Lévy processes, phase-type distributions, and martingales
DOI10.1080/15326349.2014.958424zbMATH Open1305.60033OpenAlexW1991461165MaRDI QIDQ2937469FDOQ2937469
Authors: Søren Asmussen 
Publication date: 9 January 2015
Published in: Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/15326349.2014.958424
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Cites Work
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- Title not available (Why is that?)
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Cited In (9)
- Lévy processes in finance: A remedy to the non-stationarity of continuous martingales
- From PH/MAP to ME/RAP
- On scale functions for Lévy processes with negative phase-type jumps
- Kac-Lévy processes
- Lévy processes with two-sided reflection
- Lévy processes, polynomials and martingales
- Useful martingales for stochastic storage processes with Lévy-type input
- Gerber-Shiu function for a class of Markov-modulated Lévy risk processes with two-sided jumps
- Occupation times for the finite buffer fluid queue with phase-type ON-times
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