Smoothness of scale functions for spectrally negative Lévy processes
From MaRDI portal
Publication:718902
DOI10.1007/s00440-010-0289-4zbMath1259.60050arXiv0903.1467OpenAlexW2063275189MaRDI QIDQ718902
Andreas E. Kyprianou, Mladen Svetoslavov Savov, Terence Chan
Publication date: 27 September 2011
Published in: Probability Theory and Related Fields (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0903.1467
Processes with independent increments; Lévy processes (60G51) Probabilistic potential theory (60J45)
Related Items
Optimal dividends and capital injections for a spectrally positive Lévy process ⋮ Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process ⋮ Fluctuations of Omega-killed spectrally negative Lévy processes ⋮ Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes ⋮ Optimality of multi-refraction control strategies in the dual model ⋮ Gambler's ruin problem in a Markov-modulated jump-diffusion risk model ⋮ On the bail-out optimal dividend problem ⋮ An Excursion-Theoretic Approach to Regulator’s Bank Reorganization Problem ⋮ Dividend payments until draw-down time for risk models driven by spectrally negative Lévy processes ⋮ Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes ⋮ Two-side exit problems for taxed Lévy risk process involving the general draw-down time ⋮ On weighted occupation times for refracted spectrally negative Lévy processes ⋮ REFRACTION–REFLECTION STRATEGIES IN THE DUAL MODEL ⋮ Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes ⋮ Gerber-Shiu function at draw-down Parisian ruin time for the spectrally negative Lévy risk process ⋮ Smoothness of certain functions in two kinds of risk models with a barrier dividend strategy ⋮ How long does the surplus stay close to its historical high? ⋮ Complete discounted cash flow valuation ⋮ Optimal dividends and capital injections in the dual model with a random time horizon ⋮ Optimal dividend policy when risk reserves follow a jump-diffusion process with a completely monotone jump density under Markov-regime switching ⋮ Spectrally negative Lévy processes with Parisian reflection below and classical reflection above ⋮ Smoothness of continuous state branching with immigration semigroups ⋮ On q-scale functions of spectrally negative Lévy processes ⋮ Martingales and rates of presence in homogeneous fragmentations ⋮ On the Bailout Dividend Problem for Spectrally Negative Markov Additive Models ⋮ A scale function based approach for solving integral-differential equations in insurance risk models ⋮ Optimality of Two-Parameter Strategies in Stochastic Control ⋮ On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy ⋮ On the limit distributions of continuous-state branching processes with immigration ⋮ A Lévy Insurance Risk Process with Tax ⋮ On optimality of the barrier strategy for a general Lévy risk process ⋮ On the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processes ⋮ On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models ⋮ Occupation densities in solving exit problems for Markov additive processes and their reflections ⋮ Alternative approach to the optimality of the threshold strategy for spectrally negative Lévy processes ⋮ Inventory Control for Spectrally Positive Lévy Demand Processes ⋮ On the drawdown of completely asymmetric Lévy processes ⋮ Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases ⋮ TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems ⋮ Games of singular control and stopping driven by spectrally one-sided Lévy processes ⋮ Optimal Periodic Replenishment Policies for Spectrally Positive Lévy Demand Processes ⋮ Multifractal spectra and precise rates of decay in homogeneous fragmentations ⋮ A note on scale functions and the time value of ruin for Lévy insurance risk processes ⋮ On a generalization of the Gerber-Shiu function to path-dependent penalties ⋮ De Finetti's optimal dividends problem with an affine penalty function at ruin ⋮ A drawdown reflected spectrally negative Lévy process ⋮ Markov chain approximations to scale functions of Lévy processes ⋮ ON OPTIMAL DIVIDENDS IN THE DUAL MODEL ⋮ Contraction options and optimal multiple-stopping in spectrally negative Lévy models ⋮ On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models ⋮ Precautionary measures for credit risk management in jump models ⋮ On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes ⋮ On the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Lévy Models ⋮ Phase-type Fitting of scale functions for spectrally negative Lévy processes ⋮ Parisian excursion below a fixed level from the last record maximum of Lévy insurance risk process ⋮ The Gapeev-Kühn stochastic game driven by a spectrally positive Lévy process ⋮ American step-up and step-down default swaps under Lévy models ⋮ Optimal dividends in the dual model under transaction costs ⋮ Optimal dividend problem with a terminal value for spectrally positive Lévy processes ⋮ Smoothness of scale functions for spectrally negative Lévy processes ⋮ Occupation times of spectrally negative Lévy processes with applications ⋮ A Ciesielski-Taylor type identity for positive self-similar Markov processes ⋮ Distribution of the Present Value of Dividend Payments in a Lévy Risk Model ⋮ Potential measures for spectrally negative Markov additive processes with applications in ruin theory ⋮ First and last passage times of spectrally positive Lévy processes with application to reliability ⋮ An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density ⋮ Evaluating Scale Functions of Spectrally Negative Lévy Processes ⋮ Optimality of Refraction Strategies for Spectrally Negative Lévy Processes ⋮ Splitting trees with neutral mutations at birth ⋮ ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS ⋮ Optimal Dividends Paid in a Foreign Currency for a Lévy Insurance Risk Model ⋮ Exit problems for general draw-down times of spectrally negative Lévy processes ⋮ OPTIMAL CAPITAL STRUCTURE WITH SCALE EFFECTS UNDER SPECTRALLY NEGATIVE LÉVY MODELS ⋮ Fractal-dimensional properties of subordinators ⋮ Optimal threshold strategies with capital injections in a spectrally negative Lévy risk model ⋮ General tax Structures and the Lévy Insurance Risk Model ⋮ A pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative markov processes, until a generalized draw-down time ⋮ Optimality of hybrid continuous and periodic barrier strategies in the dual model ⋮ Draw-down Parisian ruin for spectrally negative Lévy processes ⋮ On a doubly reflected risk process with running maximum dependent reflecting barriers ⋮ Asymptotic behavior of local times of compound Poisson processes with drift in the infinite variance case ⋮ Optimality of doubly reflected Lévy processes in singular control ⋮ q-scale function, Banach contraction principle, and ultimate ruin probability in a Markov-modulated jump–diffusion risk model
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- De Finetti's optimal dividends problem with an affine penalty function at ruin
- Smoothness of scale functions for spectrally negative Lévy processes
- Potential theory of special subordinators and subordinate killed stable processes
- On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
- Convexity and smoothness of scale functions and de Finetti's control problem
- Problem of destruction and resolvent of a terminating process with independent increments
- Exponential decay and ergodicity of completely asymmetric Lévy processes in a finite interval
- Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
- On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum
- Completely asymmetric Lévy processes confined in a finite interval
- Introductory lectures on fluctuations of Lévy processes with applications.
- Green function estimates and Harnack inequality for subordinate Brownian motions
- Passage times for a spectrally negative Lévy process with applications to risk theory
- Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes
- The two-sided exit problem for spectrally positive Lévy processes
- Exit problem for a spectrally positive process
- Hitting probabilities of single points for processes with stationary independent increments
