Generalized refracted Lévy process and its application to exit problem-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Generalized refracted Lévy process and its application to exit problem

Published:2019-05 Issue:5 Volume:129 Page:1697-1725
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Noba Kei,Yano Kouji^ORCID

Funder

JSPS-MAEDI Sakura program

MEXT KAKENHI

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference16 articles.

1. Spectrally negative Lévy processes with Parisian reflection below and classical reflection above. (English summary);Avram;Stochastic Process. Appl.,2018

2. Lévy Processes;Bertoin,1996

3. One-point reflection;Chen;Stochastic Process. Appl.,2015

4. Markov Processes, Brownian Motion, and Time Symmetry;Chung,2005

5. Some excursion calculations for spectrally one-sided Lévy Processes;Doney,2005

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. General Draw-Down Times for Refracted Spectrally Negative Lévy Processes;Methodology and Computing in Applied Probability;2022-02-19

2. Optimality of Impulse Control Problem in Refracted Lévy Model with Parisian Ruin and Transaction Costs;Journal of Optimization Theory and Applications;2020-05-25

3. Generalized scale functions of standard processes with no positive jumps;Electronic Communications in Probability;2020-01-01

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