scholarly journals Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon

2021 ◽  
Author(s):  
Mogens Bladt ◽  
Jevgenijs Ivanovs
Keyword(s):  
Time Horizon ◽  
Lévy Processes ◽  
Levy Processes ◽  
Matrix Exponential ◽  
Fluctuation Theory ◽  
Exponential Time

scholarly journals A note on $r$-balayages of matrix-exponential Lévy processes

2009 ◽  
Vol 14 (0) ◽  
pp. 165-175 ◽  
Author(s):  
Yuan-Chung Sheu ◽  
Yu-Ting Chen
Keyword(s):  
Lévy Processes ◽  
Levy Processes ◽  
Matrix Exponential

A Wiener–Hopf based approach to numerical computations in fluctuation theory for Lévy processes

2013 ◽  
Vol 78 (1) ◽  
pp. 101-118 ◽  
Author(s):  
Peter Den Iseger ◽  
Paul Gruntjes ◽  
Michel Mandjes
Keyword(s):  
Lévy Processes ◽  
Levy Processes ◽  
Fluctuation Theory ◽  
Numerical Computations

Fluctuation Theory for Lévy Processes

2001 ◽  
pp. 57-66 ◽  
Author(s):  
Ronald Doney
Keyword(s):  
Lévy Processes ◽  
Levy Processes ◽  
Fluctuation Theory

Fluctuation identities for lévy processes and splitting at the maximum

1980 ◽  
Vol 12 (4) ◽  
pp. 893-902 ◽  
Author(s):  
Priscilla Greenwood ◽  
Jim Pitman
Keyword(s):  
Point Process ◽  
Lévy Processes ◽  
Poisson Point Process ◽  
Levy Processes ◽  
Fluctuation Theory ◽  
Unified Approach ◽  
Path Decomposition

Itô's notion of a Poisson point process of excursions is used to give a unified approach to a number of results in the fluctuation theory of Lévy processes, including identities of Pecherskii, Rogozin and Fristedt, and Millar's path decomposition at the maximum.

scholarly journals Fluctuation theory for Lévy processes with completely monotone jumps

2019 ◽  
Vol 24 (0) ◽  
Author(s):  
Mateusz Kwaśnicki
Keyword(s):  
Lévy Processes ◽  
Levy Processes ◽  
Fluctuation Theory ◽  
Completely Monotone

Fluctuation identities for lévy processes and splitting at the maximum

1980 ◽  
Vol 12 (04) ◽  
pp. 893-902 ◽  
Author(s):  
Priscilla Greenwood ◽  
Jim Pitman
Keyword(s):  
Point Process ◽  
Lévy Processes ◽  
Poisson Point Process ◽  
Levy Processes ◽  
Fluctuation Theory ◽  
Unified Approach ◽  
Path Decomposition

Itô's notion of a Poisson point process of excursions is used to give a unified approach to a number of results in the fluctuation theory of Lévy processes, including identities of Pecherskii, Rogozin and Fristedt, and Millar's path decomposition at the maximum.

Minimal q-entropy martingale measures for exponential time-changed Lévy processes

2010 ◽  
Vol 15 (1) ◽  
pp. 117-140 ◽  
Author(s):  
Stefan Kassberger ◽  
Thomas Liebmann
Keyword(s):  
Lévy Processes ◽  
Levy Processes ◽  
Martingale Measures ◽  
Exponential Time
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