On fluctuation theory for spectrally negative Lévy processes with Parisian reflection below, and applications
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Publication:4606857
DOI10.1090/tpms/1020zbMath1382.60071arXiv1612.00587OpenAlexW2963538278MaRDI QIDQ4606857
Publication date: 9 March 2018
Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1612.00587
capital injectionsscale functionsspectrally negative Lévy processdividend optimizationvaluation problemParisian absorbtion and reflection
Processes with independent increments; Lévy processes (60G51) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)
Related Items (3)
Spectrally negative Lévy risk model under Erlangized barrier strategy ⋮ TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems ⋮ On a spectrally negative Lévy risk process with periodic dividends and capital injections
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