Results 31 to 40 of about 8,421 (198)
On pricing risky loans and collateralized fund obligations [PDF]
, 2009 Loan spreads are analyzed for two types of loans. The first type takes losses at maturity only; the second follows the formulation of collateralized fund obligations, with losses registered over the lifetime of the contract.
Eberlein, E. +2 more
core +3 more sources
Poissonian occupation times of spectrally negative Lévy processes with applications [PDF]
Scandinavian Actuarial Journal, 2019 In this paper, we introduce the concept of Poissonian occupation times below level 0 of a spectrally negative Lévy process. In this case, occupation time is accumulated only when the process is observed to be negative at arrival epochs of an independent ...
M. A. Lkabous
semanticscholar +1 more source
The tax identity for Markov additive risk processes [PDF]
, 2014 Taxed risk processes, i.e. processes which change their drift when reaching new maxima, represent a certain type of generalizations of Lévy and of Markov additive processes (MAP), since the times at which their Markovian mechanism changes are allowed to ...
Albrecher, H. +3 more
core +4 more sources
Queues with Lévy input and hysteretic control [PDF]
, 2009 We consider a (doubly) reflected Lévy process where the Lévy exponent is controlled by a hysteretic policy consisting of two stages. In each stage there is typically a different service speed, drift parameter, or arrival rate.
A. Chydzinski +32 more
core +3 more sources
Self-similar scaling limits of Markov chains on the positive integers [PDF]
, 2015 We are interested in the asymptotic behavior of Markov chains on the set of positive integers for which, loosely speaking, large jumps are rare and occur at a rate that behaves like a negative power of the current state, and such that small positive and ...
Bertoin, Jean, Kortchemski, Igor
core +1 more source
Special, conjugate and complete scale functions for spectrally negative Lévy processes [PDF]
, 2007 Following from recent developments in Hubalek and Kyprianou [28], the objective of this paper is to provide further methods for constructing new families of scale functions for spectrally negative Levy processes which are completely explicit. This is the
A. Kyprianou, V. Rivero
semanticscholar +1 more source
Optimality of Refraction Strategies for Spectrally Negative Lévy Processes [PDF]
SIAM Journal of Control and Optimization, 2015 We revisit a stochastic control problem of optimally modifying the underlying spectrally negative Levy process. A strategy must be absolutely continuous with respect to the Lebesgue measure, and the objective is to minimize the total costs of the running
D. Hernández-Hernández +2 more
semanticscholar +1 more source
Optimal prediction for positive self-similar Markov processes [PDF]
, 2016 This paper addresses the question of predicting when a positive self-similar Markov process XX attains its pathwise global supremum or infimum before hitting zero for the first time (if it does at all).
Baurdoux, Erik J. +2 more
core +1 more source
Fluctuations of an omega-type killed process in discrete time
Modern Stochastics: Theory and ApplicationsThe theory of the so-called ${\mathcal{W}_{q}}$ and ${\mathcal{Z}_{q}}$ scale functions is developped for the fluctuations of right-continuous discrete time and space killed random walks.
Meral Şimşek +2 more
doaj +1 more source
Implicit renewal theory for exponential functionals of L\'evy processes
, 2015 We establish a new functional relation for the probability density function of the exponential functional of a L\'evy process, which allows to significantly simplify the techniques commonly used in the study of these random variables and hence provide ...
Arista, Jonas, Rivero, Víctor M.
core +1 more source