Publication:4662396
From MaRDI portal
zbMath1079.60048MaRDI QIDQ4662396
Publication date: 30 March 2005
60G51: Processes with independent increments; Lévy processes
60G44: Martingales with continuous parameter
Related Items
On fluctuation theory for spectrally negative Lévy processes with Parisian reflection below, and applications, Occupation times of alternating renewal processes with Lévy applications, Unifying the Dynkin and Lebesgue–Stieltjes formulae, LOCAL RISK MINIMIZATION OF CONTINGENT CLAIMS SIMULTANEOUSLY EXPOSED TO ENDOGENOUS AND EXOGENOUS DEFAULT TIMES, TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems, Useful Martingales for Stochastic Storage Processes with Lévy-Type Input, Occupation densities in solving exit problems for Markov additive processes and their reflections, On the drawdown of completely asymmetric Lévy processes, Penalisation of a stable Lévy process involving its one-sided supremum, Busy period, virtual waiting time and number of customers in \(G^{\delta }|M^{\kappa}|1| \text B\) system, Renewal theorems and stability for the reflected process, Exit problems for the difference of a compound Poisson process and a compound renewal process, Queues with Lévy input and hysteretic control, On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function, Lévy risk model with two-sided jumps and a barrier dividend strategy, Lévy Processes with Two-Sided Reflection, Lévy Processes, Phase-Type Distributions, and Martingales, A New Proof of the Wiener-Hopf Factorization via Basu's Theorem, Fluctuations of Lévy processes and scattering theory, Queues with Delays in Two-State Strategies and Lévy Input, Lévy processes with adaptable exponent