Lévy matters II. Recent progress in theory and applications: fractional Lévy fields, and scale functions.
DOI10.1007/978-3-642-31407-0zbMATH Open1252.60001OpenAlexW2483266773MaRDI QIDQ434147FDOQ434147
Alexey Kuznetsov, Víctor Manuel Rivero, Serge Cohen, A. E. Kyprianou
Publication date: 9 July 2012
Published in: Lecture Notes in Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-31407-0
Processes with independent increments; Lévy processes (60G51) Collections of articles of miscellaneous specific interest (00B15) General theory of simulation (00A72) Proceedings, conferences, collections, etc. pertaining to probability theory (60-06)
Cited In (7)
- Perpetual American options with asset-dependent discounting
- A note on series representation for the \(q\)-scale function of a class of spectrally negative Lévy processes
- Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes
- Historical survey: the chronicles of fractional calculus
- Poissonian occupation times of refracted Lévy processes with applications
- Fractional calculus: quo vadimus? (where are we going?)
- On the bail-out optimal dividend problem
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