A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes
DOI10.1007/S00186-013-0434-9zbMATH Open1281.60045OpenAlexW2064392111MaRDI QIDQ2391871FDOQ2391871
M. R. H. Mandjes, Peter den Iseger, Paul Gruntjes
Publication date: 5 August 2013
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-013-0434-9
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- A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes
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- Numerical techniques in Lévy fluctuation theory
Cited In (8)
- Transient analysis of reflected Lévy processes
- Open problems in queueing theory inspired by datacenter computing
- Evaluating first-passage probabilities for spectrally one-sided Lévy processes
- Queueing and risk models with dependencies
- Two coupled Levy queues with independent input
- A bivariate risk model with mutual deficit coverage
- Workload analysis of a two-queue fluid polling model
- A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes
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