The Wiener–Hopf technique, its generalizations and applications: constructive and approximate methods
This paper reviews the modern state of the Wiener–Hopf factorization method and its
generalizations. The main constructive results for matrix Wiener–Hopf problems are …
generalizations. The main constructive results for matrix Wiener–Hopf problems are …
[图书][B] Fluctuations of Lévy processes with applications: Introductory Lectures
AE Kyprianou - 2014 - books.google.com
Lévy processes are the natural continuous-time analogue of random walks and form a rich
class of stochastic processes around which a robust mathematical theory exists. Their …
class of stochastic processes around which a robust mathematical theory exists. Their …
[图书][B] Introductory lectures on fluctuations of Lévy processes with applications
AE Kyprianou - 2006 - books.google.com
Lévy processes are the natural continuous-time analogue of random walks and form a rich
class of stochastic processes around which a robust mathematical theory exists. Their …
class of stochastic processes around which a robust mathematical theory exists. Their …
Exit identities for Lévy processes observed at Poisson arrival times
H Albrecher, J Ivanovs, X Zhou - 2016 - projecteuclid.org
For a spectrally one-sided Lévy process, we extend various two-sided exit identities to the
situation when the process is only observed at arrival epochs of an independent Poisson …
situation when the process is only observed at arrival epochs of an independent Poisson …
Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
Abstract The Wiener-Hopf factorization of a complex function arises in a variety of fields in
applied mathematics such as probability, finance, insurance, queuing theory, radio …
applied mathematics such as probability, finance, insurance, queuing theory, radio …
Meromorphic Lévy processes and their fluctuation identities
The last couple of years has seen a remarkable number of new, explicit examples of the
Wiener–Hopf factorization for Lévy processes where previously there had been very few. We …
Wiener–Hopf factorization for Lévy processes where previously there had been very few. We …
Wiener–Hopf factorization and distribution of extrema for a family of Lévy processes
A Kuznetsov - 2010 - projecteuclid.org
In this paper we introduce a ten-parameter family of Lévy processes for which we obtain
Wiener–Hopf factors and distribution of the supremum process in semi-explicit form. This …
Wiener–Hopf factors and distribution of the supremum process in semi-explicit form. This …
An insurance risk model with Parisian implementation delays
D Landriault, JF Renaud, X Zhou - Methodology and Computing in …, 2014 - Springer
We consider a similar variant of the event ruin for a Lévy insurance risk process as in Czarna
and Palmowski (J Appl Probab 48 (4): 984–1002, 2011) and Loeffen et al.(to appear, 2011) …
and Palmowski (J Appl Probab 48 (4): 984–1002, 2011) and Loeffen et al.(to appear, 2011) …
[图书][B] Stable Lévy processes via Lamperti-type representations
AE Kyprianou, JC Pardo - 2022 - books.google.com
Stable Lévy processes lie at the intersection of Lévy processes and self-similar Markov
processes. Processes in the latter class enjoy a Lamperti-type representation as the space …
processes. Processes in the latter class enjoy a Lamperti-type representation as the space …
Fluctuations of stable processes and exponential functionals of hypergeometric Lévy processes
A Kuznetsov, JC Pardo - Acta Applicandae Mathematicae, 2013 - Springer
We study the distribution and various properties of exponential functionals of
hypergeometric Lévy processes. We derive an explicit formula for the Mellin transform of the …
hypergeometric Lévy processes. We derive an explicit formula for the Mellin transform of the …