VOTRE LÉVY RAMPE-T-IL?
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Publication:3151097
DOI10.1112/S0024610701002885zbMath1016.60054MaRDI QIDQ3151097
Publication date: 22 October 2002
Published in: Journal of the London Mathematical Society (Search for Journal in Brave)
Processes with independent increments; Lévy processes (60G51) Sample path properties (60G17) Transition functions, generators and resolvents (60J35)
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Right inverses of nonsymmetric Lévy processes. ⋮ On future drawdowns of Lévy processes ⋮ Passage time and fluctuation calculations for subexponential Lévy processes ⋮ Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes ⋮ Convolution equivalent Lévy processes and first passage times ⋮ Extensions of Regularity for a Lévy Process ⋮ Stability of overshoots of Markov additive processes ⋮ Creeping of Lévy processes through curves ⋮ Implicit renewal theory for exponential functionals of Lévy processes ⋮ Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid ⋮ Explicit identities for Lévy processes associated to symmetric stable processes ⋮ The convex minorant of a Lévy process ⋮ Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases ⋮ Moment and MGF convergence of overshoots and undershoots for Lévy insurance risk processes ⋮ Lipschitz minorants of Brownian motion and Lévy processes ⋮ On a generalization of the Gerber-Shiu function to path-dependent penalties ⋮ Dini derivatives and regularity for exchangeable increment processes ⋮ SLE and \(\alpha \)-SLE driven by Lévy processes ⋮ Predicting the time at which a Lévy process attains its ultimate supremum ⋮ Exact and asymptotic \(n\)-tuple laws at first and last passage ⋮ A Lévy input model with additional state-dependent services ⋮ Ruin probabilities and overshoots for general Lévy insurance risk processes ⋮ Overshoots and undershoots of Lévy processes ⋮ Invariance principles for local times at the maximum of random walks and Lévy processes ⋮ Right inverses of Lévy processes ⋮ On suprema of Lévy processes and application in risk theory ⋮ Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms ⋮ A note on limiting distribution for jumps of Lévy insurance risk model ⋮ On extreme ruinous behaviour of Lévy insurance risk processes ⋮ Some new classes and techniques in the theory of Bernstein functions ⋮ The first passage event for sums of dependent Lévy processes with applications to insurance risk ⋮ Abrupt Lévy processes. ⋮ Buffer-overflows: joint limit laws of undershoots and overshoots of reflected processes ⋮ A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes ⋮ Sample path behavior of a Lévy insurance risk process approaching ruin, under the Cramér-Lundberg and convolution equivalent conditions
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