Discretization error for a two-sided reflected Lévy process

Author:

Asmussen Søren,Ivanovs Jevgenijs

Publisher

Springer Science and Business Media LLC

Subject

Computational Theory and Mathematics,Management Science and Operations Research,Computer Science Applications

Reference19 articles.

1. Abate, J., Whitt, W.: Transient behavior of regulated Brownian motion I–II. Adv. Appl. Probab. 19, 560–598 (1987). (ibid 599–631)

2. Abramowitz, M., Stegun, I.A.: Handbook of Mathematical Functions, 10th edn. Applied Mathematics Series. United States Department of Commerce, National Bureau of Standards, Washington DC (1972)

3. Albrecher, H., Ivanovs, J.: Power identities for Lévy risk models under taxation and capital injections. Stoch. Syst. 4, 157–172 (2014)

4. Asmussen, S.: Applied Probability and Queues. Springer, Berlin (2003)

5. Asmussen, S., Andersen, L.N., Glynn, P.W., Pihlsgaard, M.: Lévy processes with two-sided reflection. In: Barndorff-Nielsen, O.E., Bertoin, J., Jacod, J., Klüppellberg, C. (eds.) Lévy Matters V. Functionals of Lévy Processes, pp. 67–182. Springer, Berlin (2015)

Cited by 8 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. Lévy processes conditioned to stay in a half-space with applications to directional extremes;Modern Stochastics: Theory and Applications;2022-11-25

2. Lévy processes in bounded domains: path-wise reflection scenarios and signatures of confinement;Journal of Physics A: Mathematical and Theoretical;2022-07-14

3. Optimal estimation of the supremum and occupation times of a self-similar Lévy process;Electronic Journal of Statistics;2022-01-01

4. Remarks on Levy Process Simulation;SSRN Electronic Journal;2022

5. Remarks on Lévy Process Simulation;Advances in Modeling and Simulation;2022

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号  京ICP备18003416号-3