Introductory lectures on fluctuations of Lévy processes with applications.
From MaRDI portal
Publication:2500514
DOI10.1007/978-3-540-31343-4zbMATH Open1104.60001OpenAlexW356737467MaRDI QIDQ2500514FDOQ2500514
Authors: A. E. Kyprianou 
Publication date: 17 August 2006
Published in: Universitext (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-540-31343-4
Recommendations
Processes with independent increments; Lévy processes (60G51) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Sums of independent random variables; random walks (60G50) Stable stochastic processes (60G52)
Cited In (only showing first 100 items - show all)
- On the threshold dividend strategy for a generalized jump-diffusion risk model
- A refined factorization of the exponential law
- Boundary Harnack principle for subordinate Brownian motions
- Lévy processes and their applications in reliability and storage
- The convex minorant of a Lévy process
- Old and new examples of scale functions for spectrally negative Lévy processes
- On entire moments of self-similar Markov processes
- Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process
- Asymptotic analysis of Lévy-driven tandem queues
- A remarkable \(\sigma\)-finite measure unifying supremum penalisations for a stable Lévy process
- Heavy tails of a Lévy process and its maximum over a random time interval
- Computing the finite-time expected discounted penalty function for a family of Lévy risk processes
- On the tail asymptotics of the area swept under the Brownian storage graph
- Transient analysis of reflected Lévy processes
- Transient analysis of Lévy-driven tandem queues
- On Lévy processes conditioned to avoid zero
- A note on first passage probabilities of a Lévy process reflected at a general barrier
- A spectral element framework for option pricing under general exponential Lévy processes
- An optimal stopping problem for fragmentation processes
- Bounds on exponential moments of hitting times for reflected processes on the positive orthant
- On the boundary behavior of multi-type continuous-state branching processes with immigration
- Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias
- Irreversible investment under Lévy uncertainty: an equation for the optimal boundary
- Estimation of model parameters of dependent processes constructed using Lévy copulas
- Optimal stopping problems for some Markov processes
- Super-Brownian Motion: L p -Convergence of Martingales Through the Pathwise Spine Decomposition
- On the small-time behavior of subordinators
- Small value probabilities for continuous state branching processes with immigration
- An equilibrium model for spot and forward prices of commodities
- Predicting the ultimate supremum of a stable Lévy process with no negative jumps
- Mittag-Leffler functions and stable Lévy processes without negative jumps
- Optimal Stopping for Processes with Independent Increments, and Applications
- Some explicit identities associated with positive self-similar Markov processes
- Lévy-Khintchine random matrices and the Poisson weighted infinite skeleton tree
- On the infimum attained by a reflected Lévy process
- 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
- A note on Wiener-Hopf factorization for Markov additive processes
- Recent results in the theory and applications of CARMA processes
- Central limit theorems for super Ornstein-Uhlenbeck processes
- Ratchet consumption over finite and infinite planning horizons
- First passage of time-reversible spectrally negative Markov additive processes
- On the Wiener-Hopf factorization for Lévy processes with bounded positive jumps
- A Lévy Insurance Risk Process with Tax
- Convex minorants and the fluctuation theory of Lévy processes
- On the First Passage time for Brownian Motion Subordinated by a Lévy Process
- A Lévy input model with additional state-dependent services
- Fractional diffusion limit for a kinetic equation with an interface
- On the Correlation Structure of a Lévy-Driven Queue
- Suprema of Lévy processes
- Asymptotic stability in the \(p\)th moment for stochastic differential equations with Lévy noise
- Occupation times of refracted Lévy processes
- The distribution of tax payments in a Lévy insurance risk model with a surplus-dependent taxation structure
- On suprema of Lévy processes and application in risk theory
- The law of the supremum of a stable Lévy process with no negative jumps
- Refracted Lévy processes
- Marginal queue length approximations for a two-layered network with correlated queues
- Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels
- Uniform boundary Harnack principle for rotationally symmetric Lévy processes in general open sets
- Queues with Lévy input and hysteretic control
- First Passage of a Markov Additive Process and Generalized Jordan Chains
- A time-homogeneous diffusion model with tax
- On the time spent in the red by a refracted Lévy risk process
- An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density
- Optimal stopping, Appell polynomials, and Wiener-Hopf factorization
- \(LU\)-factorization versus Wiener-Hopf factorization for Markov chains
- On the limit distributions of continuous-state branching processes with immigration
- Transient Asymptotics of Lévy-Driven Queues
- Variational solutions of the pricing PIDEs for European options in Lévy models
- On Wiener-Hopf factors for stable processes
- Analysis of stochastic fluid queues driven by local-time processes
- Simulation-based computation of the workload correlation function in a Lévy-driven queue
- De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process
- Liouville quantum gravity and the Brownian map. I: The \(\text{QLE}(8/3,0)\) metric
- Occupation times of general Lévy processes
- A risk model with varying premiums: its risk management implications
- Optimality of excess-loss reinsurance under a mean-variance criterion
- Optimality of Two-Parameter Strategies in Stochastic Control
- A drawdown reflected spectrally negative Lévy process
- Generalized expected discounted penalty function at general drawdown for Lévy risk processes
- Hitting distributions of \(\alpha\)-stable processes via path censoring and self-similarity
- Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes
- Heavy-traffic limits for an infinite-server fork-join queueing system with dependent and disruptive services
- Ray-Knight representation of flows of branching processes with competition by pruning of Lévy trees
- Spectrally negative Lévy processes perturbed by functionals of their running supremum
- Equilibrium equity price with optimal dividend policy
- Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method
- On the First Passage Time Under Regime-Switching with Jumps
- Ruin probabilities in classical risk models with gamma claims
- A Ciesielski-Taylor type identity for positive self-similar Markov processes
- Time-changed extremal process as a random sup measure
- On the windings of complex-valued Ornstein-Uhlenbeck processes driven by a Brownian motion and by a stable process
- Spectral decomposition of fractional operators and a reflected stable semigroup
- Clustering of financial instruments using jump tail dependence coefficient
- Limit theorems for Smoluchowski dynamics associated with critical continuous-state branching processes
- Hedging of defaultable claims in a structural model using a locally risk-minimizing approach
- On an explicit Skorokhod embedding for spectrally negative Lévy processes
- Zooming in on a Lévy process at its supremum
- Malliavin calculus for subordinated Lévy process
- Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations
This page was built for publication: Introductory lectures on fluctuations of Lévy processes with applications.
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2500514)
