Surya, Budhi; Wang, Wenyuan; Zhao, Xianghua; Zhou, Xiaowen Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process. (English) Zbl 07662327 Scand. Actuar. J. 2023, No. 2, 97-122 (2023). MSC: 91G05 60G51 60J35 PDF BibTeX XML Cite \textit{B. Surya} et al., Scand. Actuar. J. 2023, No. 2, 97--122 (2023; Zbl 07662327) Full Text: DOI arXiv OpenURL
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 07661240 J. Appl. Probab. 60, No. 1, 85-105 (2023). MSC: 60G07 60G44 60G55 PDF BibTeX XML Cite \textit{R. van der Hofstad} et al., J. Appl. Probab. 60, No. 1, 85--105 (2023; Zbl 07661240) Full Text: DOI arXiv OpenURL
Kella, Offer; Mandjes, Michel From reflected Lévy processes to stochastically monotone Markov processes via generalized inverses and supermodularity. (English) Zbl 07661239 J. Appl. Probab. 60, No. 1, 68-84 (2023). MSC: 60K25 60J25 60G51 90B05 PDF BibTeX XML Cite \textit{O. Kella} and \textit{M. Mandjes}, J. Appl. Probab. 60, No. 1, 68--84 (2023; Zbl 07661239) Full Text: DOI arXiv OpenURL
Mercier, Sophie; Sangüesa, Carmen A general multivariate lifetime model with a multivariate additive process as conditional hazard rate increment process. (English) Zbl 07647748 Metrika 86, No. 1, 91-129 (2023). MSC: 60G51 60G55 62H05 PDF BibTeX XML Cite \textit{S. Mercier} and \textit{C. Sangüesa}, Metrika 86, No. 1, 91--129 (2023; Zbl 07647748) Full Text: DOI OpenURL
González Cázares, Jorge; Mijatović, Aleksandar Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation. (English) Zbl 1498.91494 Finance Stoch. 26, No. 4, 671-732 (2022). MSC: 91G60 65C05 60G51 60G70 PDF BibTeX XML Cite \textit{J. González Cázares} and \textit{A. Mijatović}, Finance Stoch. 26, No. 4, 671--732 (2022; Zbl 1498.91494) Full Text: DOI arXiv OpenURL
Huang, Xuan; Zhou, Jieming General draw-down times for refracted spectrally negative Lévy processes. (English) Zbl 1489.91067 Methodol. Comput. Appl. Probab. 24, No. 2, 875-891 (2022). MSC: 91B05 60G40 60G51 60J25 PDF BibTeX XML Cite \textit{X. Huang} and \textit{J. Zhou}, Methodol. Comput. Appl. Probab. 24, No. 2, 875--891 (2022; Zbl 1489.91067) Full Text: DOI OpenURL
Asmussen, Søren On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance. (English) Zbl 1494.91151 Finance Stoch. 26, No. 3, 383-416 (2022). MSC: 91G20 60G51 PDF BibTeX XML Cite \textit{S. Asmussen}, Finance Stoch. 26, No. 3, 383--416 (2022; Zbl 1494.91151) Full Text: DOI OpenURL
Kella, Offer Martingales associated with functions of Markov and finite variation processes. (English) Zbl 1489.60070 Queueing Syst. 100, No. 3-4, 205-207 (2022). MSC: 60G44 60J25 PDF BibTeX XML Cite \textit{O. Kella}, Queueing Syst. 100, No. 3--4, 205--207 (2022; Zbl 1489.60070) Full Text: DOI OpenURL
Urban, Roman A note on Lévy subordinators in cones of fuzzy sets in Banach spaces. (English) Zbl 1492.60008 Math. Slovaca 72, No. 3, 787-796 (2022). MSC: 60A86 60G51 60G20 PDF BibTeX XML Cite \textit{R. Urban}, Math. Slovaca 72, No. 3, 787--796 (2022; Zbl 1492.60008) Full Text: DOI OpenURL
Delsing, G. A.; Mandjes, M. R. H.; Spreij, P. J. C.; Winands, E. M. M. On capital allocation for a risk measure derived from ruin theory. (English) Zbl 1490.91169 Insur. Math. Econ. 104, 76-98 (2022). MSC: 91G05 91G70 PDF BibTeX XML Cite \textit{G. A. Delsing} et al., Insur. Math. Econ. 104, 76--98 (2022; Zbl 1490.91169) Full Text: DOI arXiv OpenURL
Yang, Hong; Jin, Zhen Stochastic SIS epidemic model on network with Lévy noise. (English) Zbl 1491.92127 Stochastic Anal. Appl. 40, No. 3, 520-538 (2022). MSC: 92D30 60H30 PDF BibTeX XML Cite \textit{H. Yang} and \textit{Z. Jin}, Stochastic Anal. Appl. 40, No. 3, 520--538 (2022; Zbl 1491.92127) Full Text: DOI OpenURL
Al Masry, Zeina; Rabehasaina, Landy; Verdier, Ghislain Change-level detection for Lévy subordinators. (English) Zbl 1483.62146 Stochastic Processes Appl. 147, 423-455 (2022). MSC: 62M10 62L10 62L15 60G51 60G40 PDF BibTeX XML Cite \textit{Z. Al Masry} et al., Stochastic Processes Appl. 147, 423--455 (2022; Zbl 1483.62146) Full Text: DOI HAL OpenURL
Leżaj, Łukasz Transition densities of spectrally positive Lévy processes. (English) Zbl 1485.60073 Lith. Math. J. 62, No. 1, 43-68 (2022). Reviewer: Artem Sapozhnikov (Leipzig) MSC: 60J35 60G51 PDF BibTeX XML Cite \textit{Ł. Leżaj}, Lith. Math. J. 62, No. 1, 43--68 (2022; Zbl 1485.60073) Full Text: DOI arXiv OpenURL
Jacobovic, Royi; Kella, Offer Steady-state optimization of an exhaustive Lévy storage process with intermittent output and random output rate. (English) Zbl 07620597 Probab. Eng. Inf. Sci. 35, No. 3, 730-744 (2021). MSC: 90B22 60K25 PDF BibTeX XML Cite \textit{R. Jacobovic} and \textit{O. Kella}, Probab. Eng. Inf. Sci. 35, No. 3, 730--744 (2021; Zbl 07620597) Full Text: DOI arXiv OpenURL
Chazal, Marie; Kyprianou, Andreas E.; Patie, Pierre A transformation for spectrally negative Lévy processes and applications. (English) Zbl 1496.60046 Chaumont, Loïc (ed.) et al., A lifetime of excursions through random walks and Lévy processes. A volume in honour of Ron Doney’s 80th birthday. Cham: Birkhäuser. Prog. Probab. 78, 157-180 (2021). MSC: 60G51 60E10 PDF BibTeX XML Cite \textit{M. Chazal} et al., Prog. Probab. 78, 157--180 (2021; Zbl 1496.60046) Full Text: DOI OpenURL
Bridaa, Safa; Fourati, Sonia; Jedidi, Wissem Some new classes and techniques in the theory of Bernstein functions. (English) Zbl 1496.60015 Chaumont, Loïc (ed.) et al., A lifetime of excursions through random walks and Lévy processes. A volume in honour of Ron Doney’s 80th birthday. Cham: Birkhäuser. Prog. Probab. 78, 139-155 (2021). MSC: 60E07 60E10 60G51 PDF BibTeX XML Cite \textit{S. Bridaa} et al., Prog. Probab. 78, 139--155 (2021; Zbl 1496.60015) Full Text: DOI OpenURL
Alili, Larbi; Bartholmé, Carine; Chaumont, Loïc; Patie, Pierre; Savov, Mladen; Vakeroudis, Stavros On Doney’s striking factorization of the arc-sine law. (English) Zbl 1496.60044 Chaumont, Loïc (ed.) et al., A lifetime of excursions through random walks and Lévy processes. A volume in honour of Ron Doney’s 80th birthday. Cham: Birkhäuser. Prog. Probab. 78, 43-58 (2021). MSC: 60G51 60G52 PDF BibTeX XML Cite \textit{L. Alili} et al., Prog. Probab. 78, 43--58 (2021; Zbl 1496.60044) Full Text: DOI arXiv OpenURL
Campolieti, Michele; Ramos, Arturo The distribution of strike size: empirical evidence from Europe and north America in the 19th and 20th centuries. (English) Zbl 07573977 Physica A 563, Article ID 125424, 13 p. (2021). MSC: 82-XX PDF BibTeX XML Cite \textit{M. Campolieti} and \textit{A. Ramos}, Physica A 563, Article ID 125424, 13 p. (2021; Zbl 07573977) Full Text: DOI OpenURL
Jiang, Wenjun; Hong, H. P.; Ren, Jiandong Estimation of model parameters of dependent processes constructed using Lévy copulas. (English) Zbl 1489.62161 Commun. Stat., Simulation Comput. 50, No. 3, 691-707 (2021). MSC: 62H05 60G51 62P30 PDF BibTeX XML Cite \textit{W. Jiang} et al., Commun. Stat., Simulation Comput. 50, No. 3, 691--707 (2021; Zbl 1489.62161) Full Text: DOI OpenURL
Chen, Yu; Liao, Yujie; Zhang, Qi; Zhang, Weiping Ruin probabilities for the phase-type dual model perturbed by diffusion. (English) Zbl 07532220 Commun. Stat., Theory Methods 50, No. 23, 5634-5651 (2021). MSC: 62-XX PDF BibTeX XML Cite \textit{Y. Chen} et al., Commun. Stat., Theory Methods 50, No. 23, 5634--5651 (2021; Zbl 07532220) Full Text: DOI OpenURL
Teimouri, Asma; Tata, Mahbanoo; Rezapour, Mohsen; Kulik, Rafal; Balakrishnan, Narayanaswamy Asymptotic behavior of eigenvalues of variance-covariance matrix of a high-dimensional heavy-tailed Lévy process. (English) Zbl 1478.60144 Methodol. Comput. Appl. Probab. 23, No. 4, 1353-1375 (2021). MSC: 60G51 60G70 60E07 PDF BibTeX XML Cite \textit{A. Teimouri} et al., Methodol. Comput. Appl. Probab. 23, No. 4, 1353--1375 (2021; Zbl 1478.60144) Full Text: DOI OpenURL
Mordecki, Ernesto; Eguren, Facundo Oliú Two-sided optimal stopping for Lévy processes. (English) Zbl 1485.60046 Electron. Commun. Probab. 26, Paper No. 9, 12 p. (2021). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60G40 60G51 PDF BibTeX XML Cite \textit{E. Mordecki} and \textit{F. O. Eguren}, Electron. Commun. Probab. 26, Paper No. 9, 12 p. (2021; Zbl 1485.60046) Full Text: DOI arXiv OpenURL
Eisenberg, Julia; Palmowski, Zbigniew Optimal dividends paid in a foreign currency for a Lévy insurance risk model. (English) Zbl 1479.91320 N. Am. Actuar. J. 25, No. 3, 417-437 (2021). MSC: 91G05 60G51 PDF BibTeX XML Cite \textit{J. Eisenberg} and \textit{Z. Palmowski}, N. Am. Actuar. J. 25, No. 3, 417--437 (2021; Zbl 1479.91320) Full Text: DOI arXiv OpenURL
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 OpenURL
Rabehasaina, Landy; Woo, Jae-Kyung Multitype branching process with non-homogeneous Poisson and contagious Poisson immigration. (English) Zbl 1478.60237 J. Appl. Probab. 58, No. 4, 1007-1042 (2021). Reviewer: Weiping Li (Guanghan) MSC: 60J80 60J85 60K10 60K25 90B15 PDF BibTeX XML Cite \textit{L. Rabehasaina} and \textit{J.-K. Woo}, J. Appl. Probab. 58, No. 4, 1007--1042 (2021; Zbl 1478.60237) Full Text: DOI HAL OpenURL
Forde, Martin; Smith, Benjamin; Viitasaari, Lauri Rough volatility and CGMY jumps with a finite history and the rough Heston model – small-time asymptotics in the \(k\sqrt{t}\) regime. (Rough volatility, CGMY jumps with a finite history and the rough Heston model – small-time asymptotics in the \(k\sqrt{t}\) regime.) (English) Zbl 1477.91053 Quant. Finance 21, No. 4, 541-563 (2021); correction ibid. 21, No. 4, i (2021). MSC: 91G20 60G51 91B70 PDF BibTeX XML Cite \textit{M. Forde} et al., Quant. Finance 21, No. 4, 541--563 (2021; Zbl 1477.91053) Full Text: DOI Link OpenURL
Ivanovs, Jevgenijs On scale functions for Lévy processes with negative phase-type jumps. (English) Zbl 1475.60088 Queueing Syst. 98, No. 1-2, 3-19 (2021). MSC: 60G51 PDF BibTeX XML Cite \textit{J. Ivanovs}, Queueing Syst. 98, No. 1--2, 3--19 (2021; Zbl 1475.60088) Full Text: DOI arXiv OpenURL
Zhong, Wei; Zhao, Yongxia; Chen, Ping Equilibrium periodic dividend strategies with non-exponential discounting for spectrally positive Lévy processes. (English) Zbl 1476.93166 J. Ind. Manag. Optim. 17, No. 5, 2639-2667 (2021). MSC: 93E20 91G80 60G51 PDF BibTeX XML Cite \textit{W. Zhong} et al., J. Ind. Manag. Optim. 17, No. 5, 2639--2667 (2021; Zbl 1476.93166) Full Text: DOI OpenURL
Albrecher, Hansjörg; Araujo-Acuna, José Carlos; Beirlant, Jan Fitting nonstationary Cox processes: an application to fire insurance data. (English) Zbl 1481.91160 N. Am. Actuar. J. 25, No. 2, 135-162 (2021). Reviewer: Hanspeter Schmidli (Köln) MSC: 91G05 62P05 60G55 PDF BibTeX XML Cite \textit{H. Albrecher} et al., N. Am. Actuar. J. 25, No. 2, 135--162 (2021; Zbl 1481.91160) Full Text: DOI OpenURL
Bladt, Mogens; Ivanovs, Jevgenijs Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon. (English) Zbl 1479.60094 Stochastic Processes Appl. 142, 105-123 (2021). MSC: 60G51 60G52 PDF BibTeX XML Cite \textit{M. Bladt} and \textit{J. Ivanovs}, Stochastic Processes Appl. 142, 105--123 (2021; Zbl 1479.60094) Full Text: DOI arXiv OpenURL
Du, Qiang; Toniazzi, Lorenzo; Xu, Zirui Censored stable subordinators and fractional derivatives. (English) Zbl 1498.26009 Fract. Calc. Appl. Anal. 24, No. 4, 1035-1068 (2021). MSC: 26A33 60K50 PDF BibTeX XML Cite \textit{Q. Du} et al., Fract. Calc. Appl. Anal. 24, No. 4, 1035--1068 (2021; Zbl 1498.26009) Full Text: DOI arXiv OpenURL
Frostig, Esther; Keren-Pinhasik, Adva The Omega-model with two bankruptcy rates. (English) Zbl 1471.91086 Stoch. Models 37, No. 3, 480-516 (2021). MSC: 91B05 91G50 60G51 PDF BibTeX XML Cite \textit{E. Frostig} and \textit{A. Keren-Pinhasik}, Stoch. Models 37, No. 3, 480--516 (2021; Zbl 1471.91086) Full Text: DOI OpenURL
Delsing, Guusje; Mandjes, Michel A transient Cramér-Lundberg model with applications to credit risk. (English) Zbl 1477.60073 J. Appl. Probab. 58, No. 3, 721-745 (2021). MSC: 60G51 62P05 PDF BibTeX XML Cite \textit{G. Delsing} and \textit{M. Mandjes}, J. Appl. Probab. 58, No. 3, 721--745 (2021; Zbl 1477.60073) Full Text: DOI arXiv OpenURL
Bartholmé, C.; Patie, P. Turán inequalities and complete monotonicity for a class of entire functions. (English) Zbl 1499.26070 Anal. Math. 47, No. 3, 507-527 (2021). Reviewer: Petr Gurka (Praha) MSC: 26D10 26A12 33E12 PDF BibTeX XML Cite \textit{C. Bartholmé} and \textit{P. Patie}, Anal. Math. 47, No. 3, 507--527 (2021; Zbl 1499.26070) Full Text: DOI OpenURL
Dassios, Angelos; Zhang, Junyi Exact simulation of two-parameter Poisson-Dirichlet random variables. (English) Zbl 1491.60070 Electron. J. Probab. 26, Paper No. 5, 20 p. (2021). MSC: 60G57 60G51 65C10 PDF BibTeX XML Cite \textit{A. Dassios} and \textit{J. Zhang}, Electron. J. Probab. 26, Paper No. 5, 20 p. (2021; Zbl 1491.60070) Full Text: DOI OpenURL
Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume Multiple yield curve modelling with CBI processes. (English) Zbl 1471.91588 Math. Financ. Econ. 15, No. 3, 579-610 (2021). Reviewer: Pavel Stoynov (Sofia) MSC: 91G30 91G20 60G51 60J85 PDF BibTeX XML Cite \textit{C. Fontana} et al., Math. Financ. Econ. 15, No. 3, 579--610 (2021; Zbl 1471.91588) Full Text: DOI arXiv OpenURL
Panigrahi, Snigdha; Roy, Parthanil; Xiao, Yimin Maximal moments and uniform modulus of continuity for stable random fields. (English) Zbl 1469.60166 Stochastic Processes Appl. 136, 92-124 (2021). MSC: 60G60 60G17 60G52 60G70 PDF BibTeX XML Cite \textit{S. Panigrahi} et al., Stochastic Processes Appl. 136, 92--124 (2021; Zbl 1469.60166) Full Text: DOI arXiv OpenURL
Miller, Jason; Sheffield, Scott An axiomatic characterization of the Brownian map. (Une caractérisation axiomatique de la carte Brownienne.) (English. French summary) Zbl 1478.60043 J. Éc. Polytech., Math. 8, 609-731 (2021). MSC: 60D05 83C45 PDF BibTeX XML Cite \textit{J. Miller} and \textit{S. Sheffield}, J. Éc. Polytech., Math. 8, 609--731 (2021; Zbl 1478.60043) Full Text: DOI arXiv OpenURL
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 OpenURL
Le, Vi; Pardoux, Etienne Extinction time and the total mass of the continuous-state branching processes with competition. (English) Zbl 1490.60231 Stochastics 92, No. 6, 852-875 (2020). MSC: 60J80 60G51 60H10 PDF BibTeX XML Cite \textit{V. Le} and \textit{E. Pardoux}, Stochastics 92, No. 6, 852--875 (2020; Zbl 1490.60231) Full Text: DOI OpenURL
Friesen, Martin; Jin, Peng; Rüdiger, Barbara On the boundary behavior of multi-type continuous-state branching processes with immigration. (English) Zbl 1477.60063 Electron. Commun. Probab. 25, Paper No. 84, 14 p. (2020). MSC: 60G17 60J80 60J25 PDF BibTeX XML Cite \textit{M. Friesen} et al., Electron. Commun. Probab. 25, Paper No. 84, 14 p. (2020; Zbl 1477.60063) Full Text: DOI arXiv OpenURL
Jedidi, Wissem; Basalim, Kholoud; Bridaa, Safa Three classes of decomposable distributions. (English) Zbl 1479.60035 Open Math. 18, 1855-1878 (2020). Reviewer: Oleg K. Zakusilo (Kyïv) MSC: 60E07 PDF BibTeX XML Cite \textit{W. Jedidi} et al., Open Math. 18, 1855--1878 (2020; Zbl 1479.60035) Full Text: DOI OpenURL
Czarna, Irmina; Kaszubowski, Adam; Li, Shu; Palmowski, Zbigniew Fluctuation identities for omega-killed spectrally negative Markov additive processes and dividend problem. (English) Zbl 1475.60078 Adv. Appl. Probab. 52, No. 2, 404-432 (2020). MSC: 60G40 60G17 60J25 91G05 PDF BibTeX XML Cite \textit{I. Czarna} et al., Adv. Appl. Probab. 52, No. 2, 404--432 (2020; Zbl 1475.60078) Full Text: DOI arXiv OpenURL
Li, Pei-Sen; Wang, Jian Exponential ergodicity for general continuous-state nonlinear branching processes. (English) Zbl 1469.60275 Electron. J. Probab. 25, Paper No. 125, 25 p. (2020). MSC: 60J80 60J60 60G51 60J25 PDF BibTeX XML Cite \textit{P.-S. Li} and \textit{J. Wang}, Electron. J. Probab. 25, Paper No. 125, 25 p. (2020; Zbl 1469.60275) Full Text: DOI arXiv Euclid OpenURL
Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens Multivariate fractional phase-type distributions. (English) Zbl 1474.60025 Fract. Calc. Appl. Anal. 23, No. 5, 1431-1451 (2020). MSC: 60E05 60K15 60G22 PDF BibTeX XML Cite \textit{H. Albrecher} et al., Fract. Calc. Appl. Anal. 23, No. 5, 1431--1451 (2020; Zbl 1474.60025) Full Text: DOI arXiv OpenURL
Løkka, Arne; Xu, Junwei Optimal liquidation trajectories for the Almgren-Chriss model. (English) Zbl 1459.91177 Int. J. Theor. Appl. Finance 23, No. 7, Article ID 2050049, 35 p. (2020). MSC: 91G10 60G51 93E20 PDF BibTeX XML Cite \textit{A. Løkka} and \textit{J. Xu}, Int. J. Theor. Appl. Finance 23, No. 7, Article ID 2050049, 35 p. (2020; Zbl 1459.91177) Full Text: DOI arXiv OpenURL
Dong, Hua; Zhao, Xiang-hua Periodic dividends and capital injections for a spectrally negative Lévy risk process under absolute ruin. (English) Zbl 1474.91150 Appl. Math., Ser. B (Engl. Ed.) 35, No. 3, 349-358 (2020). MSC: 91G05 60G51 PDF BibTeX XML Cite \textit{H. Dong} and \textit{X.-h. Zhao}, Appl. Math., Ser. B (Engl. Ed.) 35, No. 3, 349--358 (2020; Zbl 1474.91150) Full Text: DOI OpenURL
Palmowski, Zbigniew; Vlasiou, Maria Speed of convergence to the quasi-stationary distribution for Lévy input fluid queues. (English) Zbl 1461.60031 Queueing Syst. 96, No. 1-2, 153-167 (2020). MSC: 60G51 60G50 60K25 PDF BibTeX XML Cite \textit{Z. Palmowski} and \textit{M. Vlasiou}, Queueing Syst. 96, No. 1--2, 153--167 (2020; Zbl 1461.60031) Full Text: DOI arXiv OpenURL
Kella, Offer; Boxma, Onno Synchronized Lévy queues. (English) Zbl 1457.60139 J. Appl. Probab. 57, No. 4, 1222-1233 (2020). MSC: 60K25 60G51 90B05 PDF BibTeX XML Cite \textit{O. Kella} and \textit{O. Boxma}, J. Appl. Probab. 57, No. 4, 1222--1233 (2020; Zbl 1457.60139) Full Text: DOI arXiv OpenURL
Pérez, José-Luis; Yamazaki, Kazutoshi; Bensoussan, Alain Optimal periodic replenishment policies for spectrally positive Lévy demand processes. (English) Zbl 1461.60032 SIAM J. Control Optim. 58, No. 6, 3428-3456 (2020). MSC: 60G51 93E20 90B05 PDF BibTeX XML Cite \textit{J.-L. Pérez} et al., SIAM J. Control Optim. 58, No. 6, 3428--3456 (2020; Zbl 1461.60032) Full Text: DOI arXiv OpenURL
Komorowski, Tomasz; Olla, Stefano; Ryzhik, Lenya Fractional diffusion limit for a kinetic equation with an interface. (English) Zbl 1452.35212 Ann. Probab. 48, No. 5, 2290-2322 (2020). MSC: 35Q79 60J76 45A05 35R11 26A33 PDF BibTeX XML Cite \textit{T. Komorowski} et al., Ann. Probab. 48, No. 5, 2290--2322 (2020; Zbl 1452.35212) Full Text: DOI arXiv Euclid OpenURL
Bernis, Guillaume; Scotti, Simone Clustering effects via Hawkes processes. (English) Zbl 1453.60100 Jiao, Ying (ed.), From probability to finance. Lecture notes of BICMR summer school on financial mathematics, Beijing International Center for Mathematical Research, Beijing, China, May 29 – June 9, 2017. Singapore: Springer. Math. Lect. Peking Univ., 145-181 (2020). MSC: 60G55 60G18 62M05 PDF BibTeX XML Cite \textit{G. Bernis} and \textit{S. Scotti}, in: From probability to finance. Lecture notes of BICMR summer school on financial mathematics, Beijing International Center for Mathematical Research, Beijing, China, May 29 -- June 9, 2017. Singapore: Springer. 145--181 (2020; Zbl 1453.60100) Full Text: DOI OpenURL
Contreras, Manuel D.; Díaz-Madrigal, Santiago; Gumenyuk, Pavel Infinitesimal generators of semigroups with prescribed boundary fixed points. (English) Zbl 1450.37069 Anal. Math. Phys. 10, No. 3, Paper No. 36, 38 p. (2020). MSC: 37L05 37F44 37F80 37C25 PDF BibTeX XML Cite \textit{M. D. Contreras} et al., Anal. Math. Phys. 10, No. 3, Paper No. 36, 38 p. (2020; Zbl 1450.37069) Full Text: DOI arXiv OpenURL
Constantinescu, C.; Delsing, G.; Mandjes, M.; Rojas Nandayapa, L. A ruin model with a resampled environment. (English) Zbl 1447.91131 Scand. Actuar. J. 2020, No. 4, 323-341 (2020). MSC: 91G05 60G51 PDF BibTeX XML Cite \textit{C. Constantinescu} et al., Scand. Actuar. J. 2020, No. 4, 323--341 (2020; Zbl 1447.91131) Full Text: DOI arXiv OpenURL
Avanzi, Benjamin; Lau, Hayden; Wong, Bernard Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs. (English) Zbl 1447.91126 Insur. Math. Econ. 93, 315-332 (2020). MSC: 91G05 60G51 PDF BibTeX XML Cite \textit{B. Avanzi} et al., Insur. Math. Econ. 93, 315--332 (2020; Zbl 1447.91126) Full Text: DOI arXiv OpenURL
Palmowski, Zbigniew; Surya, Budhi A. Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process. (English) Zbl 1446.91070 Insur. Math. Econ. 93, 168-177 (2020). MSC: 91G05 60G51 91G40 91G20 60G40 PDF BibTeX XML Cite \textit{Z. Palmowski} and \textit{B. A. Surya}, Insur. Math. Econ. 93, 168--177 (2020; Zbl 1446.91070) Full Text: DOI arXiv OpenURL
Boxma, Onno; Löpker, Andreas; Mandjes, Michel On two classes of reflected autoregressive processes. (English) Zbl 1444.62098 J. Appl. Probab. 57, No. 2, 657-678 (2020). MSC: 62M10 60K10 60K25 PDF BibTeX XML Cite \textit{O. Boxma} et al., J. Appl. Probab. 57, No. 2, 657--678 (2020; Zbl 1444.62098) Full Text: DOI Link OpenURL
Albrecher, Hansjörg; Chen, Bohan; Vatamidou, Eleni; Zwart, Bert Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes. (English) Zbl 1444.91188 J. Appl. Probab. 57, No. 2, 513-530 (2020). MSC: 91G05 60F10 PDF BibTeX XML Cite \textit{H. Albrecher} et al., J. Appl. Probab. 57, No. 2, 513--530 (2020; Zbl 1444.91188) Full Text: DOI arXiv OpenURL
Fries, Christian; Torricelli, Lorenzo An analytical valuation framework for financial assets with trading suspensions. (English) Zbl 1444.91209 SIAM J. Financ. Math. 11, No. 2, 566-592 (2020). MSC: 91G20 60G51 PDF BibTeX XML Cite \textit{C. Fries} and \textit{L. Torricelli}, SIAM J. Financ. Math. 11, No. 2, 566--592 (2020; Zbl 1444.91209) Full Text: DOI OpenURL
Li, Yingqiu; Chen, Ye; Wang, Shilin; Peng, Zhaohui Exit identities for diffusion processes observed at Poisson arrival times. (English) Zbl 1451.60092 Front. Math. China 15, No. 3, 507-528 (2020). MSC: 60J60 60G17 PDF BibTeX XML Cite \textit{Y. Li} et al., Front. Math. China 15, No. 3, 507--528 (2020; Zbl 1451.60092) Full Text: DOI OpenURL
Czarna, Irmina; Kaszubowski, Adam Optimality of impulse control problem in refracted Lévy model with Parisian ruin and transaction costs. (English) Zbl 1446.60035 J. Optim. Theory Appl. 185, No. 3, 982-1007 (2020). MSC: 60G40 60G51 93E20 PDF BibTeX XML Cite \textit{I. Czarna} and \textit{A. Kaszubowski}, J. Optim. Theory Appl. 185, No. 3, 982--1007 (2020; Zbl 1446.60035) Full Text: DOI arXiv OpenURL
Erraoui, Mohamed; Hilbert, Astrid; Louriki, Mohammed Bridges with random length: gamma case. (English) Zbl 1456.60095 J. Theor. Probab. 33, No. 2, 931-953 (2020). MSC: 60G40 60G46 60G51 60H10 60J76 PDF BibTeX XML Cite \textit{M. Erraoui} et al., J. Theor. Probab. 33, No. 2, 931--953 (2020; Zbl 1456.60095) Full Text: DOI arXiv OpenURL
Collevecchio, Andrea; Jung, Paul On the speed and spectrum of mean-field random walks among random conductances. (English) Zbl 1444.60088 Stochastic Processes Appl. 130, No. 6, 3477-3498 (2020). MSC: 60K37 15B52 60B20 60C05 60J80 PDF BibTeX XML Cite \textit{A. Collevecchio} and \textit{P. Jung}, Stochastic Processes Appl. 130, No. 6, 3477--3498 (2020; Zbl 1444.60088) Full Text: DOI arXiv OpenURL
Noba, Kei; Pérez, José-Luis; Yu, Xiang On the bailout dividend problem for spectrally negative Markov additive models. (English) Zbl 1461.60030 SIAM J. Control Optim. 58, No. 2, 1049-1076 (2020). MSC: 60G51 93E20 91G80 PDF BibTeX XML Cite \textit{K. Noba} et al., SIAM J. Control Optim. 58, No. 2, 1049--1076 (2020; Zbl 1461.60030) Full Text: DOI arXiv OpenURL
Palmowski, Zbigniew; Tumilewicz, Joanna Fair valuation of Lévy-type drawdown-drawup contracts with general insured and penalty functions. (English) Zbl 1436.91112 Appl. Math. Optim. 81, No. 2, 301-347 (2020). MSC: 91G30 91G80 PDF BibTeX XML Cite \textit{Z. Palmowski} and \textit{J. Tumilewicz}, Appl. Math. Optim. 81, No. 2, 301--347 (2020; Zbl 1436.91112) Full Text: DOI arXiv OpenURL
Deng, Yingchun; Huang, Xuan; Huang, Ya; Xiang, Xuyan; Zhou, Jieming \(n\)-dimensional Laplace transforms of occupation times for pre-exit diffusion processes. (English) Zbl 1437.60046 Indian J. Pure Appl. Math. 51, No. 1, 345-360 (2020). MSC: 60J60 60G17 PDF BibTeX XML Cite \textit{Y. Deng} et al., Indian J. Pure Appl. Math. 51, No. 1, 345--360 (2020; Zbl 1437.60046) Full Text: DOI OpenURL
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 OpenURL
Berkelmans, Wouter; Cichocka, Agata; Mandjes, Michel The correlation function of a queue with Lévy and Markov additive input. (English) Zbl 1471.60141 Stochastic Processes Appl. 130, No. 3, 1713-1734 (2020). MSC: 60K25 60G51 60J25 PDF BibTeX XML Cite \textit{W. Berkelmans} et al., Stochastic Processes Appl. 130, No. 3, 1713--1734 (2020; Zbl 1471.60141) Full Text: DOI arXiv OpenURL
Wong, Tat Wing Game theoretic valuation of deposit insurance under jump risk: from too small to survive to too big to fail. (English) Zbl 1433.91147 Math. Financ. Econ. 14, No. 1, 67-95 (2020). MSC: 91G05 91A80 60G51 60J76 PDF BibTeX XML Cite \textit{T. W. Wong}, Math. Financ. Econ. 14, No. 1, 67--95 (2020; Zbl 1433.91147) Full Text: DOI OpenURL
Pakes, Anthony G. Self-decomposable laws from continuous branching processes. (English) Zbl 1461.60015 J. Theor. Probab. 33, No. 1, 361-395 (2020). Reviewer: Bastien Mallein (Paris) MSC: 60E07 60J80 44A10 60E10 62E10 PDF BibTeX XML Cite \textit{A. G. Pakes}, J. Theor. Probab. 33, No. 1, 361--395 (2020; Zbl 1461.60015) Full Text: DOI OpenURL
Yang, Chen; Sendova, Kristina P.; Li, Zhong Parisian ruin with a threshold dividend strategy under the dual Lévy risk model. (English) Zbl 1431.91345 Insur. Math. Econ. 90, 135-150 (2020). MSC: 91G05 60G51 PDF BibTeX XML Cite \textit{C. Yang} et al., Insur. Math. Econ. 90, 135--150 (2020; Zbl 1431.91345) Full Text: DOI OpenURL
Christensen, Sören; Irle, Albrecht A general method for finding the optimal threshold in discrete time. (English) Zbl 1498.60159 Stochastics 91, No. 5, 728-753 (2019). MSC: 60G40 60G51 PDF BibTeX XML Cite \textit{S. Christensen} and \textit{A. Irle}, Stochastics 91, No. 5, 728--753 (2019; Zbl 1498.60159) Full Text: DOI arXiv OpenURL
Ozalp, Mustafa Asim; Yildirak, Kasirga; Okur, Yeliz Yolcu Optimal investment strategy and liability ratio for insurer with Lévy risk process. (English) Zbl 1488.91098 Hacet. J. Math. Stat. 48, No. 4, 1232-1249 (2019). MSC: 91G05 60G51 93E20 PDF BibTeX XML Cite \textit{M. A. Ozalp} et al., Hacet. J. Math. Stat. 48, No. 4, 1232--1249 (2019; Zbl 1488.91098) Full Text: Link OpenURL
Liu, Xiaoyuan; Fralix, Brian On lattice path counting and the random product representation, with applications to the \(E_r/M/1\) queue and the \(M/E_r/1\) queue. (English) Zbl 1437.60069 Methodol. Comput. Appl. Probab. 21, No. 4, 1119-1149 (2019). MSC: 60K25 90B22 PDF BibTeX XML Cite \textit{X. Liu} and \textit{B. Fralix}, Methodol. Comput. Appl. Probab. 21, No. 4, 1119--1149 (2019; Zbl 1437.60069) Full Text: DOI OpenURL
Kolkovska, Ekaterina T.; Martín-González, Ehyter M. The distribution and asymptotic behaviour of the negative Wiener-Hopf factor for Lévy processes with rational positive jumps. (English) Zbl 1427.60083 J. Appl. Probab. 56, No. 4, 1086-1105 (2019). MSC: 60G51 60J25 91B05 PDF BibTeX XML Cite \textit{E. T. Kolkovska} and \textit{E. M. Martín-González}, J. Appl. Probab. 56, No. 4, 1086--1105 (2019; Zbl 1427.60083) Full Text: DOI arXiv OpenURL
Czarna, Irmina; Pérez, José-Luis; Rolski, Tomasz; Yamazaki, Kazutoshi Fluctuation theory for level-dependent Lévy risk processes. (English) Zbl 1448.60103 Stochastic Processes Appl. 129, No. 12, 5406-5449 (2019). MSC: 60G51 60J99 91G40 60G40 PDF BibTeX XML Cite \textit{I. Czarna} et al., Stochastic Processes Appl. 129, No. 12, 5406--5449 (2019; Zbl 1448.60103) Full Text: DOI arXiv OpenURL
Qu, Yan; Dassios, Angelos; Zhao, Hongbiao Efficient simulation of Lévy-driven point processes. (English) Zbl 1427.60090 Adv. Appl. Probab. 51, No. 4, 927-966 (2019). MSC: 60G55 62E15 65C05 60E07 60G51 60J74 PDF BibTeX XML Cite \textit{Y. Qu} et al., Adv. Appl. Probab. 51, No. 4, 927--966 (2019; Zbl 1427.60090) Full Text: DOI Link OpenURL
Wang, Wenyuan; Zhang, Zhimin Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time. (English) Zbl 1427.60084 Adv. Appl. Probab. 51, No. 3, 865-897 (2019). MSC: 60G51 91B05 93E20 PDF BibTeX XML Cite \textit{W. Wang} and \textit{Z. Zhang}, Adv. Appl. Probab. 51, No. 3, 865--897 (2019; Zbl 1427.60084) Full Text: DOI arXiv OpenURL
Banerjee, Sayan; Burdzy, Krzysztof; Duarte, Mauricio Gravitation versus Brownian motion. (English. French summary) Zbl 1466.60163 Ann. Inst. Henri Poincaré, Probab. Stat. 55, No. 3, 1531-1565 (2019). MSC: 60J65 60J55 PDF BibTeX XML Cite \textit{S. Banerjee} et al., Ann. Inst. Henri Poincaré, Probab. Stat. 55, No. 3, 1531--1565 (2019; Zbl 1466.60163) Full Text: DOI arXiv Euclid OpenURL
Li, Pei-Sen; Yang, Xu; Zhou, Xiaowen A general continuous-state nonlinear branching process. (English) Zbl 1466.60179 Ann. Appl. Probab. 29, No. 4, 2523-2555 (2019). MSC: 60J80 60G57 60G17 PDF BibTeX XML Cite \textit{P.-S. Li} et al., Ann. Appl. Probab. 29, No. 4, 2523--2555 (2019; Zbl 1466.60179) Full Text: DOI arXiv Euclid OpenURL
Samorodnitsky, Gennady; Wang, Yizao Extremal theory for long range dependent infinitely divisible processes. (English) Zbl 1439.60050 Ann. Probab. 47, No. 4, 2529-2562 (2019). Reviewer: Edward Omey (Brussels) MSC: 60G70 60F17 60G57 PDF BibTeX XML Cite \textit{G. Samorodnitsky} and \textit{Y. Wang}, Ann. Probab. 47, No. 4, 2529--2562 (2019; Zbl 1439.60050) Full Text: DOI arXiv Euclid OpenURL
Ravner, Liron; Boxma, Onno; Mandjes, Michel Estimating the input of a Lévy-driven queue by Poisson sampling of the workload process. (English) Zbl 1428.62146 Bernoulli 25, No. 4B, 3734-3761 (2019). MSC: 60K25 60G51 62M09 62G05 62F12 62G20 PDF BibTeX XML Cite \textit{L. Ravner} et al., Bernoulli 25, No. 4B, 3734--3761 (2019; Zbl 1428.62146) Full Text: DOI arXiv Euclid OpenURL
Dong, Hua; Zhou, Xiaowen On a spectrally negative Lévy risk process with periodic dividends and capital injections. (English) Zbl 1425.91221 Stat. Probab. Lett. 155, Article ID 108589, 9 p. (2019). MSC: 91B30 60G51 PDF BibTeX XML Cite \textit{H. Dong} and \textit{X. Zhou}, Stat. Probab. Lett. 155, Article ID 108589, 9 p. (2019; Zbl 1425.91221) Full Text: DOI OpenURL
Li, Pei-Sen A continuous-state polynomial branching process. (English) Zbl 1422.60149 Stochastic Processes Appl. 129, No. 8, 2941-2967 (2019). MSC: 60J80 60H30 92D15 92D25 PDF BibTeX XML Cite \textit{P.-S. Li}, Stochastic Processes Appl. 129, No. 8, 2941--2967 (2019; Zbl 1422.60149) Full Text: DOI arXiv OpenURL
Long, Mingsi; Zhang, Hongzhong On the optimality of threshold type strategies in single and recursive optimal stopping under Lévy models. (English) Zbl 1479.60082 Stochastic Processes Appl. 129, No. 8, 2821-2849 (2019). MSC: 60G40 60G51 60G52 60J55 PDF BibTeX XML Cite \textit{M. Long} and \textit{H. Zhang}, Stochastic Processes Appl. 129, No. 8, 2821--2849 (2019; Zbl 1479.60082) Full Text: DOI arXiv OpenURL
Klüppelberg, Claudia; Seifert, Miriam Isabel Financial risk measures for a network of individual agents holding portfolios of light-tailed objects. (English) Zbl 1426.91306 Finance Stoch. 23, No. 4, 795-826 (2019). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G70 91G10 62P05 62E20 90B10 PDF BibTeX XML Cite \textit{C. Klüppelberg} and \textit{M. I. Seifert}, Finance Stoch. 23, No. 4, 795--826 (2019; Zbl 1426.91306) Full Text: DOI Link OpenURL
Barker, Adam Fractal-dimensional properties of subordinators. (English) Zbl 1478.60141 J. Theor. Probab. 32, No. 3, 1202-1219 (2019). MSC: 60G51 28A80 60F05 60F15 PDF BibTeX XML Cite \textit{A. Barker}, J. Theor. Probab. 32, No. 3, 1202--1219 (2019; Zbl 1478.60141) Full Text: DOI arXiv OpenURL
Surya, Budhi A. Parisian excursion below a fixed level from the last record maximum of Lévy insurance risk process. (English) Zbl 1426.91234 Wood, David R. (ed.) et al., 2017 MATRIX annals. Cham: Springer. MATRIX Book Ser. 2, 311-326 (2019). MSC: 91G05 60G51 PDF BibTeX XML Cite \textit{B. A. Surya}, MATRIX Book Ser. 2, 311--326 (2019; Zbl 1426.91234) Full Text: DOI arXiv OpenURL
Wu, Jinbiao Optimal exchange rates management using stochastic impulse control for geometric Lévy processes. (English) Zbl 1410.91349 Math. Methods Oper. Res. 89, No. 2, 257-280 (2019). MSC: 91B64 93E20 60G51 PDF BibTeX XML Cite \textit{J. Wu}, Math. Methods Oper. Res. 89, No. 2, 257--280 (2019; Zbl 1410.91349) Full Text: DOI OpenURL
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 OpenURL
Kwaśnicki, Mateusz Fluctuation theory for Lévy processes with completely monotone jumps. (English) Zbl 1412.60067 Electron. J. Probab. 24, Paper No. 40, 40 p. (2019). MSC: 60G51 47A68 30E20 PDF BibTeX XML Cite \textit{M. Kwaśnicki}, Electron. J. Probab. 24, Paper No. 40, 40 p. (2019; Zbl 1412.60067) Full Text: DOI arXiv Euclid OpenURL
Dong, Hua; Yin, Chuancun; Dai, Hongshuai Spectrally negative Lévy risk model under Erlangized barrier strategy. (English) Zbl 1419.91356 J. Comput. Appl. Math. 351, 101-116 (2019). MSC: 91B30 60G51 PDF BibTeX XML Cite \textit{H. Dong} et al., J. Comput. Appl. Math. 351, 101--116 (2019; Zbl 1419.91356) Full Text: DOI OpenURL
Wang, Yiduan; Zheng, Shenzhou; Zhang, Wei; Wang, Jun; Wang, Guochao Modeling and complexity of stochastic interacting Lévy type financial price dynamics. (English) Zbl 07548944 Physica A 499, 498-511 (2018). MSC: 82-XX PDF BibTeX XML Cite \textit{Y. Wang} et al., Physica A 499, 498--511 (2018; Zbl 07548944) Full Text: DOI OpenURL
Choe, Hi Jun; Lee, Ji Min; Lee, Jung-Kyung Malliavin calculus for subordinated Lévy process. (English) Zbl 1442.60061 Chaos Solitons Fractals 116, 392-401 (2018). MSC: 60H07 60G51 91G10 PDF BibTeX XML Cite \textit{H. J. Choe} et al., Chaos Solitons Fractals 116, 392--401 (2018; Zbl 1442.60061) Full Text: DOI OpenURL
Anthropelos, Michail; Kupper, Michael; Papapantoleon, Antonis An equilibrium model for spot and forward prices of commodities. (English) Zbl 1443.91158 Math. Oper. Res. 43, No. 1, 152-180 (2018). MSC: 91B24 91G15 PDF BibTeX XML Cite \textit{M. Anthropelos} et al., Math. Oper. Res. 43, No. 1, 152--180 (2018; Zbl 1443.91158) Full Text: DOI arXiv OpenURL
Krawiec, Michał; Palmowski, Zbigniew; Płociniczak, Łukasz Quickest drift change detection in Lévy-type force of mortality model. (English) Zbl 1427.60068 Appl. Math. Comput. 338, 432-450 (2018). MSC: 60G40 60G51 62L15 62P05 62L10 PDF BibTeX XML Cite \textit{M. Krawiec} et al., Appl. Math. Comput. 338, 432--450 (2018; Zbl 1427.60068) Full Text: DOI arXiv OpenURL
Yang, Chen; Jiang, Wenjun; Wu, Jiang; Liu, Xin; Li, Zhichuan Clustering of financial instruments using jump tail dependence coefficient. (English) Zbl 1427.62124 Stat. Methods Appl. 27, No. 3, 491-513 (2018). MSC: 62P05 62H30 62H05 60G51 PDF BibTeX XML Cite \textit{C. Yang} et al., Stat. Methods Appl. 27, No. 3, 491--513 (2018; Zbl 1427.62124) Full Text: DOI OpenURL
Féray, Valentin; Kortchemski, Igor The geometry of random minimal factorizations of a long cycle via biconditioned bitype random trees. (La géométrie des factorisations minimales aléatoires d’un long cycle via des arbres aléatoires bitype doublement conditionnés.) (English) Zbl 1419.60008 Ann. Henri Lebesgue 1, 149-226 (2018). MSC: 60C05 60B15 PDF BibTeX XML Cite \textit{V. Féray} and \textit{I. Kortchemski}, Ann. Henri Lebesgue 1, 149--226 (2018; Zbl 1419.60008) Full Text: DOI arXiv OpenURL
Starreveld, Nicos; Bekker, Réne; Mandjes, Michel Occupation times of alternating renewal processes with Lévy applications. (English) Zbl 1405.60133 J. Appl. Probab. 55, No. 4, 1287-1308 (2018). MSC: 60K15 60G51 90B05 PDF BibTeX XML Cite \textit{N. Starreveld} et al., J. Appl. Probab. 55, No. 4, 1287--1308 (2018; Zbl 1405.60133) Full Text: DOI arXiv OpenURL
Doney, R. A.; Griffin, Philip S. Cramér’s estimate for the reflected process revisited. (English) Zbl 1404.60064 Ann. Appl. Probab. 28, No. 6, 3629-3651 (2018). MSC: 60G51 60F10 PDF BibTeX XML Cite \textit{R. A. Doney} and \textit{P. S. Griffin}, Ann. Appl. Probab. 28, No. 6, 3629--3651 (2018; Zbl 1404.60064) Full Text: DOI arXiv Euclid OpenURL