The distribution of the supremum for spectrally asymmetric Lévy processes-Reference-Cited by-同舟云学术

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The distribution of the supremum for spectrally asymmetric Lévy processes

Published:2015-01-01 Issue:none Volume:20 Page:
ISSN:1083-589X
Container-title:Electronic Communications in Probability
language:
Short-container-title:Electron. Commun. Probab.

Author:

Michna Zbigniew¹,Palmowski Zbigniew²,Pistorius Martijn³

Affiliation:

1. Wroclaw University of Economics

2. University of Wroclaw

3. Imperial College London

Publisher

Institute of Mathematical Statistics

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://projecteuclid.org/download/pdf_1/euclid.ecp/1465320951

Cited by 5 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. Rare-Event Simulation for Multiple Jump Events in Heavy-Tailed Lévy Processes with Infinite Activities;2020 Winter Simulation Conference (WSC);2020-12-14

2. RUIN PROBABILITIES FOR TWO COLLABORATING INSURANCE COMPANIES;PROBAB MATH STAT-POL;2020

3. Exponential convergence rate of ruin probabilities for level-dependent Lévy-driven risk processes;Journal of Applied Probability;2019-12

4. Law of the First Passage Triple of a Spectrally Positive Strictly Stable Process;Journal of Theoretical Probability;2019-04-11

5. Zooming in on a Lévy process at its supremum;The Annals of Applied Probability;2018-04-01

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