An optimal stopping problem for spectrally negative Markov additive processes-Reference-Cited by-同舟云学术

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An optimal stopping problem for spectrally negative Markov additive processes

Published:2021-07 Issue: Volume: Page:
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Çağlar M.,Kyprianou A.,Vardar-Acar C.

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference35 articles.

1. Some remarks on first passage of Lévy processes, the American put and pasting principles;Alili;Ann. Appl. Probab.,2005

2. Optimal stopping of the maximum process;Alvarez;J. Appl. Probab.,2014

3. Symmetric Wiener–Hopf factorisations in Markov additive processes.pdf;Arjas;Z. Wahrscheinlichkeitstheor. Verwandte Geb.,1973

4. Applied Probability Queues;Asmussen,2003

5. Ruin probabilities;Asmussen,2010

Cited by 2 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. Stopping Levels for a Spectrally Negative Markov Additive Process;Communications in Mathematics and Statistics;2024-09-02

2. A series expansion formula of the scale matrix with applications in CUSUM analysis;Stochastic Processes and their Applications;2024-04

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