Exit Problems for Jump Processes Having Double-Sided Jumps with Rational Laplace Transforms
Abstract and Applied Analysis, 2014 We consider the two-sided first-exit problem for a jump process having jumps with rational Laplace transform. We derive the joint distribution of the first passage time to two-sided barriers and the value of process at the first passage time.
Yuzhen Wen, Chuancun Yin
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The $W,Z$ scale functions kit for first passage problems of spectrally negative Levy processes, and applications to the optimization of dividends [PDF]
, 2019 First passage problems for spectrally negative L\'evy processes with possible absorbtion or/and reflection at boundaries have been widely applied in mathematical finance, risk, queueing, and inventory/storage theory.
Albrecher +113 more
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Outage Probability in Arbitrarily-Shaped Finite Wireless Networks [PDF]
, 2013 This paper analyzes the outage performance in finite wireless networks. Unlike most prior works, which either assumed a specific network shape or considered a special location of the reference receiver, we propose two general frameworks for analytically ...
Jing Guo +4 more
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Meromorphic Levy processes and their fluctuation identities [PDF]
, 2011 The last couple of years has seen a remarkable number of new, explicit examples of the Wiener-Hopf factorization for Levy processes where previously there had been very few.
Kuznetsov, Alexey +2 more
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Null Spaces of Radon Transforms [PDF]
, 2015 We obtain new descriptions of the null spaces of several projectively equivalent transforms in integral geometry. The paper deals with the hyperplane Radon transform, the totally geodesic transforms on the sphere and the hyperbolic space, the spherical ...
Estrada, Ricardo, Rubin, Boris
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Stochastic areas of diffusions and applications in risk theory
, 2013 In this paper we study the stochastic area swept by a regular time-homogeneous diffusion till a stopping time. This unifies some recent literature in this area.
Cui, Zhenyu
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New integral transform: Shehu transform a generalization of Sumudu and Laplace transform for solving differential equations [PDF]
, 2019 In this paper, we introduce a Laplace-type integral transform called the Shehu transform which is a generalization of the Laplace and the Sumudu integral transforms for solving differential equations in the time domain. The proposed integral transform is
Maitama, Shehu, Zhao, Weidong
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, 2006 An analytical expression for the first-order density matrix of a charged, two-dimensional, harmonically confined quantum gas, in the presence of a constant magnetic field is derived.
A. M. Kosevitch +4 more
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Omega risk model with tax [PDF]
, 2014 In this paper we study the Omega risk model with surplus-dependent tax payments in a time-homogeneous diffusion setting. The new model incorporates practical features from both the Omega risk model(Albrecher and Gerber and Shiu (2011)) and the risk model
Cui, Zhenyu
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Exit problems for spectrally negative Lévy processes and applications to Russian, American and Canadized options [PDF]
, 2002 We consider spectrally negative Lévy process and determine the joint Laplace trans- form of the exit time and exit position from an interval containing the origin of the process reflected in its supremum.
Avram, F. +2 more
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