Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
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Publication:5459913
DOI10.1239/JAP/1208358956zbMATH Open1136.60330OpenAlexW2024909804MaRDI QIDQ5459913FDOQ5459913
Authors: Alan L. Lewis, Ernesto Mordecki 
Publication date: 30 April 2008
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1208358956
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Cited In (44)
- On the threshold dividend strategy for a generalized jump-diffusion risk model
- On Wiener-Hopf factorisation and the distribution of extrema for certain stable processes
- Old and new examples of scale functions for spectrally negative Lévy processes
- Occupation times of general Lévy processes
- On optimal stopping problems for matrix-exponential jump-diffusion processes
- A weak approximation for the Wiener–Hopf factorization
- The distribution and asympotic behaviour of the negative Wiener–Hopf factor for Lévy processes with rational positive jumps
- Lévy Processes, Phase-Type Distributions, and Martingales
- Two-sided optimal stopping for Lévy processes
- Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon
- Exit problems for jump processes having double-sided jumps with rational Laplace transforms
- Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes
- Approximating Lévy processes with completely monotone jumps
- On Maxima and Ladder Processes for a Dense Class of Lévy Process
- Meromorphic Lévy processes and their fluctuation identities
- On the distribution of exponential functionals for Lévy processes with jumps of rational transform
- Explicit solutions of the exit problem for a class of Lévy processes; applications to the pricing of double-barrier options
- Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications
- A new proof of the Wiener-Hopf factorization via Basu's theorem
- Fluctuation theory for Lévy processes with completely monotone jumps
- Wiener-Hopf factorization for a family of Lévy processes related to theta functions
- First passage times over stochastic boundaries for subdiffusive processes
- Expected discounted penalty function and asymptotic dependence of the severity of ruin and surplus prior to ruin for two-sided Lévy risk processes
- On the Wiener-Hopf factorization for Lévy processes with bounded positive jumps
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
- First exit from an open set for a matrix-exponential Lévy process
- Zooming in on a Lévy process at its supremum
- A note on first passage functionals for Lévy processes with jumps of rational Laplace transforms
- Pricing Perpetual American Compound Options under a Matrix-Exponential Jump-Diffusion Model
- On extrema of stable processes
- On the First Passage time for Brownian Motion Subordinated by a Lévy Process
- Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk
- Valuation of continuously monitored double barrier options and related securities
- VOTRE LÉVY RAMPE-T-IL?
- The \(\beta\)-Meixner model
- Extreme Value Analysis for a Markov Additive Process Driven by a Nonirreducible Background Chain
- A Generalized Renewal Equation for Perturbed Compound Poisson Processes with Two-Sided Jumps
- The distribution of refracted Lévy processes with jumps having rational Laplace transforms
- A factorization of a Lévy process over a phase-type horizon
- A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes
- A Direct Approach to the Discounted Penalty Function
- Occupation time of Lévy processes with jumps rational Laplace transforms
- Numerical techniques in Lévy fluctuation theory
- How long does the surplus stay close to its historical high?
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