The two-sided exit problem for spectrally positive Lévy processes
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DOI10.2307/1427548zbMATH Open0698.60063OpenAlexW2429594514MaRDI QIDQ3476089FDOQ3476089
Publication date: 1990
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1427548
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- A hitting time for Lévy processes, with application to dams and branching processes
- Two-sided discounted potential measures for spectrally negative Lévy processes
- Occupation densities in solving exit problems for Markov additive processes and their reflections
- Some fluctuation identities for Lévy processes with jumps of the same sign
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- Explicit solutions of the exit problem for a class of Lévy processes; applications to the pricing of double-barrier options
- Passage times for a spectrally negative Lévy process with applications to risk theory
- The two-barrier escape problem for compound renewal processes with two-sided jumps
- Unified approach for solving exit problems for additive-increase and multiplicative-decrease processes
- On q-scale functions of spectrally negative Lévy processes
- Transition densities of spectrally positive Lévy processes
- Smoothness of scale functions for spectrally negative Lévy processes
- Fluctuations of Lévy processes and scattering theory
- Lévy Processes with Two-Sided Reflection
- On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum
- On several two-boundary problems for a particular class of Lévy processes
- Escape probabilities from an interval for compound Poisson processes with drift
- Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes
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