Exit Problems for Lévy and Markov Processes with One-Sided Jumps and Related Topics

• Diğer Yazarlar: Avram, Florin (Editör)
• Materyal Türü: Elektronik Kitap Bölümü
• Dil: İngilizce
• Baskı/Yayın Bilgisi: Basel, Switzerland MDPI - Multidisciplinary Digital Publishing Institute 2021
• Konular: Research & information: general; Mathematics & science; Lévy processes; non-random overshoots; skip-free random walks; fluctuation theory; scale functions; capital surplus process; dividend payment; optimal control; capital injection constraint; spectrally negative Lévy processes; reflected Lévy processes; first passage; drawdown process; spectrally negative process; dividends; de Finetti valuation objective; variational problem; stochastic control; optimal dividends; Parisian ruin; log-convexity; barrier strategies; adjustment coefficient; logarithmic asymptotics; quadratic programming problem; ruin probability; two-dimensional Brownian motion; spectrally negative Lévy process; general tax structure; first crossing time; joint Laplace transform; potential measure; Laplace transform; first hitting time; diffusion-type process; running maximum and minimum processes; boundary-value problem; normal reflection; Sparre Andersen model; heavy tails; completely monotone distributions; error bounds; hyperexponential distribution; reflected Brownian motion; linear diffusions; drawdown; Segerdahl process; affine coefficients; spectrally negative Markov process; hypergeometric functions; capital injections; bankruptcy; reflection and absorption; Pollaczek-Khinchine formula; scale function; Padé approximations; Laguerre series; Tricomi-Weeks Laplace inversion
• Online Erişim: DOAB: download the publication; DOAB: description of the publication

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...