Buffer-overflows: Joint limit laws of undershoots and overshoots of reflected processes-Reference-Cited by-同舟云学术

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Buffer-overflows: Joint limit laws of undershoots and overshoots of reflected processes

Published:2015-08 Issue:8 Volume:125 Page:2937-2954
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Mijatović Aleksandar,Pistorius Martijn

Funder

Humboldt Foundation Research Fellowship

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference19 articles.

1. Applied Probability and Queues;Asmussen,2003

2. Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options;Avram;Ann. Appl. Probab.,2004

3. Lévy Processes;Bertoin,1996

4. Cramér’s estimate for Lévy processes;Bertoin;Statist. Probab. Lett.,1994

5. Renewal theory and level passage by subordinators;Bertoin;Statist. Probab. Lett.,1999

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2. Geometrically Convergent Simulation of the Extrema of Lévy Processes;Mathematics of Operations Research;2021-11-24

3. General tax structures for a Lévy insurance risk process under the Cramér condition;Stochastic Processes and their Applications;2020-03

4. Joint asymptotic distribution of certain path functionals of the reflected process;Electronic Communications in Probability;2016-01-01

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