Lévy matters II. Recent progress in theory and applications: fractional Lévy fields, and scale functions.

DOI10.1007/978-3-642-31407-0MaRDI QIDQ434147zbMATH OpenOpenAlexFDO

Authors Serge Cohen, Alexey Kuznetsov, A. E. Kyprianou, Víctor Manuel Rivero

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

Mathematics Subject Classification ID

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)

• Fractional calculus: quo vadimus? (where are we going?)
• Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes
• On the bail-out optimal dividend problem
• Historical survey: the chronicles of fractional calculus
• Poissonian occupation times of refracted Lévy processes with applications
• 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

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