Renewal theorems and stability for the reflected process-Reference-Cited by-同舟云学术

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Renewal theorems and stability for the reflected process

Published:2009-04 Issue:4 Volume:119 Page:1270-1297
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Doney Ron,Maller Ross,Savov Mladen

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference32 articles.

1. Applied Probability and Queues;Asmussen,2002

2. Russian and American put options under exponential phase-type Lévy models;Asmussen;Stochastic Process. Appl.,2004

3. On conditioning a random walk to stay non-negative;Bertoin;Ann. Probab.,1994

4. Estimates for overshooting an arbitrary boundary by a random walk and their applications;Borovkov;Theor. Prob. Appl.,2000

5. Probability Theory. Independence, Interchangeability, Martingales;Chow,1988

Cited by 3 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. A Lifetime of Excursions Through Random Walks and Lévy Processes;A Lifetime of Excursions Through Random Walks and Lévy Processes;2021

2. The Statistics of the Maximum Drawdown in Financial Time Series;Advances in Financial Risk Management;2013

3. About the Statistics of the Maximum Drawdown in Financial Time Series;SSRN Electronic Journal;2012

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