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A Martingale Review of some Fluctuation Theory for Spectrally Negative Lévy Processes
1 references·9 citing·24 second hop
A Martingale Review of some Fluctuation Theory for Spectrally Negative Lévy Processes (2004)A Martingale Review of some Fluctuation T…Fluctuation theory in continuous time (1975)Fluctuation theory in continu…Dividend Problem with Parisian Delay for a Spectrally Negative Lévy Risk Process (2013)Dividend Problem with Parisia…Queues with Lévy input and hysteretic control (2009)Queues with Lévy input and hy…Lévy processes with adaptable exponent (2009)Lévy processes with adaptable…Queues with Delays in Two-State Strategies and Lévy Input (2008)Queues with Delays in Two-Sta…Quasi-product forms for Lévy-driven fluid networks (2006)Quasi-product forms for Lévy-…On the exact asymptotics of the busy period in GI/G/1 queues (2006)On the exact asymptotics of t…On Maxima and Ladder Processes for a Dense Class of Lévy Process (2006)On Maxima and Ladder Processe…Passage times for a spectrally negative Lévy process with applications to risk theory (2005)Passage times for a spectrall…Scale functions of Lévy processes and busy periods of finite-capacity M/GI/1 queues (2004)Scale functions of Lévy proce…Applied Probability and Queues (1987)A Jump-Diffusion Model for Option Pricing (2002)Limit Theorems for Stochastic Processes (2003)Queueing systems with vacations ? A survey (1986)Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options (2004)Some Problems in the Theory of Queues (1951)The single server queue in heavy traffic (1961)Multiple channel queues in heavy traffic. I (1970)Cramér's estimate for Lévy processes (1994)De Finetti’s optimal dividends problem with an affine penalty function at ruin (2009)The Single Server Queue (1983)Applied Probability and Queues (2003)Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations (2016)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)Stochastic Processes for Insurance and Finance (2001)Optimality of excess-loss reinsurance under a mean–variance criterion (2017)Markov Models & Optimization (1993)Exit problem for a spectrally positive process (1973)On Exit and Ergodicity of the Spectrally One-Sided Lévy Process Reflected at Its Infimum (2004)Brownian Motion and Stochastic Flow Systems. (1987)Stochastic Integration and Differential Equations (2005)On the optimality of periodic barrier strategies for a spectrally positive Lévy process (2017)Reflected Brownian Motion on an Orthant (1981)
this work references cited by second hop

References

  • 1975Fluctuation theory in continuous time179 cited

Cited by

  • 2005Passage times for a spectrally negative Lévy process with applications to risk theory56 cited
  • 2013Dividend Problem with Parisian Delay for a Spectrally Negative Lévy Risk Process42 cited
  • 2006On Maxima and Ladder Processes for a Dense Class of Lévy Process36 cited
  • 2009Lévy processes with adaptable exponent24 cited
  • 2006Quasi-product forms for Lévy-driven fluid networks24 cited
  • 2006On the exact asymptotics of the busy period in GI/G/1 queues22 cited
  • 2004Scale functions of Lévy processes and busy periods of finite-capacity M/GI/1 queues16 cited
  • 2008Queues with Delays in Two-State Strategies and Lévy Input16 cited
  • 2009Queues with Lévy input and hysteretic control15 cited

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