On the distribution of the time of the first exit from an interval and the value of a jump over the boundary for processes with independent increments and random walks
From MaRDI portal
Publication:5477223
DOI10.1007/s11253-006-0016-6zbMath1093.60020OpenAlexW2025658895MaRDI QIDQ5477223
Tetyana Kadankova, Victor Kadankov
Publication date: 20 July 2006
Published in: Ukrainian Mathematical Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11253-006-0016-6
Related Items (12)
Two-boundary problems for semi-Markov walk with a linear drift ⋮ Intersections of the interval and reflections for a semi-Markov walk with linear drift ⋮ The dual risk model under a mixed ratcheting and periodic dividend strategy ⋮ Meromorphic Lévy processes and their fluctuation identities ⋮ On the resolvent of the Lévy process with matrix-exponential distribution of jumps ⋮ On several two-boundary problems for a particular class of Lévy processes ⋮ Busy period, virtual waiting time and number of customers in \(G^{\delta }|M^{\kappa}|1| \text B\) system ⋮ On the threshold dividend strategy for a generalized jump-diffusion risk model ⋮ A Two-Sided Exit Problem for a Difference of a Compound Poisson Process and a Compound Renewal Process with a Discrete Phase Space ⋮ Exit problems for the difference of a compound Poisson process and a compound renewal process ⋮ Intersections of an Interval By a Difference of a Compound Poisson Process and a Compound Renewal Process ⋮ Explicit solutions of the exit problem for a class of Lévy processes; applications to the pricing of double-barrier options
This page was built for publication: On the distribution of the time of the first exit from an interval and the value of a jump over the boundary for processes with independent increments and random walks
