Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon

DOI10.1016/j.spa.2021.08.002zbMath1479.60094arXiv2101.08076OpenAlexW3194615871WikidataQ115566889 ScholiaQ115566889MaRDI QIDQ2239255

Mogens Bladt, Jevgenijs Ivanovs

Publication date: 3 November 2021

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2101.08076

zbMATH Keywords

Wiener-Hopf factorizationscale functionfunctions of matricesrational Laplace transform

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52)

Related Items (1)

From PH/MAP to ME/RAP

Cites Work

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