Exit Problems for Lévy and Markov Processes with One-Sided Jumps and Related Topics

Exit problems for one-dimensional Lévy processes are easier when jumps only occur in one direction. In the last few years, this intuition became more precise: we know now that a wide variety of identities for exit problems of spectrally-negative Lévy processes may be ergonomically expressed in terms...

Celý popis

Uloženo v:

Podrobná bibliografie
Médium:	Online
Jazyk:	angličtina
Vydáno:	MDPI - Multidisciplinary Digital Publishing Institute 2022
Témata:	Lévy processes non-random overshoots skip-free random walks fluctuation theory scale functions capital surplus process dividend payment optimal control capital injection constraint spectrally negative Lévy processes reflected Lévy processes first passage drawdown process spectrally negative process dividends de Finetti valuation objective variational problem stochastic control optimal dividends Parisian ruin log-convexity barrier strategies adjustment coefficient logarithmic asymptotics quadratic programming problem ruin probability two-dimensional Brownian motion spectrally negative Lévy process general tax structure first crossing time joint Laplace transform potential measure Laplace transform first hitting time diffusion-type process running maximum and minimum processes boundary-value problem normal reflection Sparre Andersen model heavy tails completely monotone distributions error bounds hyperexponential distribution reflected Brownian motion linear diffusions drawdown Segerdahl process affine coefficients spectrally negative Markov process hypergeometric functions capital injections bankruptcy reflection and absorption Pollaczek–Khinchine formula scale function Padé approximations Laguerre series Tricomi–Weeks Laplace inversion thema EDItEUR::G Reference, Information and Interdisciplinary subjects::GP Research and information: general thema EDItEUR::P Mathematics and Science
On-line přístup:	ONIX_20220111_9783039284580_244
Tagy:	Přidat tag Žádné tagy, Buďte první, kdo vytvoří štítek k tomuto záznamu!

Exit Problems for Lévy and Markov Processes with One-Sided Jumps and Related Topics

Podobné jednotky: Exit Problems for Lévy and Markov Processes with One-Sided Jumps and Related Topics

Podobné jednotky