Introductory lectures on fluctuations of Lévy processes with applications.
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(only showing first 100 items - show all)- Uniform boundary Harnack principle for rotationally symmetric Lévy processes in general open sets
- Queues with Lévy input and hysteretic control
- Predicting the ultimate supremum of a stable Lévy process with no negative jumps
- Mittag-Leffler functions and stable Lévy processes without negative jumps
- Some explicit identities associated with positive self-similar Markov processes
- Analysis of stochastic fluid queues driven by local-time processes
- On entire moments of self-similar Markov processes
- Asymptotic stability in the \(p\)th moment for stochastic differential equations with Lévy noise
- First passage of time-reversible spectrally negative Markov additive processes
- Estimation of model parameters of dependent processes constructed using Lévy copulas
- Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias
- Occupation times of refracted Lévy processes
- Optimal stopping problems for some Markov processes
- Irreversible investment under Lévy uncertainty: an equation for the optimal boundary
- 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
- An optimal stopping problem for fragmentation processes
- On Wiener-Hopf factors for stable processes
- The law of the supremum of a stable Lévy process with no negative jumps
- Bounds on exponential moments of hitting times for reflected processes on the positive orthant
- Refracted Lévy processes
- Asymptotic analysis of Lévy-driven tandem queues
- Variational solutions of the pricing PIDEs for European options in Lévy models
- A Lévy Insurance Risk Process with Tax
- On the tail asymptotics of the area swept under the Brownian storage graph
- On the threshold dividend strategy for a generalized jump-diffusion risk model
- A remarkable \(\sigma\)-finite measure unifying supremum penalisations for a stable Lévy process
- Optimal stopping, Appell polynomials, and Wiener-Hopf factorization
- Lévy-Khintchine random matrices and the Poisson weighted infinite skeleton tree
- On the small-time behavior of subordinators
- Transient analysis of Lévy-driven tandem queues
- Transient analysis of reflected Lévy processes
- Lévy processes and their applications in reliability and storage
- An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density
- Marginal queue length approximations for a two-layered network with correlated queues
- First Passage of a Markov Additive Process and Generalized Jordan Chains
- \(LU\)-factorization versus Wiener-Hopf factorization for Markov chains
- The convex minorant of a Lévy process
- Heavy tails of a Lévy process and its maximum over a random time interval
- On the Correlation Structure of a Lévy-Driven Queue
- On Lévy processes conditioned to avoid zero
- Convex minorants and the fluctuation theory of Lévy processes
- Fractional diffusion limit for a kinetic equation with an interface
- Small value probabilities for continuous state branching processes with immigration
- A refined factorization of the exponential law
- A note on first passage probabilities of a Lévy process reflected at a general barrier
- An equilibrium model for spot and forward prices of commodities
- Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels
- On the Wiener-Hopf factorization for Lévy processes with bounded positive jumps
- A time-homogeneous diffusion model with tax
- On the exponential process associated with a CARMA-type process
- Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process
- Optimal Stopping for Processes with Independent Increments, and Applications
- Boundary Harnack principle for subordinate Brownian motions
- On the limit distributions of continuous-state branching processes with immigration
- On the boundary behavior of multi-type continuous-state branching processes with immigration
- On the infimum attained by a reflected Lévy process
- Super-Brownian Motion: L p -Convergence of Martingales Through the Pathwise Spine Decomposition
- On the First Passage time for Brownian Motion Subordinated by a Lévy Process
- Old and new examples of scale functions for spectrally negative Lévy processes
- 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
- On the time spent in the red by a refracted Lévy risk process
- A note on Wiener-Hopf factorization for Markov additive processes
- A Lévy input model with additional state-dependent services
- Computing the finite-time expected discounted penalty function for a family of Lévy risk processes
- Recent results in the theory and applications of CARMA processes
- Multivariate COGARCH(1, 1) processes
- Transient Asymptotics of Lévy-Driven Queues
- Simulation-based computation of the workload correlation function in a Lévy-driven queue
- Central limit theorems for super Ornstein-Uhlenbeck processes
- A spectral element framework for option pricing under general exponential Lévy processes
- Ratchet consumption over finite and infinite planning horizons
- The first passage time problem for mixed-exponential jump processes with applications in insurance and finance
- Fluctuation identities for omega-killed spectrally negative Markov additive processes and dividend problem
- Asian options under one-sided Lévy models
- Asymptotic results for heavy-tailed Lévy processes and their exponential functionals
- Quasi-stationary workload in a Lévy-driven storage system
- The distribution of refracted Lévy processes with jumps having rational Laplace transforms
- Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation
- An approach for solving perpetual optimal stopping problems driven by Lévy processes
- One-sided FKPP travelling waves for homogeneous fragmentation processes
- Optimal multiple stopping with negative discount rate and random refraction times under Lévy models
- Parisian ruin in the dual model with applications to the \(G/M/1\) queue
- From the second law of thermodynamics to AC-conductivity measures of interacting fermions in disordered media
- Occupation times for Markov-modulated Brownian motion
- Stable laws for chaotic billiards with cusps at flat points
- Two-sided optimal stopping for Lévy processes
- The optimal stopping problem concerned with ultimate maximum of a Lévy process
- Optimal stopping for Lévy processes with one-sided solutions
- Optimal exchange rates management using stochastic impulse control for geometric Lévy processes
- Beating the omega clock: an optimal stopping problem with random time-horizon under spectrally negative Lévy models
- On the supremum of the spectrally negative stable process with drift
- Moments of discounted dividend payments in a risk model with randomized dividend-decision times
- Distributional divergence, statistical experiments and consequences in option pricing
- Gerber-Shiu functionals for classical risk processes perturbed by an \(\alpha\)-stable motion
- On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk theory
- Reserve-dependent surrender rates
- Functional limit theorems for processes pieced together from excursions
- Mean exit time and escape probability for a tumor growth system under non-Gaussian noise
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