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A Martingale Review of some Fluctuation Theory for Spectrally Negative Lévy Processes · Study

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ChapterA Martingale Review of some Fluctuation Theory for Spectrally Negative Lévy Processes

Andreas E. Kyprianou2004

Chapter2004

A Martingale Review of some Fluctuation Theory for Spectrally Negative Lévy Processes

Andreas E. Kyprianou · Zbigniew Palmowski

58 citations·0/0 files stored·Lecture notes in mathematics

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Probability and Risk Models Stochastic processes and financial applications Stochastic processes and statistical mechanics

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1975Fluctuation theory in continuous time

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2005Passage times for a spectrally negative Lévy process with applications to risk theory 2013Dividend Problem with Parisian Delay for a Spectrally Negative Lévy Risk Process 2006Quasi-product forms for Lévy-driven fluid networks 2009Lévy processes with adaptable exponent 2006On the exact asymptotics of the busy period in GI/G/1 queues 2004Scale functions of Lévy processes and busy periods of finite-capacity M/GI/1 queues 2008Queues with Delays in Two-State Strategies and Lévy Input 2009Queues with Lévy input and hysteretic control

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Year2004

Typechapter

Published2004-11-16

VenueLecture notes in mathematics

ISSN-L0075-8434

Languageen

Citations58

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1007/978-3-540-31449-3_3

openalex_workW160746084

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