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For: Chan T, Kyprianou AE, Savov M. Smoothness of scale functions for spectrally negative Lévy processes. Probab Theory Relat Fields 2010. [DOI: 10.1007/s00440-010-0289-4] [Citation(s) in RCA: 83] [Impact Index Per Article: 5.9] [Reference Citation Analysis] [What about the content of this article? (0)] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/27/2022]
Number Cited by Other Article(s)
1
On q-scale functions of spectrally negative Lévy processes. ADV APPL PROBAB 2022. [DOI: 10.1017/apr.2022.10] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/07/2022]
2
Sun F, Song Z. Spectrally negative Lévy risk model under mixed ratcheting-periodic dividend strategies. COMMUN STAT-SIMUL C 2022. [DOI: 10.1080/03610918.2022.2099555] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/03/2022]
3
Draw-down Parisian ruin for spectrally negative Lévy processes. ADV APPL PROBAB 2020. [DOI: 10.1017/apr.2020.36] [Citation(s) in RCA: 6] [Impact Index Per Article: 1.5] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/07/2022]
4
Liu Z, Chen P. Dividend payments until draw-down time for risk models driven by spectrally negative Lévy processes. COMMUN STAT-SIMUL C 2020. [DOI: 10.1080/03610918.2020.1828918] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/23/2022]
5
Avram F, Grahovac D, Vardar-Acar C. The W, Z scale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems. ESAIM-PROBAB STAT 2020. [DOI: 10.1051/ps/2019022] [Citation(s) in RCA: 8] [Impact Index Per Article: 2.0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/14/2022]
6
Wang W, Zhou X. A Drawdown Reflected Spectrally Negative Lévy Process. J THEOR PROBAB 2019. [DOI: 10.1007/s10959-019-00971-4] [Citation(s) in RCA: 3] [Impact Index Per Article: 0.6] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/25/2022]
7
Fractal-Dimensional Properties of Subordinators. J THEOR PROBAB 2019. [DOI: 10.1007/s10959-018-0813-5] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.2] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/26/2022]
8
Exit problems for general draw-down times of spectrally negative Lévy processes. J Appl Probab 2019. [DOI: 10.1017/jpr.2019.31] [Citation(s) in RCA: 17] [Impact Index Per Article: 3.4] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/05/2022]
9
On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models. J Appl Probab 2019. [DOI: 10.1017/jpr.2018.85] [Citation(s) in RCA: 2] [Impact Index Per Article: 0.4] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/06/2022]
10
Fluctuations of Omega-killed spectrally negative Lévy processes. Stoch Process Their Appl 2018. [DOI: 10.1016/j.spa.2017.10.018] [Citation(s) in RCA: 13] [Impact Index Per Article: 2.2] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 11/18/2022]
11
Wang W, Ming R. Two-side exit problems for taxed Lévy risk process involving the general draw-down time. Stat Probab Lett 2018. [DOI: 10.1016/j.spl.2018.02.065] [Citation(s) in RCA: 3] [Impact Index Per Article: 0.5] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 12/01/2022]
12
Jiang Z. Optimal Dividend Policy when Cash Reserves Follow a Jump-Diffusion Process Under Markov-Regime Switching. J Appl Probab 2018. [DOI: 10.1239/jap/1429282616] [Citation(s) in RCA: 11] [Impact Index Per Article: 1.8] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/18/2022]
13
Avram F, Pérez JL, Yamazaki K. Spectrally negative Lévy processes with Parisian reflection below and classical reflection above. Stoch Process Their Appl 2018. [DOI: 10.1016/j.spa.2017.04.013] [Citation(s) in RCA: 24] [Impact Index Per Article: 4.0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 11/15/2022]
14
On the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Lévy Models. ADV APPL PROBAB 2016. [DOI: 10.1017/s0001867800006972] [Citation(s) in RCA: 4] [Impact Index Per Article: 0.5] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/05/2022]
15
Egami M, Yamazaki K. On the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Lévy Models. ADV APPL PROBAB 2016. [DOI: 10.1239/aap/1396360107] [Citation(s) in RCA: 4] [Impact Index Per Article: 0.5] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/18/2022]
16
Kyprianou AE, Loeffen R, Pérez JL. Optimal Control with Absolutely Continuous Strategies for Spectrally Negative Lévy Processes. J Appl Probab 2016. [DOI: 10.1239/jap/1331216839] [Citation(s) in RCA: 26] [Impact Index Per Article: 3.3] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/18/2022]
17
Optimal Control with Absolutely Continuous Strategies for Spectrally Negative Lévy Processes. J Appl Probab 2016. [DOI: 10.1017/s0021900200008913] [Citation(s) in RCA: 8] [Impact Index Per Article: 1.0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/05/2022]
18
Mijatović A, Vidmar M, Jacka S. Markov chain approximations to scale functions of Lévy processes. Stoch Process Their Appl 2015. [DOI: 10.1016/j.spa.2015.05.012] [Citation(s) in RCA: 3] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 10/23/2022]
19
Optimality of doubly reflected Lévy processes in singular control. Stoch Process Their Appl 2015. [DOI: 10.1016/j.spa.2015.01.011] [Citation(s) in RCA: 5] [Impact Index Per Article: 0.6] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 10/24/2022]
20
Optimal Dividend Policy when Cash Reserves Follow a Jump-Diffusion Process Under Markov-Regime Switching. J Appl Probab 2015. [DOI: 10.1017/s0021900200012298] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/06/2022]
21
Hernández-Hernández D, Yamazaki K. Games of singular control and stopping driven by spectrally one-sided Lévy processes. Stoch Process Their Appl 2015. [DOI: 10.1016/j.spa.2014.07.020] [Citation(s) in RCA: 8] [Impact Index Per Article: 0.9] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 11/30/2022]
22
Richard M. Splitting trees with neutral mutations at birth. Stoch Process Their Appl 2014. [DOI: 10.1016/j.spa.2014.05.008] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.1] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 10/25/2022]
23
Paroissin C, Rabehasaina L. First and Last Passage Times of Spectrally Positive Lévy Processes with Application to Reliability. Methodol Comput Appl Probab 2013. [DOI: 10.1007/s11009-013-9360-9] [Citation(s) in RCA: 8] [Impact Index Per Article: 0.7] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/30/2022]
24
Asymptotic Behavior of Local Times of Compound Poisson Processes with Drift in the Infinite Variance Case. J THEOR PROBAB 2013. [DOI: 10.1007/s10959-013-0492-1] [Citation(s) in RCA: 6] [Impact Index Per Article: 0.5] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/27/2022]
25
Egami M, Leung T, Yamazaki K. Default swap games driven by spectrally negative Lévy processes. Stoch Process Their Appl 2013. [DOI: 10.1016/j.spa.2012.09.008] [Citation(s) in RCA: 11] [Impact Index Per Article: 1.0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 10/27/2022]
26
Mijatović A, Pistorius MR. On the drawdown of completely asymmetric Lévy processes. Stoch Process Their Appl 2012. [DOI: 10.1016/j.spa.2012.06.012] [Citation(s) in RCA: 38] [Impact Index Per Article: 3.2] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 10/28/2022]
27
Occupation densities in solving exit problems for Markov additive processes and their reflections. Stoch Process Their Appl 2012. [DOI: 10.1016/j.spa.2012.05.016] [Citation(s) in RCA: 50] [Impact Index Per Article: 4.2] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
28
Keller-Ressel M, Mijatović A. On the limit distributions of continuous-state branching processes with immigration. Stoch Process Their Appl 2012. [DOI: 10.1016/j.spa.2012.03.012] [Citation(s) in RCA: 24] [Impact Index Per Article: 2.0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 11/27/2022]
29
Landriault D, Renaud JF, Zhou X. Occupation times of spectrally negative Lévy processes with applications. Stoch Process Their Appl 2011. [DOI: 10.1016/j.spa.2011.07.008] [Citation(s) in RCA: 66] [Impact Index Per Article: 5.1] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 11/24/2022]
30
Baurdoux E, Kyprianou A, Pardo J. The Gapeev–Kühn stochastic game driven by a spectrally positive Lévy process. Stoch Process Their Appl 2011. [DOI: 10.1016/j.spa.2011.02.002] [Citation(s) in RCA: 14] [Impact Index Per Article: 1.1] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 11/30/2022]
31
Döring L, Savov M. (Non)Differentiability and Asymptotics for Potential Densities of Subordinators. ELECTRON J PROBAB 2011. [DOI: 10.1214/ejp.v16-860] [Citation(s) in RCA: 7] [Impact Index Per Article: 0.5] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
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