A Wiener-Hopf Type Method for a General Random Walk with a Two-Sided Boundary

Cited in

(22)

Limit theorems in a boundary crossing problem for random walks
Intersections of an Interval By a Difference of a Compound Poisson Process and a Compound Renewal Process
Sequential testing for exponential and pareto distributions
On the asymptotics of the ruin probability
Asymptotic expansions in a boundary problem
THE WIENER-HOPF TECHNIQUE AND DISCRETELY MONITORED PATH-DEPENDENT OPTION PRICING
On a walk in a strip with inhibitory boundaries
Exact calculation of the distributions of the stopping times of two types of truncated SPRT for the mean of the exponential distribution
Distributional Properties of CUSUM Stopping Times and Stopped Processes
Three-term asymptotic expansions for the moments of the random walk with triangular distributed interference of chance
The oscillating random walk
Properties of factorization operators in boundary crossing problems for random walks
On some boundary crossing problems for Gaussian random walks
On the number of claims until ruin in a two-barrier renewal risk model with Erlang mixtures
Hilbert transform, spectral filters and option pricing
Asymptotic expansions for the moments of the Gaussian random walk with two barriers
Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
Two-boundary problems for semi-Markov walk with a linear drift
Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
Intersections of the interval and reflections for a semi-Markov walk with linear drift
Convolution equation with a kernel represented by gamma distributions
Distributional Properties of CUSUM Stopping Times

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