Evaluating Scale Functions of Spectrally Negative Lévy Processes
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Publication:5459914
DOI10.1239/JAP/1208358957zbMATH Open1140.60027OpenAlexW1983299089MaRDI QIDQ5459914FDOQ5459914
Authors: Budhi A. Surya 
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/1208358957
Recommendations
- The theory of scale functions for spectrally negative Lévy processes
- On scale functions for Lévy processes with negative phase-type jumps
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Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods for discrete and fast Fourier transforms (65T50)
Cites Work
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Cited In (41)
- On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models
- Old and new examples of scale functions for spectrally negative Lévy processes
- A note on series representation for the \(q\)-scale function of a class of spectrally negative Lévy processes
- TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
- Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
- On series expansions for scale functions and other ruin-related quantities
- Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method
- Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process
- Analysis of a drawdown-based regime-switching Lévy insurance model
- Evaluating first-passage probabilities for spectrally one-sided Lévy processes
- An optimal dividends problem with transaction costs for spectrally negative Lévy processes
- Occupation times of spectrally negative Lévy processes with applications
- Special, conjugate and complete scale functions for spectrally negative Lévy processes
- A note on scale functions and the time value of ruin for Lévy insurance risk processes
- Smoothness of scale functions for spectrally negative Lévy processes
- On optimal dividends in the dual model
- Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes
- On scale functions for Lévy processes with negative phase-type jumps
- Precautionary measures for credit risk management in jump models
- An Excursion-Theoretic Approach to Regulator’s Bank Reorganization Problem
- Occupation times of alternating renewal processes with Lévy applications
- The distribution of tax payments in a Lévy insurance risk model with a surplus-dependent taxation structure
- Refracted Lévy processes
- Phase-type Fitting of scale functions for spectrally negative Lévy processes
- Games of singular control and stopping driven by spectrally one-sided Lévy processes
- Last Exit Before an Exponential Time for Spectrally Negative Lévy Processes
- Discounted penalty function at Parisian ruin for Lévy insurance risk process
- General tax structures and the Lévy insurance risk model
- An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density
- A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes
- Parisian excursion below a fixed level from the last record maximum of Lévy insurance risk process
- On occupation times in the red of Lévy risk models
- Optimal capital structure with scale effects under spectrally negative Lévy models
- Lévy processes with adaptable exponent
- A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes
- Markov chain approximations to scale functions of Lévy processes
- Contraction options and optimal multiple-stopping in spectrally negative Lévy models
- Numerical techniques in Lévy fluctuation theory
- The theory of scale functions for spectrally negative Lévy processes
- Poissonian occupation times of spectrally negative Lévy processes with applications
- On future drawdowns of Lévy processes
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