Occupation times of intervals until first passage times for spectrally negative Lévy processes [PDF]
Stochastic Processes and their Applications, 2014 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Loeffen, Ronnie L. +2 more
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De Finetti’s Control Problem with Parisian Ruin for Spectrally Negative Lévy Processes [PDF]
Risks, 2019 We consider de Finetti’s stochastic control problem when the (controlled) process is allowed to spend time under the critical level. More precisely, we consider a generalized version of this control problem in a spectrally negative Lévy model ...
Jean-François Renaud
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On q-scale functions of spectrally negative Lévy processes [PDF]
Advances in Applied Probability, 2021 We obtain series expansions of the q-scale functions of arbitrary spectrally negative Lévy processes, including processes with infinite jump activity, and use these to derive various new examples of explicit q-scale functions.
Anita Behme +2 more
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On moments of downward passage times for spectrally negative Lévy processes [PDF]
Journal of Applied Probability, 2021 The existence of moments of first downward passage times of a spectrally negative Lévy process is governed by the general dynamics of the Lévy process, i.e. whether it is drifting to $+\infty$ , $-\infty$ , or oscillating.
Anita Behme, Philipp Lukas Strietzel
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The Theory of Scale Functions for Spectrally Negative Lévy Processes [PDF]
, 2011 The purpose of this review article is to give an up to date account of the theory and applications of scale functions for spectrally negative Levy processes.
A. Kuznetsov, A. Kyprianou, V. Rivero
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On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes [PDF]
, 2008 We consider the classical optimal dividend control problem which was proposed by de Finetti [Trans. XVth Internat. Congress Actuaries 2 (1957) 433-443]. Recently Avram, Palmowski and Pistorius [Ann. Appl. Probab.
R. Loeffen
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Generalized scale functions for spectrally negative Lévy processes [PDF]
Latin American Journal of Probability and Mathematical Statistics, 2022 For a spectrally negative L\'evy process, scale functions appear in the solution of two-sided exit problems, and in particular in relation with the Laplace transform of the first time it exits a closed interval.
J. Contreras, V. Rivero
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Exit problems for general draw-down times of spectrally negative Lévy processes [PDF]
Journal of Applied Probability, 2017 For spectrally negative Lévy processes, we prove several fluctuation results involving a general draw-down time, which is a downward exit time from a dynamic level that depends on the running maximum of the process.
Bo-Yan Li, N. Vu, Xiaowen Zhou
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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
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Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs [PDF]
Scandinavian Actuarial Journal, 2020 Maximising dividends is one classical stability criterion in actuarial risk theory. Motivated by the fact that dividends are paid periodically in real life, periodic dividend strategies were recently introduced (Albrecher et al. 2011).
Benjamin Avanzi +2 more
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