Exit problems for one-dimensional L???vy 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 L???vy 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 ...
Read More
Exit problems for one-dimensional L???vy 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 L???vy 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, L???vy processes with omega-state-dependent killing, and certain L???vy 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 L???vy and diffusion classes, even for the simplest risk models with state-dependent parameters (say, Ornstein-Uhlenbeck or Feller branching diffusion with phase-type jumps). Motivated by these considerations, this Special Issue aims to review and push further the state-of-the-art progress on the following topics: W , Z formulas for exit problems of the L???vy and diffusion classes (including drawdown problems) W , Z formulas for quasi-stationary distributions Asymptotic results Extensions to random walks, Markov additive processes, omega models, processes with Parisian reflection or absorbtion, processes with state-dependent drift, etc. Optimal stopping, dividends, real options, etc. Numeric computation of the scale functions
Read Less
Add this copy of Exit Problems for Lévy and Markov Processes with One to cart. $50.61, new condition, Sold by Ria Christie Books rated 4.0 out of 5 stars, ships from Uxbridge, MIDDLESEX, UNITED KINGDOM, published 2021 by Mdpi AG.
Add this copy of Exit Problems for Lévy and Markov Processes With One to cart. $53.31, new condition, Sold by Books2anywhere rated 5.0 out of 5 stars, ships from Fairford, GLOUCESTERSHIRE, UNITED KINGDOM, published 2021 by Mdpi AG.
Choose your shipping method in Checkout. Costs may vary based on destination.
Seller's Description:
PLEASE NOTE, WE DO NOT SHIP TO DENMARK. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Please note we cannot offer an expedited shipping service from the UK.
Add this copy of Exit Problems for Lévy and Markov Processes with One to cart. $56.17, new condition, Sold by Ingram Customer Returns Center rated 5.0 out of 5 stars, ships from NV, USA, published 2021 by Mdpi AG.
Add this copy of Exit Problems for Lévy and Markov Processes With One to cart. $56.68, new condition, Sold by Paperbackshop International rated 1.0 out of 5 stars, ships from Fairford, GLOS, UNITED KINGDOM, published 2021 by Mdpi AG.
Choose your shipping method in Checkout. Costs may vary based on destination.
Seller's Description:
PLEASE NOTE, WE DO NOT SHIP TO DENMARK. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Please note we cannot offer an expedited shipping service from the UK.
Add this copy of Exit Problems for Lévy and Markov Processes with One to cart. $65.09, new condition, Sold by Booksplease rated 4.0 out of 5 stars, ships from Southport, MERSEYSIDE, UNITED KINGDOM, published 2021 by Mdpi AG.
