Introductory lectures on fluctuations of Lévy processes with applications.
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(only showing first 100 items - show all)- Parisian ruin with Erlang delay and a lower bankruptcy barrier
- Asymptotic behavior of the hitting time, overshoot and undershoot for some Lévy processes
- On future drawdowns of Lévy processes
- Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
- A refined factorization of the exponential law
- \(n\)-dimensional Laplace transforms of occupation times for pre-exit diffusion processes
- A note on a generalized discounted penalty function in a Sparre Andersen risk model perturbed by diffusion
- De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process
- On the threshold dividend strategy for a generalized jump-diffusion risk model
- Parisian ruin probability with a lower ultimate bankrupt barrier
- Simulation-based computation of the workload correlation function in a Lévy-driven queue
- Boundary Harnack principle for subordinate Brownian motions
- Liouville quantum gravity and the Brownian map. I: The \(\text{QLE}(8/3,0)\) metric
- Asymmetric non-Gaussian effects in a tumor growth model with immunization
- A simplified Wiener-Hopf factorization method for pricing double barrier options under Lévy processes
- Data-driven discovery of stochastic dynamical systems with \(\alpha\)-stable Lévy noise based on residual networks
- Exit times for a discrete Markov additive process
- On the parametric description of log-growth rates of Romanian city sizes
- Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis
- Lévy processes and their applications in reliability and storage
- The convex minorant of a Lévy process
- Potential measures of one-sided Markov additive processes with reflecting and terminating barriers
- On the Parisian ruin of the dual Lévy risk model
- The likelihood of mixed hitting times
- On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models
- On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models
- Optimal dividend problem with a terminal value for spectrally positive Lévy processes
- Fractal-dimensional properties of subordinators
- Extreme order statistics of random walks
- Change-level detection for Lévy subordinators
- Old and new examples of scale functions for spectrally negative Lévy processes
- The class of distributions associated with the generalized Pollaczek-Khinchine formula
- Quickest drift change detection in Lévy-type force of mortality model
- Occupation times of general Lévy processes
- Fractional Lévy processes as a result of compact interval integral transformation
- Optimal regularity of SPDEs with additive noise
- Perpetual American options with asset-dependent discounting
- A risk model with varying premiums: its risk management implications
- On entire moments of self-similar Markov processes
- Change-point detection for Lévy processes
- Extremal theory for long range dependent infinitely divisible processes
- Occupation times in the MAP risk model
- First and last passage times of spectrally positive Lévy processes with application to reliability
- Parasite infection in a cell population: role of the partitioning kernel
- A remarkable -finite measure unifying supremum penalisations for a stable Lévy process
- Simulation of infinitely divisible random fields
- Asymptotic analysis of Lévy-driven tandem queues
- Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process
- Itô's formula for finite variation Lévy processes: the case of non-smooth functions
- Branching particle systems in spectrally one-sided Lévy processes
- Heavy tails of a Lévy process and its maximum over a random time interval
- Determination of the Lévy exponent in asset pricing models
- Potentials of stable processes
- Some remarks on special subordinators
- Optimality of excess-loss reinsurance under a mean-variance criterion
- Branching Brownian motion in a strip: survival near criticality
- On the one dimensional spectral heat content for stable processes
- Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes
- Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
- A drawdown reflected spectrally negative Lévy process
- Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type
- Generalized expected discounted penalty function at general drawdown for Lévy risk processes
- Hitting distributions of \(\alpha\)-stable processes via path censoring and self-similarity
- On the maximal offspring in a critical branching process with infinite variance
- Extreme value analysis for a Markov additive process driven by a nonirreducible background chain
- Occupation times for Markov-modulated Brownian motion
- Computing the finite-time expected discounted penalty function for a family of Lévy risk processes
- Steady-state optimization of an exhaustive Lévy storage process with intermittent output and random output rate
- Building multivariate Sato models with linear dependence
- Optimality of Two-Parameter Strategies in Stochastic Control
- Pricing insurance drawdown-type contracts with underlying Lévy assets
- On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes
- Bayesian semiparametric analysis of short- and long-term hazard ratios with covariates
- Optimal stopping problems for the maximum process with upper and lower caps
- On the stochastic heat equation with spatially-colored random forcing
- Optimality of impulse control problem in refracted Lévy model with Parisian ruin and transaction costs
- Optimal learning with non-Gaussian rewards
- Novel scaling limits for critical inhomogeneous random graphs
- Small-time almost-sure behaviour of extremal processes
- From Markov processes to semimartingales
- Probability unfolding, 1965‒2015
- Supercritical super-Brownian motion with a general branching mechanism and travelling waves
- Transient analysis of Lévy-driven tandem queues
- Beating the omega clock: an optimal stopping problem with random time-horizon under spectrally negative Lévy models
- An insurance risk model with Parisian implementation delays
- Functional central limit theorem for heavy tailed stationary infinitely divisible processes generated by conservative flows
- On the tail asymptotics of the area swept under the Brownian storage graph
- From the second law of thermodynamics to AC-conductivity measures of interacting fermions in disordered media
- Alternative approach to the optimality of the threshold strategy for spectrally negative Lévy processes
- Transient analysis of reflected Lévy processes
- Spectral analysis of stable processes on the positive half-line
- Resolvent-techniques for multiple exercise problems
- The prolific backbone for supercritical superprocesses
- Bottleneck options
- Heavy-traffic limits for an infinite-server fork-join queueing system with dependent and disruptive services
- Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
- Ray-Knight representation of flows of branching processes with competition by pruning of Lévy trees
- On Lévy-driven vacation models with correlated busy periods and service interruptions
- The dual risk model with dividends taken at arrival
- A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes
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