Marzougue, Mohamed; El Otmani, Mohamed Irregular barrier reflected BSDEs driven by a Lévy process. (English) Zbl 1515.60206 Stochastic Anal. Appl. 41, No. 4, 734-751 (2023). MSC: 60H10 60G40 60H20 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Marzougue, Mohamed Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process. (English) Zbl 1538.60101 Bull. Sci. Math. 186, Article ID 103282, 22 p. (2023). MSC: 60H10 60G20 60H05 60H15 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
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 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
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 × Cite Format Result Cite Review PDF Full Text: DOI
El Otmani, M.; El Jamali, M.; Marzougue, M. BSDEs with two RCLL reflecting barriers driven by a Lévy process. (English) Zbl 1524.60124 J. Numer. Math. Stoch. 13, No. 1, 1-30 (2022). MSC: 60H10 60H15 × Cite Format Result Cite Review PDF Full Text: Link
Griffin, Philip S. Path decomposition of a reflected Lévy process on first passage over high levels. (English) Zbl 1480.60118 Stochastic Processes Appl. 145, 29-47 (2022). MSC: 60G51 60F17 × Cite Format Result Cite Review PDF Full Text: DOI
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 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Wang, Wenyuan; Zhou, Xiaowen Draw-down Parisian ruin for spectrally negative Lévy processes. (English) Zbl 1473.60079 Adv. Appl. Probab. 52, No. 4, 1164-1196 (2020). MSC: 60G51 60E10 60J35 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Chaumont, Loïc; Małecki, Jacek The entrance law of the excursion measure of the reflected process for some classes of Lévy processes. (English) Zbl 1472.60082 Acta Appl. Math. 169, 59-77 (2020). MSC: 60G51 60G52 46N30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
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 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
El Jamali, Mohamed; El Otmani, Mohamed BSDE with rcll reflecting barrier driven by a Lévy process. (English) Zbl 1457.60089 Random Oper. Stoch. Equ. 28, No. 1, 63-77 (2020). MSC: 60H10 60H15 65C30 × Cite Format Result Cite Review PDF Full Text: DOI
Griffin, Philip S. General tax structures for a Lévy insurance risk process under the Cramér condition. (English) Zbl 1435.91150 Stochastic Processes Appl. 130, No. 3, 1368-1387 (2020). MSC: 91G05 91B64 62P05 60G51 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Zhao, Huiyan; Zhang, Chongqi Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes with jumps. (English) Zbl 07530879 Commun. Stat., Theory Methods 48, No. 5, 1221-1233 (2019). MSC: 62M05 62F10 × Cite Format Result Cite Review PDF Full Text: DOI
Starreveld, N. J.; Bekker, R.; Mandjes, M. Occupation times for the finite buffer fluid queue with phase-type ON-times. (English) Zbl 1525.90148 Oper. Res. Lett. 46, No. 1, 27-32 (2018). MSC: 90B22 60G51 60K25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
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 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
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 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid Link
Palmowski, Zbigniew; Świątek, Przemysław A note on first passage probabilities of a Lévy process reflected at a general barrier. (English) Zbl 1393.60049 Probab. Math. Stat. 37, No. 2, 455-469 (2017). MSC: 60G51 60G50 60K25 60F05 × Cite Format Result Cite Review PDF Full Text: arXiv Link
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 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Sarantsev, Andrey Explicit rates of exponential convergence for reflected jump-diffusions on the half-line. (English) Zbl 1356.60122 ALEA, Lat. Am. J. Probab. Math. Stat. 13, No. 2, 1069-1093 (2016). MSC: 60J60 60J75 60G51 60J65 60H10 60K35 60E15 × Cite Format Result Cite Review PDF Full Text: arXiv Link
Cui, Zhenyu; Nguyen, Duy Omega diffusion risk model with surplus-dependent tax and capital injections. (English) Zbl 1369.91080 Insur. Math. Econ. 68, 150-161 (2016). MSC: 91B30 60G51 × Cite Format Result Cite Review PDF Full Text: DOI
Mijatović, Aleksandar; Pistorius, Martijn Joint asymptotic distribution of certain path functionals of the reflected process. (English) Zbl 1346.60062 Electron. Commun. Probab. 21, Paper No. 43, 18 p. (2016). MSC: 60G51 60F05 60G17 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
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 × Cite Format Result Cite Review PDF Full Text: DOI Euclid
Mijatović, Aleksandar; Pistorius, Martijn Buffer-overflows: joint limit laws of undershoots and overshoots of reflected processes. (English) Zbl 1322.60058 Stochastic Processes Appl. 125, No. 8, 2937-2954 (2015). MSC: 60G51 60F05 60G17 60K25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Zhao, Huiyan Reflected non-Lipschitz backward stochastic differential equations with jumps and RCLL barrier. (English) Zbl 1313.60118 Adv. Math., Beijing 43, No. 1, 118-132 (2014). MSC: 60H10 60G51 × Cite Format Result Cite Review PDF
Yano, Yuko A remarkable \(\sigma\)-finite measure unifying supremum penalisations for a stable Lévy process. (English. French summary) Zbl 1282.60051 Ann. Inst. Henri Poincaré, Probab. Stat. 49, No. 4, 1014-1032 (2013). Reviewer: Wilfried Hazod (Dortmund) MSC: 60G51 60G17 60G52 60G44 × Cite Format Result Cite Review PDF Full Text: DOI Euclid
Chaumont, L. On the law of the supremum of Lévy processes. (English) Zbl 1277.60081 Ann. Probab. 41, No. 3A, 1191-1217 (2013). MSC: 60G51 60G70 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
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 × Cite Format Result Cite Review PDF Full Text: DOI Euclid
Hu, Lanying Reflected backward doubly stochastic differential equations driven by a Lévy process with stochastic Lipschitz condition. (English) Zbl 1286.60053 Appl. Math. Comput. 219, No. 3, 1153-1157 (2012). MSC: 60H10 60G51 × Cite Format Result Cite Review PDF Full Text: DOI
Kella, Offer The class of distributions associated with the generalized Pollaczek-Khinchine formula. (English) Zbl 1260.60092 J. Appl. Probab. 49, No. 3, 883-887 (2012). Reviewer: János Sztrik (Debrecen) MSC: 60G51 60K25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
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 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Lee, Chihoon Bounds on exponential moments of hitting times for reflected processes on the positive orthant. (English) Zbl 1245.60045 Stat. Probab. Lett. 82, No. 6, 1120-1128 (2012). MSC: 60G22 90B18 60G15 60G18 × Cite Format Result Cite Review PDF Full Text: DOI
Ren, Yong; El Otmani, Mohamed Doubly reflected BSDEs driven by a Lévy process. (English) Zbl 1239.60049 Nonlinear Anal., Real World Appl. 13, No. 3, 1252-1267 (2012). MSC: 60H10 60G51 × Cite Format Result Cite Review PDF Full Text: DOI
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 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Hu, Lanying; Ren, Yong A note on the reflected backward stochastic differential equations driven by a Lévy process with stochastic Lipschitz condition. (English) Zbl 1272.60033 Appl. Math. Comput. 218, No. 8, 4325-4332 (2011). Reviewer: Rainer Buckdahn (Brest) MSC: 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Bernyk, Violetta; Dalang, Robert C.; Peskir, Goran Predicting the ultimate supremum of a stable Lévy process with no negative jumps. (English) Zbl 1235.60036 Ann. Probab. 39, No. 6, 2385-2423 (2011). Reviewer: Heinrich Hering (Rockenberg) MSC: 60G40 60J75 45J05 60G25 47G20 26A33 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Konstantopoulos, Takis; Kyprianou, Andreas E.; Salminen, Paavo On the excursions of reflected local-time processes and stochastic fluid queues. (English) Zbl 1259.60053 J. Appl. Probab. 48A, Spec. Vol., 79-98 (2011). Reviewer: Antonis Papapantoleon (Berlin) MSC: 60G51 60G10 60J55 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Andersen, Lars Nørvang; Asmussen, Søren Local time asymptotics for centered Lévy processes with two-sided reflection. (English) Zbl 1229.60061 Stoch. Models 27, No. 2, 202-219 (2011). Reviewer: Wilfried Hazod (Dortmund) MSC: 60G51 60G52 60K25 60J55 × Cite Format Result Cite Review PDF Full Text: DOI Link
Ran, Qikang A class of RBSDEs driven by Lévy processes. (Chinese. English summary) Zbl 1224.60147 Pure Appl. Math. 26, No. 1, 56-63 (2010). MSC: 60H10 × Cite Format Result Cite Review PDF
Fan, Xiliang; Ren, Yong A doubly reflected backward stochastic differential equation driven by a Lévy process. (English) Zbl 1224.60134 Math. Appl. 23, No. 3, 474-481 (2010). MSC: 60H10 60H20 × Cite Format Result Cite Review PDF
Ren, Yong Reflected backward doubly stochastic differential equations driven by a Lévy process. (English. Abridged French version) Zbl 1188.60031 C. R., Math., Acad. Sci. Paris 348, No. 7-8, 439-444 (2010). MSC: 60H10 × Cite Format Result Cite Review PDF Full Text: DOI Link
Ren, Yong; El Otmani, Mohamed Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition. (English) Zbl 1217.60047 J. Comput. Appl. Math. 233, No. 8, 2027-2043 (2010). Reviewer: Rainer Buckdahn (Brest) MSC: 60H10 60G51 35K60 × Cite Format Result Cite Review PDF Full Text: DOI
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 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Ren, Yong; Fan, Xiliang Reflected backward stochastic differential equations driven by a Lévy process. (English) Zbl 1181.60089 ANZIAM J. 50, No. 4, 486-500 (2009). MSC: 60H10 60H20 × Cite Format Result Cite Review PDF Full Text: DOI
Hansen, Niels Richard The maximum of a Lévy process reflected at a general barrier. (English) Zbl 1186.60043 Stochastic Processes Appl. 119, No. 7, 2336-2356 (2009). Reviewer: Antonis Papapantoleon (Berlin) MSC: 60G51 90B22 91B30 × Cite Format Result Cite Review PDF Full Text: DOI
Bekker, R.; Boxma, O. J.; Resing, J. A. C. Lévy processes with adaptable exponent. (English) Zbl 1169.60022 Adv. Appl. Probab. 41, No. 1, 177-205 (2009). Reviewer: Oleg K. Zakusilo (Kyïv) MSC: 60K25 60G51 × Cite Format Result Cite Review PDF Full Text: DOI
Savov, Mladen Svetoslavov Curve crossing for the reflected Lévy process at zero and infinity. (English) Zbl 1190.60037 Electron. J. Probab. 13, 157-172 (2008). MSC: 60G51 60F15 60K05 60G40 60G44 × Cite Format Result Cite Review PDF Full Text: DOI EuDML EMIS
Breuer, Lothar First passage times for Markov additive processes with positive jumps of phase type. (English) Zbl 1156.60059 J. Appl. Probab. 45, No. 3, 779-799 (2008). Reviewer: Marius Iosifescu (Bucureşti) MSC: 60J25 60J55 60G51 × Cite Format Result Cite Review PDF Full Text: DOI
Bekker, R.; Boxma, O. J.; Kella, O. Queues with delays in two-state strategies and Lévy input. (English) Zbl 1149.60064 J. Appl. Probab. 45, No. 2, 314-332 (2008). Reviewer: Laszlo Lakatos (Budapest) MSC: 60K25 90B22 60K30 × Cite Format Result Cite Review PDF Full Text: DOI
Zhou, Xiaowen Exit problems for spectrally negative Lévy processes reflected at either the supremum or the infimum. (English) Zbl 1132.60042 J. Appl. Probab. 44, No. 4, 1012-1030 (2007). MSC: 60G51 60B15 × Cite Format Result Cite Review PDF Full Text: DOI Euclid
Kyprianou, A. E.; Palmowski, Z. Distributional study of De Finetti’s dividend problem for a general Lévy insurance risk process. (English) Zbl 1137.60047 J. Appl. Probab. 44, No. 2, 428-443 (2007). Reviewer: Pavel Stoynov (Sofia) MSC: 60K10 91B30 60K05 60K15 60G51 60G70 60J55 × Cite Format Result Cite Review PDF Full Text: DOI
Ren, Yong; Hu, Lanying Reflected backward stochastic differential equations driven by Lévy processes. (English) Zbl 1128.60048 Stat. Probab. Lett. 77, No. 15, 1559-1566 (2007). MSC: 60H10 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Frostig, Esther The expected time to ruin in a risk process with constant barrier via martingales. (English) Zbl 1117.91381 Insur. Math. Econ. 37, No. 2, 216-228 (2005). MSC: 91B30 × Cite Format Result Cite Review PDF Full Text: DOI
Doney, R. A.; Maller, R. A. Cramér’s estimate for a reflected Lévy process. (English) Zbl 1069.60045 Ann. Appl. Probab. 15, No. 2, 1445-1450 (2005). MSC: 60G51 60G17 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Pistorius, M. R. On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum. (English) Zbl 1049.60042 J. Theor. Probab. 17, No. 1, 183-220 (2004). Reviewer: Nicko G. Gamkrelidze (Moskva) MSC: 60G51 60G70 × Cite Format Result Cite Review PDF Full Text: DOI
Alili, Larbi; Chaumont, Loïc A new fluctuation identity for Lévy processes and some applications. (English) Zbl 1003.60045 Bernoulli 7, No. 3, 557-569 (2001). Reviewer: Nijole Kalinauskaitė (Vilnius) MSC: 60G51 60G52 60J55 × Cite Format Result Cite Review PDF Full Text: DOI Euclid
Kella, Offer Non-product form of two-dimensional fluid networks with dependent Lévy inputs. (English) Zbl 0982.60047 J. Appl. Probab. 37, No. 4, 1117-1122 (2000). MSC: 60G51 60K30 90B05 90B15 × Cite Format Result Cite Review PDF Full Text: DOI
Kella, Offer; Whitt, Ward Stability and structural properties of stochastic storage networks. (English) Zbl 0867.60081 J. Appl. Probab. 33, No. 4, 1169-1180 (1996). MSC: 60K25 60G10 90B22 × Cite Format Result Cite Review PDF Full Text: DOI DOI Link
Kella, Offer Stability and nonproduct form of stochastic fluid networks with Lévy inputs. (English) Zbl 0863.60070 Ann. Appl. Probab. 6, No. 1, 186-199 (1996). MSC: 60J99 90B05 90B15 60K30 × Cite Format Result Cite Review PDF Full Text: DOI
Chaumont, L. Conditionings and path decompositions for Lévy processes. (English) Zbl 0879.60072 Stochastic Processes Appl. 64, No. 1, 39-54 (1996). MSC: 60J25 × Cite Format Result Cite Review PDF Full Text: DOI
Kella, Offer; Sverchkov, Michail On concavity of the mean function and stochastic ordering for reflected processes with stationary increments. (English) Zbl 0822.60030 J. Appl. Probab. 31, No. 4, 1140-1142 (1994). MSC: 60G10 × Cite Format Result Cite Review PDF Full Text: DOI
Bertoin, Jean An extension of Pitman’s theorem for spectrally positive Lévy processes. (English) Zbl 0760.60068 Ann. Probab. 20, No. 3, 1464-1483 (1992). Reviewer: W.Schenk (Dresden) MSC: 60J99 × Cite Format Result Cite Review PDF Full Text: DOI