Exit Problems for Lévy and Markov Processes with One-Sided Jumps and Related Topics
Exit problems for one-dimensional Lévy processes are easier when jumps only occur in one direction. In the last few years, this intuition became more precise: we know now that a wide variety of identities for exit problems of spectrally-negative Lévy processes may be ergonomically expressed in ter...
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Format: | Electronic Book Chapter |
Language: | English |
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Basel, Switzerland
MDPI - Multidisciplinary Digital Publishing Institute
2021
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Online Access: | DOAB: download the publication DOAB: description of the publication |
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245 | 1 | 0 | |a Exit Problems for Lévy and Markov Processes with One-Sided Jumps and Related Topics |
260 | |a Basel, Switzerland |b MDPI - Multidisciplinary Digital Publishing Institute |c 2021 | ||
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506 | 0 | |a Open Access |2 star |f Unrestricted online access | |
520 | |a Exit problems for one-dimensional Lévy processes are easier when jumps only occur in one direction. In the last few years, this intuition became more precise: we know now that a wide variety of identities for exit problems of spectrally-negative Lévy processes may be ergonomically expressed in terms of two q-harmonic functions (or scale functions or positive martingales) W and Z. The proofs typically require not much more than the strong Markov property, which hold, in principle, for the wider class of spectrally-negative strong Markov processes. This has been established already in particular cases, such as random walks, Markov additive processes, Lévy processes with omega-state-dependent killing, and certain Lévy processes with state dependent drift, and seems to be true for general strong Markov processes, subject to technical conditions. However, computing the functions W and Z is still an open problem outside the Lévy and diffusion classes, even for the simplest risk models with state-dependent parameters (say, Ornstein-Uhlenbeck or Feller branching diffusion with phase-type jumps). | ||
540 | |a Creative Commons |f https://creativecommons.org/licenses/by/4.0/ |2 cc |4 https://creativecommons.org/licenses/by/4.0/ | ||
546 | |a English | ||
650 | 7 | |a Research & information: general |2 bicssc | |
650 | 7 | |a Mathematics & science |2 bicssc | |
653 | |a Lévy processes | ||
653 | |a non-random overshoots | ||
653 | |a skip-free random walks | ||
653 | |a fluctuation theory | ||
653 | |a scale functions | ||
653 | |a capital surplus process | ||
653 | |a dividend payment | ||
653 | |a optimal control | ||
653 | |a capital injection constraint | ||
653 | |a spectrally negative Lévy processes | ||
653 | |a reflected Lévy processes | ||
653 | |a first passage | ||
653 | |a drawdown process | ||
653 | |a spectrally negative process | ||
653 | |a dividends | ||
653 | |a de Finetti valuation objective | ||
653 | |a variational problem | ||
653 | |a stochastic control | ||
653 | |a optimal dividends | ||
653 | |a Parisian ruin | ||
653 | |a log-convexity | ||
653 | |a barrier strategies | ||
653 | |a adjustment coefficient | ||
653 | |a logarithmic asymptotics | ||
653 | |a quadratic programming problem | ||
653 | |a ruin probability | ||
653 | |a two-dimensional Brownian motion | ||
653 | |a spectrally negative Lévy process | ||
653 | |a general tax structure | ||
653 | |a first crossing time | ||
653 | |a joint Laplace transform | ||
653 | |a potential measure | ||
653 | |a Laplace transform | ||
653 | |a first hitting time | ||
653 | |a diffusion-type process | ||
653 | |a running maximum and minimum processes | ||
653 | |a boundary-value problem | ||
653 | |a normal reflection | ||
653 | |a Sparre Andersen model | ||
653 | |a heavy tails | ||
653 | |a completely monotone distributions | ||
653 | |a error bounds | ||
653 | |a hyperexponential distribution | ||
653 | |a reflected Brownian motion | ||
653 | |a linear diffusions | ||
653 | |a drawdown | ||
653 | |a Segerdahl process | ||
653 | |a affine coefficients | ||
653 | |a spectrally negative Markov process | ||
653 | |a hypergeometric functions | ||
653 | |a capital injections | ||
653 | |a bankruptcy | ||
653 | |a reflection and absorption | ||
653 | |a Pollaczek-Khinchine formula | ||
653 | |a scale function | ||
653 | |a Padé approximations | ||
653 | |a Laguerre series | ||
653 | |a Tricomi-Weeks Laplace inversion | ||
856 | 4 | 0 | |a www.oapen.org |u https://mdpi.com/books/pdfview/book/3954 |7 0 |z DOAB: download the publication |
856 | 4 | 0 | |a www.oapen.org |u https://directory.doabooks.org/handle/20.500.12854/76508 |7 0 |z DOAB: description of the publication |