ISBN: 9783039284580 - exit problems for lévy and markov processes with one-sided jumps and related topics (19 resultados)

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Buch. Condición: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - 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).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 Lévy and diffusion classes (including drawdown problems)W, Z formulas for quasi-stationary distributionsAsymptotic resultsExtensions 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.…

Buch. Condición: Neu. Exit Problems for Lévy and Markov Processes with One-Sided Jumps and Related Topics | Buch | Gebunden | Englisch | 2021 | MDPI AG | EAN 9783039284580 | Verantwortliche Person für die EU: Libri GmbH, Europaallee 1, 36244 Bad Hersfeld, gpsr[at]libri[dot]de | Anbieter: preigu Print on Demand.…