scientific article
From MaRDI portal
Publication:3526631
zbMath1156.60060MaRDI QIDQ3526631
Zbigniew Palmowski, Andreas E. Kyprianou
Publication date: 25 September 2008
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Local time and additive functionals (60J55)
Related Items (36)
Unified approach for solving exit problems for additive-increase and multiplicative-decrease processes ⋮ Splitting and time reversal for Markov additive processes ⋮ Gambler's ruin problem in a Markov-modulated jump-diffusion risk model ⋮ Two-Sided Reflection of Markov-Modulated Brownian Motion ⋮ An optimal stopping problem for spectrally negative Markov additive processes ⋮ Some harmonic functions for killed Markov branching processes with immigration and culling ⋮ Drawdown analysis for the renewal insurance risk process ⋮ Lévy systems and the time value of ruin for Markov additive processes ⋮ A series expansion formula of the scale matrix with applications in CUSUM analysis ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ On Wiener-Hopf factors for stable processes ⋮ On fluctuation theory for spectrally negative Lévy processes with Parisian reflection below, and applications ⋮ The maximum severity of ruin in a perturbed risk process with Markovian arrivals ⋮ Occupation densities in solving exit problems for Markov additive processes and their reflections ⋮ Parisian ruin probability for Markov additive risk processes ⋮ Spectrally negative Lévy risk model under Erlangized barrier strategy ⋮ A note on Wiener-Hopf factorization for Markov additive processes ⋮ A note on a Lévy insurance risk model under periodic dividend decisions ⋮ First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type ⋮ TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems ⋮ A factorization of a Lévy process over a phase-type horizon ⋮ An IBNR-RBNS insurance risk model with marked Poisson arrivals ⋮ A quintuple law for Markov additive processes with phase-type jumps ⋮ Extremes of Markov-additive processes with one-sided jumps, with queueing applications ⋮ First passage of time-reversible spectrally negative Markov additive processes ⋮ Singularities of the matrix exponent of a Markov additive process with one-sided jumps ⋮ First Passage of a Markov Additive Process and Generalized Jordan Chains ⋮ Structural pricing of CoCos and deposit insurance with regime switching and jumps ⋮ Potential measures for spectrally negative Markov additive processes with applications in ruin theory ⋮ The correlation function of a queue with Lévy and Markov additive input ⋮ The time to ruin for a class of Markov additive risk process with two-sided jumps ⋮ On the central management of risk networks ⋮ A Markov Additive Risk Process with a Dividend Barrier ⋮ Potential measures of one-sided Markov additive processes with reflecting and terminating barriers ⋮ Fluctuation identities for Omega-killed spectrally negative Markov additive processes and dividend problem ⋮ Exit problems for positive self-similar Markov processes with one-sided jumps
This page was built for publication: