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Lévy-driven queues
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Lévy-driven queues (2011)Lévy-driven queuesAn explicit formula for the Skorokhod map on [0,a (2012)An explicit formula for the S…Stochastic Simulation (2007)Stochastic SimulationRuin Probabilities and Overshoots for General Lévy Insurance Risk Processes (2004)Ruin Probabilities and Oversh…Ruin probabilities and overshoots for general Lévy insurance risk processes (2004)Ruin probabilities and oversh…Levy Processes—From Probability to Finance and Quantum Groups (2004)Levy Processes—From Probabili…Lévy Processes and Stochastic Calculus (2004)Lévy Processes and Stochastic…Stochastic Networks and Queues (2003)Stochastic Networks and QueuesRussian and American put options under exponential phase-type Lévy models (2003)Russian and American put opti…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Applied Probability and Queues (2003)Applied Probability and QueuesIs Network Traffic Appriximated by Stable Lévy Motion or Fractional Brownian Motion? (2002)Is Network Traffic Appriximat…Subexponential asymptotics for stochastic processes: extremal behavior, stationary distributions and first passage probabilities (1998)Subexponential asymptotics fo…Fluid Models in Queueing Theory and Wiener-Hopf Factorization of Markov Chains (1994)Fluid Models in Queueing Theo…Brownian Motion and Stochastic Flow Systems. (1987)Brownian Motion and Stochasti…Applied Probability and Queues (1987)Applied Probability and QueuesReflected Brownian Motion on an Orthant (1981)Reflected Brownian Motion on …Extreme Values, Regular Variation and Point Processes (1987)Stopped Random Walks (1988)Heavy Tails and Long Range Dependence in On/Off Processes and Associated Fluid Models (1998)SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM (2004)Modeling teletraffic arrivals by a Poisson cluster process (2006)Activity signature functions for high-frequency data analysis (2009)The Variation of Certain Speculative Prices (1963)The variation of certain speculative prices (1997)A Jump-Diffusion Model for Option Pricing (2002)Some remarks on first passage of Lévy processes, the American put and pasting principles (2005)Option Pricing Under a Mixed-Exponential Jump Diffusion Model (2011)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)Fluctuations of Lévy Processes with Applications (2014)Brownian models of open queueing networks with homogeneous customer populations ∗ (1987)On lipschitz continuity of the solution mapping to the skorokhod problem, with applications (1991)Diffusion approximations for open multiclass queueing networks: sufficient conditions involving state space collapse (1998)Stability properties of constrained queueing systems and scheduling policies for maximum throughput in multihop radio networks (1992)Dynamic server allocation to parallel queues with randomly varying connectivity (1993)Asset Pricing with Heterogeneous Consumers (1996)Time-changed Lévy processes and option pricing (2003)Selection, Growth, and the Size Distribution of Firms (2007)A Continuous-Time Version of the Principal–Agent Problem (2008)A Guide to Sample Average Approximation (2014)Simulation Modeling and Analysis (2016)A unified framework for stochastic optimization (2018)An Introduction to Numerical Transform Inversion and Its Application to Probability Models (2000)M/G/1 queue with multiple working vacations (2005)A Stochastic Model for Order Book Dynamics (2010)Martingale proofs of many-server heavy-traffic limits for Markovian queues (2007)Stability of Parallel Queueing Systems with Coupled Service Rates (2007)Asymptotically optimal priority policies for indexable and nonindexable restless bandits (2016)
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References

  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1987Applied Probability and Queues2,704 cited
  • 2004Lévy Processes and Stochastic Calculus2,040 cited
  • 2003Applied Probability and Queues1,453 cited
  • 2007Stochastic Simulation1,121 cited
  • 1987Brownian Motion and Stochastic Flow Systems.1,091 cited
  • 1981Reflected Brownian Motion on an Orthant390 cited
  • 2003Russian and American put options under exponential phase-type Lévy models339 cited
  • 2003Stochastic Networks and Queues297 cited
  • 2002Is Network Traffic Appriximated by Stable Lévy Motion or Fractional Brownian Motion?270 cited
  • 1994Fluid Models in Queueing Theory and Wiener-Hopf Factorization of Markov Chains248 cited
  • 2004Levy Processes—From Probability to Finance and Quantum Groups223 cited
  • 1998Subexponential asymptotics for stochastic processes: extremal behavior, stationary distributions and first passage probabilities175 cited
  • 2012An explicit formula for the Skorokhod map on [0,a160 cited
  • 2004Ruin probabilities and overshoots for general Lévy insurance risk processes151 cited
  • 2004

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Ruin Probabilities and Overshoots for General Lévy Insurance Risk Processes
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