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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...

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Format: Online
Language:English
Published: MDPI - Multidisciplinary Digital Publishing Institute 2022
Subjects:
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
Online Access:ONIX_20220111_9783039284580_244
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