The supremum distribution of a Lévy process with no negative jumps

DOI10.2307/1426392zbMath0366.60056OpenAlexW117435049MaRDI QIDQ4142414

J. Michael Harrison

Publication date: 1977

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1426392

Mathematics Subject Classification ID

Sample path properties (60G17)

Related Items (7)

On optional stopping of some exponential martingales for Lévy processes with or without reflection. ⋮ The Class of Distributions Associated with the Generalized Pollaczek-Khinchine Formula ⋮ A hitting time for Lévy processes, with application to dams and branching processes ⋮ Numerical techniques in Lévy fluctuation theory ⋮ Queueing approximation of suprema of spectrally positive Lévy process ⋮ Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms ⋮ Heavy traffic analysis of a system with parallel servers: Asymptotic optimality of discrete-review policies

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