113 results
Discounted densities of overshoot and undershoot for Lévy processes with applications in finance
- Part of
-
- Journal:
- Probability in the Engineering and Informational Sciences , First View
- Published online by Cambridge University Press:
- 19 March 2024, pp. 1-24
-
- Article
-
- You have access
- Open access
- HTML
- Export citation
Speed of extinction for continuous-state branching processes in a weakly subcritical Lévy environment
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 61 / Issue 3 / September 2024
- Published online by Cambridge University Press:
- 01 December 2023, pp. 886-908
- Print publication:
- September 2024
-
- Article
-
- You have access
- HTML
- Export citation
A Monte Carlo algorithm for the extrema of tempered stable processes
- Part of
-
- Journal:
- Advances in Applied Probability / Volume 55 / Issue 4 / December 2023
- Published online by Cambridge University Press:
- 30 June 2023, pp. 1362-1389
- Print publication:
- December 2023
-
- Article
-
- You have access
- HTML
- Export citation
Workload analysis of a two-queue fluid polling model
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 60 / Issue 3 / September 2023
- Published online by Cambridge University Press:
- 31 March 2023, pp. 1003-1030
- Print publication:
- September 2023
-
- Article
-
- You have access
- HTML
- Export citation
A decomposition for Lévy processes inspected at Poisson moments
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 60 / Issue 2 / June 2023
- Published online by Cambridge University Press:
- 15 November 2022, pp. 557-569
- Print publication:
- June 2023
-
- Article
-
- You have access
- HTML
- Export citation
A growth-fragmentation model connected to the ricocheted stable process
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 60 / Issue 2 / June 2023
- Published online by Cambridge University Press:
- 08 November 2022, pp. 493-503
- Print publication:
- June 2023
-
- Article
-
- You have access
- HTML
- Export citation
Fragmentations with self-similar branching speeds
- Part of
-
- Journal:
- Advances in Applied Probability / Volume 53 / Issue 4 / December 2021
- Published online by Cambridge University Press:
- 22 November 2021, pp. 1149-1189
- Print publication:
- December 2021
-
- Article
- Export citation
Necessity of weak subordination for some strongly subordinated Lévy processes
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 58 / Issue 4 / December 2021
- Published online by Cambridge University Press:
- 22 November 2021, pp. 868-879
- Print publication:
- December 2021
-
- Article
- Export citation
Generalised liouville processes and their properties
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 57 / Issue 4 / December 2020
- Published online by Cambridge University Press:
- 23 November 2020, pp. 1088-1110
- Print publication:
- December 2020
-
- Article
- Export citation
Long-time behavior of Lévy-driven Ornstein–Uhlenbeck processes with regime switching
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 57 / Issue 1 / March 2020
- Published online by Cambridge University Press:
- 04 May 2020, pp. 266-279
- Print publication:
- March 2020
-
- Article
- Export citation
Completely asymmetric stable processes conditioned to avoid an interval
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 56 / Issue 4 / December 2019
- Published online by Cambridge University Press:
- 11 December 2019, pp. 1187-1197
- Print publication:
- December 2019
-
- Article
- Export citation
WEAK SUBORDINATION OF MULTIVARIATE LÉVY PROCESSES
- Part of
-
- Journal:
- Bulletin of the Australian Mathematical Society / Volume 100 / Issue 3 / December 2019
- Published online by Cambridge University Press:
- 09 July 2019, pp. 518-519
- Print publication:
- December 2019
-
- Article
-
- You have access
- Export citation
On association and other forms of positive dependence for Feller processes
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 56 / Issue 2 / June 2019
- Published online by Cambridge University Press:
- 30 July 2019, pp. 624-646
- Print publication:
- June 2019
-
- Article
- Export citation
Limit theorems for the fractional nonhomogeneous Poisson process
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 56 / Issue 1 / March 2019
- Published online by Cambridge University Press:
- 12 July 2019, pp. 246-264
- Print publication:
- March 2019
-
- Article
- Export citation
One-sided solutions for optimal stopping problems with logconcave reward functions
- Part of
-
- Journal:
- Advances in Applied Probability / Volume 51 / Issue 1 / March 2019
- Published online by Cambridge University Press:
- 22 July 2019, pp. 87-115
- Print publication:
- March 2019
-
- Article
- Export citation
Occupation times of alternating renewal processes with Lévy applications
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 55 / Issue 4 / December 2018
- Published online by Cambridge University Press:
- 16 January 2019, pp. 1287-1308
- Print publication:
- December 2018
-
- Article
- Export citation
Branching-stable point measures and processes
- Part of
-
- Journal:
- Advances in Applied Probability / Volume 50 / Issue 4 / December 2018
- Published online by Cambridge University Press:
- 29 November 2018, pp. 1294-1314
- Print publication:
- December 2018
-
- Article
- Export citation
On the minimal number of driving Lévy motions in a multivariate price model
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 55 / Issue 3 / September 2018
- Published online by Cambridge University Press:
- 16 November 2018, pp. 823-833
- Print publication:
- September 2018
-
- Article
- Export citation
Windings of planar processes, exponential functionals and Asian options
- Part of
-
- Journal:
- Advances in Applied Probability / Volume 50 / Issue 3 / September 2018
- Published online by Cambridge University Press:
- 16 November 2018, pp. 726-742
- Print publication:
- September 2018
-
- Article
- Export citation
Joint distribution of a Lévy process and its running supremum
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 55 / Issue 2 / June 2018
- Published online by Cambridge University Press:
- 26 July 2018, pp. 488-512
- Print publication:
- June 2018
-
- Article
- Export citation