Results 21 to 30 of about 20,224,619 (210)
Markov chain approximations to scale functions of Lévy processes [PDF]
, 2013 We introduce a general algorithm for the computation of the scale functions of a spectrally negative Levy process X, based on a natural weak approximation of X via upwards skip-free continuous-time Markov chains with stationary independent increments ...
Aleksandar Mijatovic +2 more
semanticscholar +1 more source
Mixed Periodic-Classical Barrier Strategies for Lévy Risk Processes
Risks, 2018 Given a spectrally-negative Lévy process and independent Poisson observation times, we consider a periodic barrier strategy that pushes the process down to a certain level whenever the observed value is above it.
José-Luis Pérez, Kazutoshi Yamazaki
doaj +1 more source
Journal of the Australian Mathematical Society, 1960 We consider real-valued functions ƒ(x) which are defined for all sufficiently large real numbers x. In discussing the behaviour of such functions as x → + ∞, it is useful to compare ƒ with the functions of some “comparison scale”. The early work in this field was due to Du Bois-Reymond (see, for example, (2), (3)).
Erdős, Pál +2 more
openaire +2 more sources
The W,Z/ν,δ Paradigm for the First Passage of Strong Markov Processes without Positive Jumps
Risks, 2019 As is well-known, the benefit of restricting Lévy processes without positive jumps is the “ W , Z scale functions paradigm„, by which the knowledge of the scale functions W , Z extends immediately to other risk control ...
Florin Avram +2 more
doaj +1 more source
CSPOT: portable, multi-scale functions-as-a-service for IoT
IFIP International Information Security Conference, 2019 In this paper, we present CSPOT, a distributed runtime system implementing a functions-as-service (FaaS) programming model for the "Internet of Things" (IoT). With FaaS, developers express arbitrary computations as simple functions that are automatically
Rich Wolski +4 more
semanticscholar +1 more source
Smoothness of scale functions for spectrally negative Lévy processes [PDF]
, 2009 Scale functions play a central role in the fluctuation theory of spectrally negative Lévy processes and often appear in the context of martingale relations. These relations are often require excursion theory rather than Itô calculus.
T. Chan, A. Kyprianou, Mladen Savov
semanticscholar +1 more source
On Central Branch/Reinsurance Risk Networks: Exact Results and Heuristics
Risks, 2018 Modeling the interactions between a reinsurer and several insurers, or between a central management branch (CB) and several subsidiary business branches, or between a coalition and its members, are fascinating problems, which suggest many interesting ...
Florin Avram, Sooie-Hoe Loke
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First passage problems for upwards skip-free random walks via the scale functions paradigm
Advances in Applied Probability, 2019 In this paper we develop the theory of the W and Z scale functions for right-continuous (upwards skip-free) discrete-time, discrete-space random walks, along the lines of the analogous theory for spectrally negative Lévy processes.
F. Avram, Matija Vidmar
semanticscholar +1 more source
Phase-type fitting of scale functions for spectrally negative Lévy processes [PDF]
Journal of Computational and Applied Mathematics, 2010 We study the scale function of the spectrally negative phase-type Levy process. Its scale function admits an analytical expression and so do a number of its fluctuation identities. Motivated by the fact that the class of phase-type distributions is dense
Masahiko Egami, K. Yamazaki
semanticscholar +1 more source
A Review of First-Passage Theory for the Segerdahl-Tichy Risk Process and Open Problems
Risks, 2019 The Segerdahl-Tichy Process, characterized by exponential claims and state dependent drift, has drawn a considerable amount of interest, due to its economic interest (it is the simplest risk process which takes into account the effect of interest rates).
Florin Avram, Jose-Luis Perez-Garmendia
doaj +1 more source