Wiener-Hopf Factorization for a Family of Lévy Processes Related to Theta Functions

DOI10.1239/jap/1294170516zbMath1223.60029arXiv1201.5867OpenAlexW2119513879MaRDI QIDQ3067843

Alexey Kuznetsov

Publication date: 13 January 2011

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.5867

zbMATH Keywords

Lévy processestheta functionWiener-Hopf factorizationmeromorphic functioninfinite product

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Characteristic functions; other transforms (60E10)

Related Items (13)

Computing the finite-time expected discounted penalty function for a family of Lévy risk processes ⋮ Occupation times of general Lévy processes ⋮ On the Wiener-Hopf factorization for Lévy processes with bounded positive jumps ⋮ Meromorphic Lévy processes and their fluctuation identities ⋮ The \(\beta \)-variance gamma model ⋮ Asian options and meromorphic Lévy processes ⋮ On exact sampling of the first passage event of a Lévy process with infinite Lévy measure and bounded variation ⋮ The distribution and asympotic behaviour of the negative Wiener–Hopf factor for Lévy processes with rational positive jumps ⋮ The \(\beta\)-Meixner model ⋮ Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions ⋮ The extended hypergeometric class of Lévy processes ⋮ A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes ⋮ Approximating Lévy processes with completely monotone jumps

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