First passage problems for upwards skip-free random walks via the scale functions paradigm

DOI10.1017/APR.2019.17MaRDI QIDQ5203941zbMATH OpenOpenAlexWikidataFDO

Authors F. Avram, Matija Vidmar

Publication date 9 December 2019

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1708.06080

zbMATH Keywords

random walkmartingalescale functioncompound binomial risk modelskip-free Markovian jump process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sums of independent random variables; random walks (60G50)

Abstract: We develop the theory of the $W$ and $Z$ scale functions for right-continuous (upwards skip-free) discrete-time discrete-space random walks, along the lines of the analogue theory for spectrally negative L'evy processes. Notably, we introduce for the first time in this context the one and two-parameter scale functions $Z$, which appear for example in the joint problem of deficit at ruin and time of ruin, and in problems concerning the walk reflected at an upper barrier. Comparisons are made between the various theories of scale functions as one makes time and/or space continuous. The theory is shown to be fruitful by providing a convenient unified framework for studying dividends-capital injection problems under various objectives, for the so-called compound binomial risk model of actuarial science.

Recommendations

• A note on the times of first passage for `nearly right-continuous' random walks
• TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
• A random walk with a skip-free component and the Lagrange inversion formula
• On crossing times for multidimensional walks with skip-free components
• The theory of scale functions for spectrally negative Lévy processes

Cites work

• scientific article; zbMATH DE number 3586234 (Why is no real title available?)
• scientific article; zbMATH DE number 2149874 (Why is no real title available?)
• scientific article; zbMATH DE number 5018192 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• scientific article; zbMATH DE number 3194856 (Why is no real title available?)
• A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier
• A combinatorial approach to the two-sided exit problem for left-continuous random walks
• An elementary approach to discrete models of dividend strategies
• Basic analytic combinatorics of directed lattice paths
• Discounted probabilities and ruin theory in the compound binomial model
• Exit identities for Lévy processes observed at Poisson arrival times
• Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
• Exponential decay and ergodicity of completely asymmetric Lévy processes in a finite interval
• First passage problems for upwards skip-free random walks via the scale functions paradigm
• Fluctuations of Lévy processes with applications. Introductory lectures
• Markov chain approximations to scale functions of Lévy processes
• Mathematical fun with ruin theory
• Non-random overshoots of L\'evy processes
• Occupation densities in solving exit problems for Markov additive processes and their reflections
• Occupation times of intervals until first passage times for spectrally negative Lévy processes
• On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function
• On the escape probability for a left or right continuous random walk
• On the joint distribution of tax payments and capitalinjections for a Lévy risk model
• On the optimal dividend problem for a spectrally negative Lévy process
• Problem of destruction and resolvent of a terminating process with independent increments
• Ruin probabilities in the compound binomial model
• SOME RESULTS FOR SKIP-FREE RANDOM WALK
• Skip-free Markov chains
• The theory of scale functions for spectrally negative Lévy processes
• TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems

Cited in

(9)

• Exit times for a discrete Markov additive process
• TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
• On Block Skip Free Transition Matrices and First Passage Times
• Sterile versus prolific individuals pertaining to linear-fractional Bienaymé-Galton-Watson trees
• On crossing times for multidimensional walks with skip-free components
• Fluctuations of an omega-type killed process in discrete time
• First passage problems for upwards skip-free random walks via the scale functions paradigm
• Exit problems for positive self-similar Markov processes with one-sided jumps
• Some harmonic functions for killed Markov branching processes with immigration and culling

This page was built for publication: First passage problems for upwards skip-free random walks via the scale functions paradigm

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5203941)