Surya, Budhi; Wang, Wenyuan; Zhao, Xianghua; Zhou, Xiaowen Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process. (English) Zbl 1511.91119 Scand. Actuar. J. 2023, No. 2, 97-122 (2023). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 60G51 60J35 PDF BibTeX XML Cite \textit{B. Surya} et al., Scand. Actuar. J. 2023, No. 2, 97--122 (2023; Zbl 1511.91119) Full Text: DOI arXiv
van der Hofstad, Remco; Kapodistria, Stella; Palmowski, Zbigniew; Shneer, Seva Unified approach for solving exit problems for additive-increase and multiplicative-decrease processes. (English) Zbl 1515.60134 J. Appl. Probab. 60, No. 1, 85-105 (2023). MSC: 60G51 60G07 60G44 60G55 PDF BibTeX XML Cite \textit{R. van der Hofstad} et al., J. Appl. Probab. 60, No. 1, 85--105 (2023; Zbl 1515.60134) Full Text: DOI arXiv
Liu, Yuxuan; Jiang, Zhengjun; Zhang, Yiwen \(q\)-scale function, Banach contraction principle, and ultimate ruin probability in a Markov-modulated jump-diffusion risk model. (English) Zbl 1508.91480 Scand. Actuar. J. 2023, No. 1, 38-50 (2023). MSC: 91G05 60K37 60J74 PDF BibTeX XML Cite \textit{Y. Liu} et al., Scand. Actuar. J. 2023, No. 1, 38--50 (2023; Zbl 1508.91480) Full Text: DOI
Wang, Wenyuan; Wang, Ning; Chen, Mi On a doubly reflected risk process with running maximum dependent reflecting barriers. (English) Zbl 1505.91137 J. Comput. Appl. Math. 422, Article ID 114880, 22 p. (2023). MSC: 91B05 91G50 60G51 PDF BibTeX XML Cite \textit{W. Wang} et al., J. Comput. Appl. Math. 422, Article ID 114880, 22 p. (2023; Zbl 1505.91137) Full Text: DOI
Wang, Wenyuan; Wang, Yuebao; Chen, Ping; Wu, Xueyuan Dividend and capital injection optimization with transaction cost for Lévy risk processes. (English) Zbl 1494.49019 J. Optim. Theory Appl. 194, No. 3, 924-965 (2022). MSC: 49K45 49N25 91B05 91B32 91B70 62P05 PDF BibTeX XML Cite \textit{W. Wang} et al., J. Optim. Theory Appl. 194, No. 3, 924--965 (2022; Zbl 1494.49019) Full Text: DOI
Jiang, Zhengjun Banach contraction principle, \(q\)-scale function and ultimate ruin probability under a Markov-modulated classical risk model. (English) Zbl 1492.91300 Scand. Actuar. J. 2022, No. 3, 234-243 (2022). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 60K37 60J70 PDF BibTeX XML Cite \textit{Z. Jiang}, Scand. Actuar. J. 2022, No. 3, 234--243 (2022; Zbl 1492.91300) Full Text: DOI
Wang, Wenyuan; Wu, Xueyuan; Chi, Cheng Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes. (English) Zbl 1479.91343 Eur. Actuar. J. 11, No. 1, 285-317 (2021). MSC: 91G05 91B64 60G51 PDF BibTeX XML Cite \textit{W. Wang} et al., Eur. Actuar. J. 11, No. 1, 285--317 (2021; Zbl 1479.91343) Full Text: DOI arXiv Link
Wang, Wenyuan; Zhou, Xiaowen A drawdown reflected spectrally negative Lévy process. (English) Zbl 1469.60151 J. Theor. Probab. 34, No. 1, 283-306 (2021). MSC: 60G51 60E10 60J35 PDF BibTeX XML Cite \textit{W. Wang} and \textit{X. Zhou}, J. Theor. Probab. 34, No. 1, 283--306 (2021; Zbl 1469.60151) Full Text: DOI arXiv
Avram, Florin; Grahovac, Danijel; Vardar-Acar, Ceren The \(W, Z\) scale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems. (English) Zbl 1461.60028 ESAIM, Probab. Stat. 24, 454-525 (2020). MSC: 60G51 60G40 60J45 PDF BibTeX XML Cite \textit{F. Avram} et al., ESAIM, Probab. Stat. 24, 454--525 (2020; Zbl 1461.60028) Full Text: DOI arXiv
Wang, Wenyuan; Chen, Ping; Li, Shuanming Generalized expected discounted penalty function at general drawdown for Lévy risk processes. (English) Zbl 1435.91162 Insur. Math. Econ. 91, 12-25 (2020). MSC: 91G05 60G51 60K10 PDF BibTeX XML Cite \textit{W. Wang} et al., Insur. Math. Econ. 91, 12--25 (2020; Zbl 1435.91162) Full Text: DOI arXiv
Junca, Mauricio; Moreno-Franco, Harold A.; Pérez, José Luis; Yamazaki, Kazutoshi Optimality of refraction strategies for a constrained dividend problem. (English) Zbl 1427.60082 Adv. Appl. Probab. 51, No. 3, 633-666 (2019). MSC: 60G51 93E20 91B05 PDF BibTeX XML Cite \textit{M. Junca} et al., Adv. Appl. Probab. 51, No. 3, 633--666 (2019; Zbl 1427.60082) Full Text: DOI arXiv
Li, Bo; Vu, Nhat Linh; Zhou, Xiaowen Exit problems for general draw-down times of spectrally negative Lévy processes. (English) Zbl 1415.60048 J. Appl. Probab. 56, No. 2, 441-457 (2019). MSC: 60G51 60E10 60J35 PDF BibTeX XML Cite \textit{B. Li} et al., J. Appl. Probab. 56, No. 2, 441--457 (2019; Zbl 1415.60048) Full Text: DOI arXiv
Li, Manman; Yin, George Optimal threshold strategies with capital injections in a spectrally negative Lévy risk model. (English) Zbl 1438.91176 J. Ind. Manag. Optim. 15, No. 2, 517-535 (2019). MSC: 91G50 91G05 93E20 60G51 PDF BibTeX XML Cite \textit{M. Li} and \textit{G. Yin}, J. Ind. Manag. Optim. 15, No. 2, 517--535 (2019; Zbl 1438.91176) Full Text: DOI
Jiang, Zhengjun Optimal dividend policy when risk reserves follow a jump-diffusion process with a completely monotone jump density under Markov-regime switching. (English) Zbl 1411.91289 Insur. Math. Econ. 86, 1-7 (2019). MSC: 91B30 93E20 60J75 PDF BibTeX XML Cite \textit{Z. Jiang}, Insur. Math. Econ. 86, 1--7 (2019; Zbl 1411.91289) Full Text: DOI
Yamazaki, Kazutoshi Optimality of two-parameter strategies in stochastic control. (English) Zbl 07715211 Hernández-Hernández, Daniel (ed.) et al., XII symposium of probability and stochastic processes, Merida, Mexico, November 16–20, 2015. Cham: Birkhäuser. Prog. Probab. 73, 51-104 (2018). MSC: 93E20 93C27 60G51 60G40 49J40 91A15 PDF BibTeX XML Cite \textit{K. Yamazaki}, Prog. Probab. 73, 51--104 (2018; Zbl 07715211) Full Text: DOI arXiv
Möller, Philipp M. Drawdown measures and return moments. (English) Zbl 1417.91471 Int. J. Theor. Appl. Finance 21, No. 7, Article ID 1850042, 42 p. (2018). MSC: 91G10 60G51 62M10 91B30 62P05 PDF BibTeX XML Cite \textit{P. M. Möller}, Int. J. Theor. Appl. Finance 21, No. 7, Article ID 1850042, 42 p. (2018; Zbl 1417.91471) Full Text: DOI
Forman, Noah; Pal, Soumik; Rizzolo, Douglas; Winkel, Matthias Uniform control of local times of spectrally positive stable processes. (English) Zbl 1402.60056 Ann. Appl. Probab. 28, No. 4, 2592-2634 (2018). MSC: 60G52 60G51 60J55 60J80 PDF BibTeX XML Cite \textit{N. Forman} et al., Ann. Appl. Probab. 28, No. 4, 2592--2634 (2018; Zbl 1402.60056) Full Text: DOI arXiv Euclid
Li, Bo; Palmowski, Zbigniew Fluctuations of Omega-killed spectrally negative Lévy processes. (English) Zbl 1401.60087 Stochastic Processes Appl. 128, No. 10, 3273-3299 (2018). MSC: 60G51 60K25 PDF BibTeX XML Cite \textit{B. Li} and \textit{Z. Palmowski}, Stochastic Processes Appl. 128, No. 10, 3273--3299 (2018; Zbl 1401.60087) Full Text: DOI arXiv
Albrecher, Hansjörg; Ivanovs, Jevgenijs Linking dividends and capital injections – a probabilistic approach. (English) Zbl 1416.91146 Scand. Actuar. J. 2018, No. 1, 76-83 (2018). MSC: 91B30 60G51 PDF BibTeX XML Cite \textit{H. Albrecher} and \textit{J. Ivanovs}, Scand. Actuar. J. 2018, No. 1, 76--83 (2018; Zbl 1416.91146) Full Text: DOI Link
Hernández, Camilo; Junca, Mauricio; Moreno-Franco, Harold A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes. (English) Zbl 1401.91147 Insur. Math. Econ. 79, 57-68 (2018). MSC: 91B30 60G51 93E20 PDF BibTeX XML Cite \textit{C. Hernández} et al., Insur. Math. Econ. 79, 57--68 (2018; Zbl 1401.91147) Full Text: DOI arXiv
Palmowski, Zbigniew; Tumilewicz, Joanna Pricing insurance drawdown-type contracts with underlying Lévy assets. (English) Zbl 1400.91251 Insur. Math. Econ. 79, 1-14 (2018). MSC: 91B30 60G51 60G40 PDF BibTeX XML Cite \textit{Z. Palmowski} and \textit{J. Tumilewicz}, Insur. Math. Econ. 79, 1--14 (2018; Zbl 1400.91251) Full Text: DOI arXiv
Pérez, José-Luis; Yamazaki, Kazutoshi On the refracted-reflected spectrally negative Lévy processes. (English) Zbl 1386.60171 Stochastic Processes Appl. 128, No. 1, 306-331 (2018). MSC: 60G51 91B30 90B22 PDF BibTeX XML Cite \textit{J.-L. Pérez} and \textit{K. Yamazaki}, Stochastic Processes Appl. 128, No. 1, 306--331 (2018; Zbl 1386.60171) Full Text: DOI arXiv
Landriault, David; Li, Bin; Zhang, Hongzhong A unified approach for drawdown (drawup) of time-homogeneous Markov processes. (English) Zbl 1400.60044 J. Appl. Probab. 54, No. 2, 603-626 (2017). MSC: 60G07 60G40 PDF BibTeX XML Cite \textit{D. Landriault} et al., J. Appl. Probab. 54, No. 2, 603--626 (2017; Zbl 1400.60044) Full Text: DOI arXiv
Pérez, José-Luis; Yamazaki, Kazutoshi Refraction-reflection strategies in the dual model. (English) Zbl 1390.91203 ASTIN Bull. 47, No. 1, 199-238 (2017). MSC: 91B30 60G51 91G50 93E20 PDF BibTeX XML Cite \textit{J.-L. Pérez} and \textit{K. Yamazaki}, ASTIN Bull. 47, No. 1, 199--238 (2017; Zbl 1390.91203) Full Text: DOI arXiv
Gajek, Lesław; Kuciński, Łukasz Complete discounted cash flow valuation. (English) Zbl 1416.91395 Insur. Math. Econ. 73, 1-19 (2017). MSC: 91G50 60G51 93E20 PDF BibTeX XML Cite \textit{L. Gajek} and \textit{Ł. Kuciński}, Insur. Math. Econ. 73, 1--19 (2017; Zbl 1416.91395) Full Text: DOI
Vardar-Acar, Ceren; Çağlar, Mine Maximum loss and maximum gain of spectrally negative Lévy processes. (English) Zbl 1373.60074 Extremes 20, No. 2, 301-308 (2017). MSC: 60G17 60G70 60G35 PDF BibTeX XML Cite \textit{C. Vardar-Acar} and \textit{M. Çağlar}, Extremes 20, No. 2, 301--308 (2017; Zbl 1373.60074) Full Text: DOI arXiv
Egami, Masahiko; Oryu, Tadao A direct solution method for pricing options involving the maximum process. (English) Zbl 1391.91155 Finance Stoch. 21, No. 4, 967-993 (2017). Reviewer: Pavel Stoynov (Sofia) MSC: 91G20 60G40 60J60 60H30 PDF BibTeX XML Cite \textit{M. Egami} and \textit{T. Oryu}, Finance Stoch. 21, No. 4, 967--993 (2017; Zbl 1391.91155) Full Text: DOI
Baurdoux, E. J.; Palmowski, Z.; Pistorius, M. R. On future drawdowns of Lévy processes. (English) Zbl 1367.60051 Stochastic Processes Appl. 127, No. 8, 2679-2698 (2017). MSC: 60G51 60F99 60J99 60K25 91G80 93E20 PDF BibTeX XML Cite \textit{E. J. Baurdoux} et al., Stochastic Processes Appl. 127, No. 8, 2679--2698 (2017; Zbl 1367.60051) Full Text: DOI arXiv Link
Yamazaki, Kazutoshi Inventory control for spectrally positive Lévy demand processes. (English) Zbl 1359.90012 Math. Oper. Res. 42, No. 1, 212-237 (2017). MSC: 90B05 93E20 60G51 PDF BibTeX XML Cite \textit{K. Yamazaki}, Math. Oper. Res. 42, No. 1, 212--237 (2017; Zbl 1359.90012) Full Text: DOI arXiv
Dong, Yinghui; Han, Min A hyper-Erlang jump-diffusion process and applications in finance. (English) Zbl 1350.60075 J. Syst. Sci. Complex. 29, No. 2, 557-572 (2016). MSC: 60J60 60J75 91G80 PDF BibTeX XML Cite \textit{Y. Dong} and \textit{M. Han}, J. Syst. Sci. Complex. 29, No. 2, 557--572 (2016; Zbl 1350.60075) Full Text: DOI
Starreveld, N. J.; Bekker, R.; Mandjes, M. Transient analysis of one-sided Lévy-driven queues. (English) Zbl 1342.60070 Stoch. Models 32, No. 3, 481-512 (2016). MSC: 60G51 60K05 60K25 60F05 PDF BibTeX XML Cite \textit{N. J. Starreveld} et al., Stoch. Models 32, No. 3, 481--512 (2016; Zbl 1342.60070) Full Text: DOI arXiv
Andersen, Lars Nørvang; Asmussen, Søren; Glynn, Peter W.; Pihlsgård, Mats Lévy processes with two-sided reflection. (English) Zbl 1338.60126 Andersen, Lars Nørvang et al., Lévy matters V. Functionals of Lévy processes. Cham: Springer (ISBN 978-3-319-23137-2/pbk; 978-3-319-23138-9/ebook). Lecture Notes in Mathematics 2149. Lévy Matters, 67-182 (2015). MSC: 60G51 60F17 60F05 60F10 60G44 60J55 60K25 60K30 34K50 PDF BibTeX XML Cite \textit{L. N. Andersen} et al., Lect. Notes Math. 2149, 67--182 (2015; Zbl 1338.60126) Full Text: DOI
Dong, Yinghui; Chen, Yao; Zhu, Haifei A hyper-exponential jump-diffusion model under the barrier dividend strategy. (English) Zbl 1340.91045 Appl. Math., Ser. B (Engl. Ed.) 30, No. 1, 17-26 (2015). MSC: 91B30 60J75 60H10 PDF BibTeX XML Cite \textit{Y. Dong} et al., Appl. Math., Ser. B (Engl. Ed.) 30, No. 1, 17--26 (2015; Zbl 1340.91045) Full Text: DOI
Ben-Salah, Zied; Guérin, Hélène; Morales, Manuel; Omidi Firouzi, Hassan On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk theory. (English) Zbl 1396.91292 Eur. Actuar. J. 5, No. 2, 381-425 (2015). Reviewer: Tamás Mátrai (Budapest) MSC: 91B30 60J75 60G51 PDF BibTeX XML Cite \textit{Z. Ben-Salah} et al., Eur. Actuar. J. 5, No. 2, 381--425 (2015; Zbl 1396.91292) Full Text: DOI arXiv
Egami, Masahiko; Oryu, Tadao An excursion-theoretic approach to regulator’s bank reorganization problem. (English) Zbl 1377.91171 Oper. Res. 63, No. 3, 527-539 (2015). MSC: 91G80 60G51 PDF BibTeX XML Cite \textit{M. Egami} and \textit{T. Oryu}, Oper. Res. 63, No. 3, 527--539 (2015; Zbl 1377.91171) Full Text: DOI arXiv
Frostig, Esther The moments of the discounted loss and the discounted dividends for a spectrally negative Lévy risk process. (English) Zbl 1326.60063 J. Appl. Probab. 52, No. 3, 665-687 (2015). MSC: 60G51 91B30 PDF BibTeX XML Cite \textit{E. Frostig}, J. Appl. Probab. 52, No. 3, 665--687 (2015; Zbl 1326.60063) Full Text: DOI Euclid
Avram, F.; Palmowski, Z.; Pistorius, M. R. On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function. (English) Zbl 1322.60055 Ann. Appl. Probab. 25, No. 4, 1868-1935 (2015). MSC: 60G51 60H30 93E20 49L20 91B30 PDF BibTeX XML Cite \textit{F. Avram} et al., Ann. Appl. Probab. 25, No. 4, 1868--1935 (2015; Zbl 1322.60055) Full Text: DOI arXiv Euclid
Baurdoux, Erik J.; Yamazaki, Kazutoshi Optimality of doubly reflected Lévy processes in singular control. (English) Zbl 1329.49039 Stochastic Processes Appl. 125, No. 7, 2727-2751 (2015). MSC: 49K45 60G51 93E20 PDF BibTeX XML Cite \textit{E. J. Baurdoux} and \textit{K. Yamazaki}, Stochastic Processes Appl. 125, No. 7, 2727--2751 (2015; Zbl 1329.49039) Full Text: DOI arXiv
Christensen, Sören; Lempa, Jukka Resolvent-techniques for multiple exercise problems. (English) Zbl 1356.60066 Appl. Math. Optim. 71, No. 1, 95-123 (2015). Reviewer: Wanyang Dai (Nanjing) MSC: 60G40 60J60 60G51 PDF BibTeX XML Cite \textit{S. Christensen} and \textit{J. Lempa}, Appl. Math. Optim. 71, No. 1, 95--123 (2015; Zbl 1356.60066) Full Text: DOI arXiv
Landriault, David; Li, Bin; Li, Shu Analysis of a drawdown-based regime-switching Lévy insurance model. (English) Zbl 1308.91086 Insur. Math. Econ. 60, 98-107 (2015). MSC: 91B30 60G40 60G51 62P05 PDF BibTeX XML Cite \textit{D. Landriault} et al., Insur. Math. Econ. 60, 98--107 (2015; Zbl 1308.91086) Full Text: DOI
Hernández-Hernández, Daniel; Yamazaki, Kazutoshi Games of singular control and stopping driven by spectrally one-sided Lévy processes. (English) Zbl 1319.91026 Stochastic Processes Appl. 125, No. 1, 1-38 (2015). Reviewer: Vivek S. Borkar (Mumbai) MSC: 91A15 60G51 60G40 91A05 91A10 91A25 93E20 PDF BibTeX XML Cite \textit{D. Hernández-Hernández} and \textit{K. Yamazaki}, Stochastic Processes Appl. 125, No. 1, 1--38 (2015; Zbl 1319.91026) Full Text: DOI arXiv
Ivanovs, Jevgenijs Potential measures of one-sided Markov additive processes with reflecting and terminating barriers. (English) Zbl 1333.60166 J. Appl. Probab. 51, No. 4, 1154-1170 (2014). Reviewer: Ismael Bailleul (Rennes) MSC: 60J25 60G51 PDF BibTeX XML Cite \textit{J. Ivanovs}, J. Appl. Probab. 51, No. 4, 1154--1170 (2014; Zbl 1333.60166) Full Text: arXiv Euclid
Albrecher, Hansjörg; Ivanovs, Jevgenijs Power identities for Lévy risk models under taxation and capital injections. (English) Zbl 1300.60067 Stoch. Syst. 4, No. 1, 157-172 (2014). MSC: 60G51 91B30 PDF BibTeX XML Cite \textit{H. Albrecher} and \textit{J. Ivanovs}, Stoch. Syst. 4, No. 1, 157--172 (2014; Zbl 1300.60067) Full Text: DOI arXiv Euclid
Egami, Masahiko; Yamazaki, Kazutoshi Phase-type Fitting of scale functions for spectrally negative Lévy processes. (English) Zbl 1291.60094 J. Comput. Appl. Math. 264, 1-22 (2014). MSC: 60G51 60J75 65C50 PDF BibTeX XML Cite \textit{M. Egami} and \textit{K. Yamazaki}, J. Comput. Appl. Math. 264, 1--22 (2014; Zbl 1291.60094) Full Text: DOI arXiv
Czarna, Irmina; Palmowski, Zbigniew Dividend problem with Parisian delay for a spectrally negative Lévy risk process. (English) Zbl 1296.91150 J. Optim. Theory Appl. 161, No. 1, 239-256 (2014). Reviewer: Pavel Stoynov (Sofia) MSC: 91B30 60G51 60H30 PDF BibTeX XML Cite \textit{I. Czarna} and \textit{Z. Palmowski}, J. Optim. Theory Appl. 161, No. 1, 239--256 (2014; Zbl 1296.91150) Full Text: DOI arXiv
Kyprianou, Andreas; Ott, Curdin A capped optimal stopping problem for the maximum process. (English) Zbl 1312.60046 Acta Appl. Math. 129, No. 1, 147-174 (2014). Reviewer: Antonis Papapantoleon (Berlin) MSC: 60G40 60G51 60J75 91G80 PDF BibTeX XML Cite \textit{A. Kyprianou} and \textit{C. Ott}, Acta Appl. Math. 129, No. 1, 147--174 (2014; Zbl 1312.60046) Full Text: DOI arXiv Link
Yin, Chuancun; Wen, Yuzhen Optimal dividend problem with a terminal value for spectrally positive Lévy processes. (English) Zbl 1290.91176 Insur. Math. Econ. 53, No. 3, 769-773 (2013). MSC: 91G50 60G51 93E20 PDF BibTeX XML Cite \textit{C. Yin} and \textit{Y. Wen}, Insur. Math. Econ. 53, No. 3, 769--773 (2013; Zbl 1290.91176) Full Text: DOI arXiv
Kella, Offer; Mandjes, Michel Transient analysis of reflected Lévy processes. (English) Zbl 1287.60061 Stat. Probab. Lett. 83, No. 10, 2308-2315 (2013). MSC: 60G51 60E10 60K25 PDF BibTeX XML Cite \textit{O. Kella} and \textit{M. Mandjes}, Stat. Probab. Lett. 83, No. 10, 2308--2315 (2013; Zbl 1287.60061) Full Text: DOI
Ott, Curdin Optimal stopping problems for the maximum process with upper and lower caps. (English) Zbl 1290.60048 Ann. Appl. Probab. 23, No. 6, 2327-2356 (2013). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60G40 60G51 60J75 PDF BibTeX XML Cite \textit{C. Ott}, Ann. Appl. Probab. 23, No. 6, 2327--2356 (2013; Zbl 1290.60048) Full Text: DOI arXiv
Frostig, Esther A Markov additive risk process with a dividend barrier. (English) Zbl 1301.60063 Adv. Appl. Probab. 45, No. 2, 451-489 (2013). MSC: 60G51 60J27 60J75 60G46 62P05 PDF BibTeX XML Cite \textit{E. Frostig}, Adv. Appl. Probab. 45, No. 2, 451--489 (2013; Zbl 1301.60063) Full Text: DOI Euclid
Jiang, Zhengjun; Pistorius, Martijn Optimal dividend distribution under Markov regime switching. (English) Zbl 1252.93135 Finance Stoch. 16, No. 3, 449-476 (2012). MSC: 93E20 91B70 60H30 PDF BibTeX XML Cite \textit{Z. Jiang} and \textit{M. Pistorius}, Finance Stoch. 16, No. 3, 449--476 (2012; Zbl 1252.93135) Full Text: DOI arXiv
Mijatović, Aleksandar; Pistorius, Martijn R. On the drawdown of completely asymmetric Lévy processes. (English) Zbl 1252.60046 Stochastic Processes Appl. 122, No. 11, 3812-3836 (2012). MSC: 60G51 60G17 PDF BibTeX XML Cite \textit{A. Mijatović} and \textit{M. R. Pistorius}, Stochastic Processes Appl. 122, No. 11, 3812--3836 (2012; Zbl 1252.60046) Full Text: DOI arXiv
Ivanovs, Jevgenijs; Palmowski, Zbigniew Occupation densities in solving exit problems for Markov additive processes and their reflections. (English) Zbl 1267.60087 Stochastic Processes Appl. 122, No. 9, 3342-3360 (2012). Reviewer: Tamas Szabados (Budapest) MSC: 60J28 60G51 60J55 60K37 PDF BibTeX XML Cite \textit{J. Ivanovs} and \textit{Z. Palmowski}, Stochastic Processes Appl. 122, No. 9, 3342--3360 (2012; Zbl 1267.60087) Full Text: DOI arXiv
Patie, Pierre; Simon, Thomas Intertwining certain fractional derivatives. (English) Zbl 1259.60040 Potential Anal. 36, No. 4, 569-587 (2012). Reviewer: Stavros Vakeroudis (Paris) MSC: 60G18 60G51 60J25 26A33 33E12 PDF BibTeX XML Cite \textit{P. Patie} and \textit{T. Simon}, Potential Anal. 36, No. 4, 569--587 (2012; Zbl 1259.60040) Full Text: DOI arXiv
Bo, Lijun; Song, Renming; Tang, Dan; Wang, Yongjin; Yang, Xuewei Lévy risk model with two-sided jumps and a barrier dividend strategy. (English) Zbl 1244.91044 Insur. Math. Econ. 50, No. 2, 280-291 (2012); erratum ibid. 52, No. 1, 124-125 (2013). Reviewer: Hanspeter Schmidli (Köln) MSC: 91B30 60G51 60J75 PDF BibTeX XML Cite \textit{L. Bo} et al., Insur. Math. Econ. 50, No. 2, 280--291 (2012; Zbl 1244.91044) Full Text: DOI
Hubalek, F.; Kyprianou, E. Old and new examples of scale functions for spectrally negative Lévy processes. (English) Zbl 1274.60148 Dalang, Robert C. (ed.) et al., Seminar on stochastic analysis, random fields and applications VI. Centro Stefano Franscini, Ascona, Italy, May 19–23, 2008. Basel: Birkhäuser (ISBN 978-3-0348-0020-4/pbk; 978-3-0348-0021-1/ebook). Progress in Probability 63, 119-145 (2011). MSC: 60G51 60J75 60G99 PDF BibTeX XML Cite \textit{F. Hubalek} and \textit{E. Kyprianou}, Prog. Probab. 63, 119--145 (2011; Zbl 1274.60148) Full Text: DOI arXiv
Abdel-Hameed, Mohamed Control of dams using \(P^M_{\lambda,\tau}\) policies when the input process is a nonnegative Lévy process. (English) Zbl 1235.93258 Int. J. Stoch. Anal. 2011, Article ID 916952, 17 p. (2011). MSC: 93E20 93E03 60G51 60J25 93C95 PDF BibTeX XML Cite \textit{M. Abdel-Hameed}, Int. J. Stoch. Anal. 2011, Article ID 916952, 17 p. (2011; Zbl 1235.93258) Full Text: DOI
Chan, T.; Kyprianou, A. E.; Savov, M. Smoothness of scale functions for spectrally negative Lévy processes. (English) Zbl 1259.60050 Probab. Theory Relat. Fields 150, No. 3-4, 691-708 (2011). Reviewer: Antonis Papapantoleon (Berlin) MSC: 60G51 60J45 91B30 PDF BibTeX XML Cite \textit{T. Chan} et al., Probab. Theory Relat. Fields 150, No. 3--4, 691--708 (2011; Zbl 1259.60050) Full Text: DOI arXiv
Glynn, Peter W.; Mandjes, Michel Simulation-based computation of the workload correlation function in a Lévy-driven queue. (English) Zbl 1213.60147 J. Appl. Probab. 48, No. 1, 114-130 (2011). MSC: 60K25 60G51 PDF BibTeX XML Cite \textit{P. W. Glynn} and \textit{M. Mandjes}, J. Appl. Probab. 48, No. 1, 114--130 (2011; Zbl 1213.60147) Full Text: DOI
Loeffen, Ronnie L.; Renaud, Jean-François De Finetti’s optimal dividends problem with an affine penalty function at ruin. (English) Zbl 1231.91212 Insur. Math. Econ. 46, No. 1, 98-108 (2010). MSC: 91B30 60H30 60G51 PDF BibTeX XML Cite \textit{R. L. Loeffen} and \textit{J.-F. Renaud}, Insur. Math. Econ. 46, No. 1, 98--108 (2010; Zbl 1231.91212) Full Text: DOI
Fourati, Sonia Fluctuations of Lévy processes and scattering theory. (English) Zbl 1187.60037 Trans. Am. Math. Soc. 362, No. 1, 441-475 (2010). MSC: 60G51 34L25 60G52 35Q15 PDF BibTeX XML Cite \textit{S. Fourati}, Trans. Am. Math. Soc. 362, No. 1, 441--475 (2010; Zbl 1187.60037) Full Text: DOI arXiv
Kyprianou, Andreas E.; Zhou, Xiaowen General tax structures and the Lévy insurance risk model. (English) Zbl 1210.60098 J. Appl. Probab. 46, No. 4, 1146-1156 (2009). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 60K05 60K15 91B30 60G70 60J55 PDF BibTeX XML Cite \textit{A. E. Kyprianou} and \textit{X. Zhou}, J. Appl. Probab. 46, No. 4, 1146--1156 (2009; Zbl 1210.60098) Full Text: DOI arXiv
Baurdoux, E. J. Last exit before an exponential time for spectrally negative Lévy processes. (English) Zbl 1170.60020 J. Appl. Probab. 46, No. 2, 542-558 (2009). MSC: 60G51 91B30 PDF BibTeX XML Cite \textit{E. J. Baurdoux}, J. Appl. Probab. 46, No. 2, 542--558 (2009; Zbl 1170.60020) Full Text: DOI
Faggionato, Alessandra The alternating marked point process of \(h\)-slopes of drifted Brownian motion. (English) Zbl 1169.60318 Stochastic Processes Appl. 119, No. 6, 1765-1791 (2009). MSC: 60J65 60G55 PDF BibTeX XML Cite \textit{A. Faggionato}, Stochastic Processes Appl. 119, No. 6, 1765--1791 (2009; Zbl 1169.60318) Full Text: DOI arXiv
Kadankov, Victor Intersections of the interval and reflections for a semi-Markov walk with linear drift. (English) Zbl 1199.60141 Random Oper. Stoch. Equ. 16, No. 2, 131-164 (2008). Reviewer: Rostyslav E. Yamnenko (Kyïv) MSC: 60G40 60K20 PDF BibTeX XML Cite \textit{V. Kadankov}, Random Oper. Stoch. Equ. 16, No. 2, 131--164 (2008; Zbl 1199.60141) Full Text: DOI
Surya, B. A. Evaluating scale functions of spectrally negative Lévy processes. (English) Zbl 1140.60027 J. Appl. Probab. 45, No. 1, 135-149 (2008). Reviewer: Pavel Stoynov (Sofia) MSC: 60G51 62P05 65T50 PDF BibTeX XML Cite \textit{B. A. Surya}, J. Appl. Probab. 45, No. 1, 135--149 (2008; Zbl 1140.60027) Full Text: DOI
Kadankova, T.; Veraverbeke, N. On several two-boundary problems for a particular class of Lévy processes. (English) Zbl 1138.60038 J. Theor. Probab. 20, No. 4, 1073-1085 (2007). Reviewer: Antonis Papapantoleon (Wien) MSC: 60G51 60J50 PDF BibTeX XML Cite \textit{T. Kadankova} and \textit{N. Veraverbeke}, J. Theor. Probab. 20, No. 4, 1073--1085 (2007; Zbl 1138.60038) Full Text: DOI arXiv
Avram, Florin; Palmowski, Zbigniew; Pistorius, Martijn R. On the optimal dividend problem for a spectrally negative Lévy process. (English) Zbl 1136.60032 Ann. Appl. Probab. 17, No. 1, 156-180 (2007). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 60G51 60J99 93E20 91B30 91G50 PDF BibTeX XML Cite \textit{F. Avram} et al., Ann. Appl. Probab. 17, No. 1, 156--180 (2007; Zbl 1136.60032) Full Text: DOI arXiv
Perry, D.; Stadje, W.; Zacks, S. Hysteretic capacity switching for \(M/G/1\) queues. (English) Zbl 1125.60107 Stoch. Models 23, No. 2, 277-305 (2007). MSC: 60K25 68M20 90B22 PDF BibTeX XML Cite \textit{D. Perry} et al., Stoch. Models 23, No. 2, 277--305 (2007; Zbl 1125.60107) Full Text: DOI
Dube, Parijat; Guillemin, Fabrice; Mazumdar, Ravi R. Scale functions of Lévy processes and busy periods of finite-capacity M/GI/1 queues. (English) Zbl 1076.60078 J. Appl. Probab. 41, No. 4, 1145-1156 (2004). Reviewer: Andreas Brandt (Berlin) MSC: 60K25 60J50 90B22 PDF BibTeX XML Cite \textit{P. Dube} et al., J. Appl. Probab. 41, No. 4, 1145--1156 (2004; Zbl 1076.60078) Full Text: DOI Link
Avram, F.; Kyprianou, A. E.; Pistorius, M. R. Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options. (English) Zbl 1042.60023 Ann. Appl. Probab. 14, No. 1, 215-238 (2004). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60G51 60J99 60G40 91B70 PDF BibTeX XML Cite \textit{F. Avram} et al., Ann. Appl. Probab. 14, No. 1, 215--238 (2004; Zbl 1042.60023) Full Text: DOI