scientific article; zbMATH DE number 2217836

MaRDI QIDQ5699574zbMATH OpenFDO

Authors F. Avram, Martijn R. Pistorius, Miguel A. Usábel

Publication date 26 October 2005

zbMATH Keywords

phase-type distributiontwo sided exit problemWiener-Hopf factorization of matrices

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

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• The two-barrier escape problem for compound renewal processes with two-sided jumps
• PH approximation of two-barrier ruin probability for Lévy risk having two-sided PH jumps
• Matrix representations of Wiener-Hopf factorisations for Lévy processes

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