Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
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Cites work
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Cited in
(51)- On Wiener-Hopf factorisation and the distribution of extrema for certain stable processes
- Zooming in on a Lévy process at its supremum
- A note on first passage functionals for Lévy processes with jumps of rational Laplace transforms
- Occupation times of general Lévy processes
- 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
- Occupation time of Lévy processes with jumps rational Laplace transforms
- Two-sided optimal stopping for Lévy processes
- Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon
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- Approximating Lévy processes with completely monotone jumps
- Fluctuation theory for Lévy processes with completely monotone jumps
- Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications
- A weak approximation for the Wiener–Hopf factorization
- On optimal stopping problems for matrix-exponential jump-diffusion processes
- Old and new examples of scale functions for spectrally negative Lévy processes
- Lévy processes, phase-type distributions, and martingales
- Wiener-Hopf factorization for a family of Lévy processes related to theta functions
- A Direct Approach to the Discounted Penalty Function
- VOTRE LÉVY RAMPE-T-IL?
- A new proof of the Wiener-Hopf factorization via Basu's theorem
- A Generalized Renewal Equation for Perturbed Compound Poisson Processes with Two-Sided Jumps
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
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- On the Wiener-Hopf factorization for Lévy processes with bounded positive jumps
- Meromorphic Lévy processes and their fluctuation identities
- A weak approximation for the extrema's distributions of Lévy processes
- A factorization of a Lévy process over a phase-type horizon
- Pricing perpetual American compound options under a matrix-exponential jump-diffusion model
- The distribution of refracted Lévy processes with jumps having rational Laplace transforms
- Valuation of continuously monitored double barrier options and related securities
- First passage times over stochastic boundaries for subdiffusive processes
- Extreme value analysis for a Markov additive process driven by a nonirreducible background chain
- How long does the surplus stay close to its historical high?
- The distribution and asymptotic behaviour of the negative Wiener-Hopf factor for Lévy processes with rational positive jumps
- On extrema of stable processes
- On Maxima and Ladder Processes for a Dense Class of Lévy Process
- Expected discounted penalty function and asymptotic dependence of the severity of ruin and surplus prior to ruin for two-sided Lévy risk processes
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- The uniqueness of the Wiener-Hopf factorisation of Lévy processes and random walks
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- Accurate and efficient approximation of large-scale appointment schedules
- Discounted densities of overshoot and undershoot for Lévy processes with applications in finance
- Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk
- The \(\beta\)-Meixner model
- Explicit solutions of the exit problem for a class of Lévy processes; applications to the pricing of double-barrier options
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