Exit Problems for Lévy and Markov Processes with One-Sided Jumps and Related Topics (Record no. 69001)
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| 000 -LEADER | |
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| fixed length control field | 04592naaaa2201009uu 4500 |
| 001 - CONTROL NUMBER | |
| control field | https://directory.doabooks.org/handle/20.500.12854/76508 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20220220055214.0 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | books978-3-03928-459-7 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9783039284580 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9783039284597 |
| 024 7# - OTHER STANDARD IDENTIFIER | |
| Standard number or code | 10.3390/books978-3-03928-459-7 |
| Terms of availability | doi |
| 041 0# - LANGUAGE CODE | |
| Language code of text/sound track or separate title | English |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | GP |
| Source | bicssc |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | P |
| Source | bicssc |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Avram, Florin |
| Relationship | edt |
| 245 10 - TITLE STATEMENT | |
| Title | Exit Problems for Lévy and Markov Processes with One-Sided Jumps and Related Topics |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Place of publication, distribution, etc. | Basel, Switzerland |
| Name of publisher, distributor, etc. | MDPI - Multidisciplinary Digital Publishing Institute |
| Date of publication, distribution, etc. | 2021 |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 electronic resource (218 p.) |
| 506 0# - RESTRICTIONS ON ACCESS NOTE | |
| Terms governing access | Open Access |
| Source of term | star |
| Standardized terminology for access restriction | Unrestricted online access |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | Exit problems for one-dimensional Lévy processes are easier when jumps only occur in one direction. In the last few years, this intuition became more precise: we know now that a wide variety of identities for exit problems of spectrally-negative Lévy processes may be ergonomically expressed in terms of two q-harmonic functions (or scale functions or positive martingales) W and Z. The proofs typically require not much more than the strong Markov property, which hold, in principle, for the wider class of spectrally-negative strong Markov processes. This has been established already in particular cases, such as random walks, Markov additive processes, Lévy processes with omega-state-dependent killing, and certain Lévy processes with state dependent drift, and seems to be true for general strong Markov processes, subject to technical conditions. However, computing the functions W and Z is still an open problem outside the Lévy and diffusion classes, even for the simplest risk models with state-dependent parameters (say, Ornstein–Uhlenbeck or Feller branching diffusion with phase-type jumps). |
| 540 ## - TERMS GOVERNING USE AND REPRODUCTION NOTE | |
| Terms governing use and reproduction | Creative Commons |
| Use and reproduction rights | https://creativecommons.org/licenses/by/4.0/ |
| Source of term | cc |
| -- | https://creativecommons.org/licenses/by/4.0/ |
| 546 ## - LANGUAGE NOTE | |
| Language note | English |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Research & information: general |
| Source of heading or term | bicssc |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Mathematics & science |
| Source of heading or term | bicssc |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Lévy processes |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | non-random overshoots |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | skip-free random walks |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | fluctuation theory |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | scale functions |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | capital surplus process |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | dividend payment |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | optimal control |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | capital injection constraint |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | spectrally negative Lévy processes |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | reflected Lévy processes |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | first passage |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | drawdown process |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | spectrally negative process |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | dividends |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | de Finetti valuation objective |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | variational problem |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | stochastic control |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | optimal dividends |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Parisian ruin |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | log-convexity |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | barrier strategies |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | adjustment coefficient |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | logarithmic asymptotics |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | quadratic programming problem |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | ruin probability |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | two-dimensional Brownian motion |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | spectrally negative Lévy process |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | general tax structure |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | first crossing time |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | joint Laplace transform |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | potential measure |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Laplace transform |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | first hitting time |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | diffusion-type process |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | running maximum and minimum processes |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | boundary-value problem |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | normal reflection |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Sparre Andersen model |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | heavy tails |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | completely monotone distributions |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | error bounds |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | hyperexponential distribution |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | reflected Brownian motion |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | linear diffusions |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | drawdown |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Segerdahl process |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | affine coefficients |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | spectrally negative Markov process |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | hypergeometric functions |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | capital injections |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | bankruptcy |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | reflection and absorption |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Pollaczek–Khinchine formula |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | scale function |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Padé approximations |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Laguerre series |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Tricomi–Weeks Laplace inversion |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Avram, Florin |
| Relationship | oth |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Host name | www.oapen.org |
| Uniform Resource Identifier | <a href="https://mdpi.com/books/pdfview/book/3954">https://mdpi.com/books/pdfview/book/3954</a> |
| Access status | 0 |
| Public note | DOAB: download the publication |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Host name | www.oapen.org |
| Uniform Resource Identifier | <a href="https://directory.doabooks.org/handle/20.500.12854/76508">https://directory.doabooks.org/handle/20.500.12854/76508</a> |
| Access status | 0 |
| Public note | DOAB: description of the publication |
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