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On pre-exit joint occupation times for spectrally negative Lévy processes
9 references·0 citing·31 second hop
On pre-exit joint occupation times for spectrally negative Lévy processes (2014)On pre-exit joint occupation times for sp…Exit identities for Lévy processes observed at Poisson arrival times (2016)Exit identities for Lévy proc…Occupation Times of Refracted Lévy Processes (2013)Occupation Times of Refracted…Occupation times of intervals until first passage times for spectrally negative Lévy processes (2013)Occupation times of intervals…The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)The Theory of Scale Functions…Occupation times of spectrally negative Lévy processes with applications (2011)Occupation times of spectrall…Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options (2010)Occupation Times of Jump-Diff…Handbook of Brownian Motion - Facts and Formulae (Second Edition) (2003)Handbook of Brownian Motion -…Handbook of Brownian Motion - Facts and Formulae (2002)Handbook of Brownian Motion -…Handbook of Brownian Motion — Facts and Formulae (1996)Handbook of Brownian Motion —…On the Time Value of Ruin (1998)Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options (2004)Ruin Probabilities (2010)Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes (2016)Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes (2017)Spectrally negative Lévy risk model under Erlangized barrier strategy (2018)Brownian motion and stochastic calculus (1991)Brownian Motion and Stochastic Calculus (2007)Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Process (2011)An Insurance Risk Model with Parisian Implementation Delays (2013)Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory (2013)Ruin probabilities and overshoots for general Lévy insurance risk processes (2004)On the optimal dividend problem for a spectrally negative Lévy process (2007)The Joint Laplace Transforms for Diffusion Occupation Times (2013)Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view (2016)Asset Prices in an Exchange Economy (1978)Stochastic Integration and Differential Equations (2005)Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions (2015)Continuous Martingales and Brownian Motion (1999)Financial Modelling with Jump Processes (2003)Lévy Processes and Stochastic Calculus (2004)Optimal dividend problem with a terminal value for spectrally positive Lévy processes (2013)Drift Independent Volatility Estimation Based on High, Low, Open, and Close Prices (2000)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)Fluctuations of Lévy Processes with Applications (2014)Valuing equity-linked death benefits and other contingent options: A discounted density approach (2012)A variational approach to the construction and Malliavin differentiability of strong solutions of SDE’s (2013)Liquidation risk in the presence of Chapters 7 and 11 of the US bankruptcy code (2014)A survey and some generalizations of Bessel processes (2003)Exponential functionals of Brownian motion, I: Probability laws at fixed time (2005)A jump to default extended CEV model: an application of Bessel processes (2006)
this work references cited by second hop

References

  • 1996Handbook of Brownian Motion — Facts and Formulae1,391 cited
  • 2002Handbook of Brownian Motion - Facts and Formulae1,094 cited
  • 2012The Theory of Scale Functions for Spectrally Negative Lévy Processes259 cited
  • 2013Occupation times of intervals until first passage times for spectrally negative Lévy processes124 cited
  • 2016Exit identities for Lévy processes observed at Poisson arrival times104 cited
  • 2011Occupation times of spectrally negative Lévy processes with applications95 cited
  • 2003Handbook of Brownian Motion - Facts and Formulae (Second Edition)72 cited
  • 2010Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options68 cited
  • 2013Occupation Times of Refracted Lévy Processes43 cited

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