Unified approach for solving exit problems for additive-increase and multiplicative-decrease processes

DOI10.1017/jpr.2022.27OpenAlexW3127689974MaRDI QIDQ5880987

Stella Kapodistria, Remco van der Hofstad, Zbigniew Palmowski, Vsevolod Shneer

Publication date: 9 March 2023

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2102.00438

zbMATH Keywords

first passage timesLaplace-Stieltjes transformstorageexit timesqueueing processfirst-step analysisAIMD algorithmgrowth-collapse processadditive-increase and multiplicative-decrease process

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Cites Work

• On the optimal dividend problem for insurance risk models with surplus-dependent premiums
• Occupation densities in solving exit problems for Markov additive processes and their reflections
• Synchronized reneging in queueing systems with vacations
• Evaluating growth measures in an immigration process subject to binomial and geometric catastrophes
• Formulas for stopped diffusion processes with stopping times based on the maximum
• Exponential decay and ergodicity of completely asymmetric Lévy processes in a finite interval
• AIMD algorithms and exponential functionals
• Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
• First exit time from a bounded interval for a certain class of additive functionals of Brownian motion
• Fluctuations of Omega-killed spectrally negative Lévy processes
• On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum
• TCP and iso-stationary transformations
• Fluctuation theory for level-dependent Lévy risk processes
• Two-sided exit problem for a spectrally negative \(\alpha \)-stable Ornstein-Uhlenbeck process and the Wright's generalized hypergeometric functions
• Introductory lectures on fluctuations of Lévy processes with applications.
• Exit times for a class of piecewise exponential Markov processes with two-sided jumps
• The parabolic differential equations and the associated semigroups of transformation
• The general diffusion operator and positivity preserving semigroups in one dimension
• On second order differential operators
• Hitting Times and the Running Maximum of Markovian Growth-Collapse Processes
• The two-sided exit problem for spectrally positive Lévy processes
• The Gerber-shiu Expected Discounted Penalty-reward Function under an Affine Jump-diffusion Model
• Exit problem for a spectrally positive process
• Fluctuation theory in continuous time
• Ruin theory with stochastic return on investments
• A Markovian analysis of additive-increase multiplicative-decrease algorithms
• Séminaire de Probabilités XXXVIII
• Unifying the Dynkin and Lebesgue–Stieltjes formulae
• A unified approach for drawdown (drawup) of time-homogeneous Markov processes
• On the First Exit Time of a Completely Asymmetric Stable Process from a Finite Interval
• TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
• On the First Passage Time Across a Given Level for Processes with Independent Increments
• Solutions for some diffusion processes with two barriers
• The First Passage Problem for a Continuous Markov Process
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item