First passage problems for upwards skip-free random walks via the scale functions paradigm

DOI10.1017/apr.2019.17zbMath1427.60077arXiv1708.06080OpenAlexW2965186072MaRDI QIDQ5203941

Matija Vidmar, Florin Avram

Publication date: 9 December 2019

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

Full work available at URL: https://arxiv.org/abs/1708.06080

zbMATH Keywords

martingalerandom walkscale functioncompound binomial risk modelskip-free Markovian jump process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sums of independent random variables; random walks (60G50)

Related Items

Some harmonic functions for killed Markov branching processes with immigration and culling, TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems, First passage problems for upwards skip-free random walks via the scale functions paradigm, Exit problems for positive self-similar Markov processes with one-sided jumps

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