excursion below a fixed level from the last record maximum of Lévy insurance risk process
- An approach for solving perpetual optimal stopping problems driven by Lévy processes
- Stable processes conditioned to avoid an interval
- First passage time moments of asymmetric Lévy flights
- Uniform control of local times of spectrally positive stable processes
- Optimal threshold strategies with capital injections in a spectrally negative Lévy risk model
- Numerical algorithms for mean exit time and escape probability of stochastic systems with asymmetric Lévy motion
- Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes
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