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Lévy Processes, Phase-Type Distributions, and Martingales - MaRDI portal

Lévy Processes, Phase-Type Distributions, and Martingales (Q2937469)

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Language	Label	Description	Also known as
English	Lévy Processes, Phase-Type Distributions, and Martingales	scientific article

Statements

scholarly article

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Lévy Processes, Phase-Type Distributions, and Martingales (English)

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Stochastic Models

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publication date

9 January 2015

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zbMATH Keywords

Lévy processes

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Kella-Whitt martingale

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Wald martingale

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Wiener-Hopf factorization

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/15326349.2014.958424

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Numerical Inversion of Laplace Transforms of Probability Distributions

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Lévy Processes and Stochastic Calculus

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Applied Probability and Queues

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Russian and American put options under exponential phase-type Lévy models.

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A multi-dimensional martingale for Markov additive processes and its applications

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On optional stopping of some exponential martingales for Lévy processes with or without reflection.

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Loss Rates for Lévy Processes with Two Reflecting Barriers

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Approximations of small jumps of Lévy processes with a view towards simulation

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American Options in Regime-Switching Models

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First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type

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Occupation Times for Markov-Modulated Brownian Motion

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Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model

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An ODE approach for the expected discounted penalty at ruin in jump-diffusion model

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Financial Modelling with Jump Processes

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Martingales and insurance risk

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First Passage of a Markov Additive Process and Generalized Jordan Chains

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Phase-type Fitting of scale functions for spectrally negative Lévy processes

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Explicit solutions of the exit problem for a class of Lévy processes; applications to the pricing of double-barrier options

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On the First Passage time for Brownian Motion Subordinated by a Lévy Process

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Singularities of the matrix exponent of a Markov additive process with one-sided jumps

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Occupation densities in solving exit problems for Markov additive processes and their reflections

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Martingales and the distribution of the time to ruin.

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The time to ruin for a class of Markov additive risk process with two-sided jumps

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Exit times for a class of random walks exact distribution results

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On perpetual American put valuation and first-passage in a regime-switching model with jumps

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Useful Martingales for Stochastic Storage Processes with Lévy-Type Input

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Useful martingales for stochastic storage processes with Lévy input

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Introductory lectures on fluctuations of Lévy processes with applications.

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On the distribution of exponential functionals for Lévy processes with jumps of rational transform

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On the Wiener-Hopf factorization for Lévy processes with bounded positive jumps

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The Theory of Scale Functions for Spectrally Negative Lévy Processes

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Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms

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Ruin probabilities for a risk model with two classes of claims

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On the exact asymptotics of the busy period in GI/G/1 queues

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On Maxima and Ladder Processes for a Dense Class of Lévy Process

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On Optimal Stopping Problems for Matrix-Exponential Jump-Diffusion Processes

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The Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times

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Identifiers

zbMATH Open document ID

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10.1080/15326349.2014.958424

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2937469

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