Lévy processes, phase-type distributions, and martingales
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Cites work
- scientific article; zbMATH DE number 2149875 (Why is no real title available?)
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- On perpetual American put valuation and first-passage in a regime-switching model with jumps
- On the First Passage time for Brownian Motion Subordinated by a Lévy Process
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- On the exact asymptotics of the busy period in GI/G/1 queues
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- Useful martingales for stochastic storage processes with Lévy-type input
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Cited in
(9)- Kac-Lévy processes
- Lévy processes with two-sided reflection
- Lévy processes in finance: A remedy to the non-stationarity of continuous martingales
- Useful martingales for stochastic storage processes with Lévy-type input
- Lévy processes, polynomials and martingales
- Occupation times for the finite buffer fluid queue with phase-type ON-times
- Gerber-Shiu function for a class of Markov-modulated Lévy risk processes with two-sided jumps
- On scale functions for Lévy processes with negative phase-type jumps
- From PH/MAP to ME/RAP
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