scientific article
From MaRDI portal
Publication:2738722
zbMath0979.60038MaRDI QIDQ2738722
Frédérique Petit, Marc Yor, Philippe Carmona
Publication date: 12 September 2001
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lévy processexponential functionalsmathematical financesemi-Markov processrisk modelsLamperti transformgeneralized Ornstein-Uhlenbeck process
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (33)
Random recurrence equations and ruin in a Markov-dependent stochastic economic environment ⋮ A second-order fluid queue with subordinator input and Markov-modulated linear output ⋮ Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes ⋮ Ergodic properties of generalized Ornstein-Uhlenbeck processes ⋮ Approximations for the distribution of perpetuities with small discount rates ⋮ Implicit renewal theory for exponential functionals of Lévy processes ⋮ On the entire moments of self-similar Markov processes and exponential functionals of Lévy processes ⋮ The Lamperti representation of real-valued self-similar Markov processes ⋮ An Elliptic PDE with Convex Solutions ⋮ Pricing Asian options in a semimartingale model ⋮ On exponential functionals of Lévy processes ⋮ Continuous-time perpetuities and time reversal of diffusions ⋮ Rates of convergence of a transient diffusion in a spectrally negative Lévy potential ⋮ Hitting Times and the Running Maximum of Markovian Growth-Collapse Processes ⋮ Functional limit theorems for discounted exponential functional of random walk and discounted convergent perpetuity ⋮ A new formula for some linear stochastic equations with applications ⋮ On a martingale associated to generalized Ornstein-Uhlenbeck processes and an application to finance ⋮ Analysis of market weights under volatility-stabilized market models ⋮ Conditions for certain ruin for the generalised Ornstein-Uhlenbeck process and the structure of the upper and lower bounds ⋮ Penalization of a positively recurrent diffusion by an exponential function of its local time ⋮ Exact conditions for no ruin for the generalised Ornstein-Uhlenbeck process ⋮ A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback ⋮ Conditioned stable Lévy processes and the Lamperti representation ⋮ Discretization of the Lamperti representation of a positive self-similar Markov process ⋮ Integrated insurance risk models with exponential Lévy investment ⋮ Large Deviations for Clocks of Self-similar Processes ⋮ The stationarity of multidimensional generalized Ornstein-Uhlenbeck processes ⋮ Transient Moments of the TCP Window Size Process ⋮ Kac-Lévy processes ⋮ Continuity properties and infinite divisibility of stationary distributions of some generalized Ornstein-Uhlenbeck processes ⋮ Weak limits of random coefficient autoregressive processes and their application in ruin theory ⋮ Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes ⋮ The Mean of Marshall–Olkin-Dependent Exponential Random Variables
This page was built for publication:
