Bridging the first and last passage times for Lévy models-Reference-Cited by-同舟云学术

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Bridging the first and last passage times for Lévy models

Published:2023-03 Issue: Volume:157 Page:308-334
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Landriault David,Li Bin,Lkabous Mohamed Amine,Wang Zijia^ORCID

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference36 articles.

1. Determination of fission rate by mean last passage time;Bao;Phys. Rev. C,2004

2. Last exit before an exponential time for spectrally negative Lévy processes;Baurdoux;J. Appl. Probab.,2009

3. Predicting the last zero of a spectrally negative Lévy process;Baurdoux,2018

4. Lp optimal prediction of the last zero of a spectrally negative Lévy process;Baurdoux,2020

5. Handbook of Brownian Motion-Facts and Formulae;Borodin,2002

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1. An excursion theoretic approach to Parisian ruin problem;Insurance: Mathematics and Economics;2024-09

2. Last passage times for generalized drawdown processes with applications;Scandinavian Actuarial Journal;2024-08-13

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