Lévy Processes, Phase-Type Distributions, and Martingales

DOI10.1080/15326349.2014.958424zbMath1305.60033OpenAlexW1991461165MaRDI QIDQ2937469

Soren Asmussen

Publication date: 9 January 2015

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349.2014.958424

zbMATH Keywords

Lévy processesWiener-Hopf factorizationKella-Whitt martingaleWald martingale

Mathematics Subject Classification ID

Related Items (6)

From PH/MAP to ME/RAP ⋮ Occupation times for the finite buffer fluid queue with phase-type ON-times ⋮ Gerber-Shiu function for a class of Markov-modulated Lévy risk processes with two-sided jumps ⋮ Lévy Processes with Two-Sided Reflection ⋮ Kac-Lévy processes ⋮ On scale functions for Lévy processes with negative phase-type jumps

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