Introductory lectures on fluctuations of Lévy processes with applications.
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(only showing first 100 items - show all)- Asymptotic analysis of Lévy-driven tandem queues
- Some explicit identities associated with positive self-similar Markov processes
- Boundary Harnack principle for subordinate Brownian motions
- On an explicit Skorokhod embedding for spectrally negative Lévy processes
- The expected discounted penalty function under a risk model with stochastic income
- The first passage event for sums of dependent Lévy processes with applications to insurance risk
- The reconstructed tree in the lineage-based model of protracted speciation
- Beating the omega clock: an optimal stopping problem with random time-horizon under spectrally negative Lévy models
- Uniform control of local times of spectrally positive stable processes
- Bayesian semiparametric analysis of short- and long-term hazard ratios with covariates
- The dual risk model with dividends taken at arrival
- Optimality of multi-refraction control strategies in the dual model
- On the bail-out optimal dividend problem
- Ray-Knight representation of flows of branching processes with competition by pruning of Lévy trees
- Stable laws for chaotic billiards with cusps at flat points
- Asymmetric non-Gaussian effects in a tumor growth model with immunization
- Cramér's estimate for the reflected process revisited
- On optimal periodic dividend strategies for Lévy risk processes
- Two-side exit problems for taxed Lévy risk process involving the general draw-down time
- Zooming in on a Lévy process at its supremum
- American options under periodic exercise opportunities
- One-sided FKPP travelling waves for homogeneous fragmentation processes
- On the optimality of periodic barrier strategies for a spectrally positive Lévy process
- Complete discounted cash flow valuation
- On the refracted-reflected spectrally negative Lévy processes
- Occupation times of general Lévy processes
- Moments of discounted dividend payments in a risk model with randomized dividend-decision times
- Parisian ruin in the dual model with applications to the \(G/M/1\) queue
- Densities of ruin-related quantities in the Cramér-Lundberg model with Pareto claims
- Spectrally negative Lévy risk model under Erlangized barrier strategy
- The first passage time problem for mixed-exponential jump processes with applications in insurance and finance
- Lowest priority waiting time distribution in an accumulating priority Lévy queue
- Change-point detection for Lévy processes
- Pricing insurance drawdown-type contracts with underlying Lévy assets
- On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes
- Spatial central limit theorem for supercritical superprocesses
- Spectral analysis of stable processes on the positive half-line
- Williams decomposition for superprocesses
- On fair reinsurance premiums; capital injections in a perturbed risk model
- Tail asymptotics for exponential functionals of Lévy processes: the convolution equivalent case
- Small value probabilities for continuous state branching processes with immigration
- Uniform boundary Harnack principle for rotationally symmetric Lévy processes in general open sets
- Lévy systems and the time value of ruin for Markov additive processes
- Fluctuations of stable processes and exponential functionals of hypergeometric Lévy processes
- A multiple-curve HJM model of interbank risk
- Small and large time stability of the time taken for a Lévy process to cross curved boundaries
- \(\mathbb N\)-measure for continuous state branching processes and its application
- Parisian ruin probability for spectrally negative Lévy processes
- Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes
- Turán inequalities and complete monotonicity for a class of entire functions
- Asymptotic results for heavy-tailed Lévy processes and their exponential functionals
- \(n\)-dimensional Laplace transforms of occupation times for pre-exit diffusion processes
- Fair valuation of Lévy-type drawdown-drawup contracts with general insured and penalty functions
- Branching processes seen from their extinction time via path decompositions of reflected Lévy processes
- Discretization error for a two-sided reflected Lévy process
- First-passage time model driven by Lévy process for pricing CoCos
- Parisian excursion below a fixed level from the last record maximum of Lévy insurance risk process
- Optimal dividends in the dual model under transaction costs
- Valuing equity-linked death benefits in jump diffusion models
- Optimal dividend problem with a terminal value for spectrally positive Lévy processes
- Conditional limit theorems for critical continuous-state branching processes
- Exponential ergodicity for general continuous-state nonlinear branching processes
- Maximal moments and uniform modulus of continuity for stable random fields
- Multiple yield curve modelling with CBI processes
- Brownian motion on stable looptrees
- Exact simulation of two-parameter Poisson-Dirichlet random variables
- The likelihood of mixed hitting times
- On scale functions for Lévy processes with negative phase-type jumps
- Three classes of decomposable distributions
- Two-sided optimal stopping for Lévy processes
- On the boundary behavior of multi-type continuous-state branching processes with immigration
- Asymptotic behavior of eigenvalues of variance-covariance matrix of a high-dimensional heavy-tailed Lévy process
- Liouville quantum gravity and the Brownian map II: geodesics and continuity of the embedding
- On Doney's striking factorization of the arc-sine law
- Some new classes and techniques in the theory of Bernstein functions
- A transformation for spectrally negative Lévy processes and applications
- Two continua of embedded regenerative sets
- Transition densities of spectrally positive Lévy processes
- Change-level detection for Lévy subordinators
- On capital allocation for a risk measure derived from ruin theory
- A note on Lévy subordinators in cones of fuzzy sets in Banach spaces
- Martingales associated with functions of Markov and finite variation processes
- Modeling and complexity of stochastic interacting Lévy type financial price dynamics
- General draw-down times for refracted spectrally negative Lévy processes
- On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance
- The distribution of strike size: empirical evidence from Europe and north America in the 19th and 20th centuries
- On the speed and spectrum of mean-field random walks among random conductances
- On lattice path counting and the random product representation, with applications to the E_r/M/1 queue and the M/E_r/1 queue
- Parisian ruin with Erlang delay and a lower bankruptcy barrier
- Bridges with random length: gamma case
- Optimality of impulse control problem in refracted Lévy model with Parisian ruin and transaction costs
- Infinitesimal generators of semigroups with prescribed boundary fixed points
- Malliavin calculus for subordinated Lévy process
- Fractional diffusion limit for a kinetic equation with an interface
- Speed of convergence to the quasi-stationary distribution for Lévy input fluid queues
- Periodic dividends and capital injections for a spectrally negative Lévy risk process under absolute ruin
- A drawdown reflected spectrally negative Lévy process
- Censored stable subordinators and fractional derivatives
- Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon
- Dividend problem with Parisian delay for a spectrally negative Lévy risk process
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