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Fluctuation theory in continuous time

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References

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2004On Exit and Ergodicity of the Spectrally One-Sided Lévy Process Reflected at Its Infimum137 cited
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2012On the drawdown of completely asymmetric Lévy processes88 cited
2009De Finetti’s optimal dividends problem with an affine penalty function at ruin88 cited
2000Evaluating first-passage probabilities for spectrally one-sided Lévy processes85 cited
2013Gerber–Shiu Risk Theory80 cited
1989Measurements and approximations to describe the offered traffic and predict the average workload in a single-server queue79 cited
2009

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A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes

76 cited

2008First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type76 cited

2008Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results64 cited

1991Queues with Server Vacations and Levy Processes with Secondary Jump Input59 cited

2004A Martingale Review of some Fluctuation Theory for Spectrally Negative Lévy Processes58 cited

2008Dam rain and cumulative gain57 cited

2005Passage times for a spectrally negative Lévy process with applications to risk theory56 cited

2007An Excursion-Theoretical Approach to Some Boundary Crossing Problems and the Skorokhod Embedding for Reflected Lévy Processes48 cited

2002On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts46 cited