MARC details
| 000 -LEADER |
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| fixed length control field |
04625naaaa2201009uu 4500 |
| 001 - CONTROL NUMBER |
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| control field |
https://directory.doabooks.org/handle/20.500.12854/76508 |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20220714184309.0 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
books978-3-03928-459-7 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9783039284580 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9783039284597 |
| 024 7# - OTHER STANDARD IDENTIFIER |
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| Standard number or code |
10.3390/books978-3-03928-459-7 |
| Terms of availability |
doi |
| 041 0# - LANGUAGE CODE |
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| Language code of text/sound track or separate title |
English |
| 042 ## - AUTHENTICATION CODE |
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| Authentication code |
dc |
| 072 #7 - SUBJECT CATEGORY CODE |
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| Subject category code |
GP |
| Source |
bicssc |
| 072 #7 - SUBJECT CATEGORY CODE |
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| Subject category code |
P |
| Source |
bicssc |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Avram, Florin |
| Relator code |
edt |
| 9 (RLIN) |
1605361 |
| 245 10 - TITLE STATEMENT |
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| Title |
Exit Problems for Lévy and Markov Processes with One-Sided Jumps and Related Topics |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
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| Place of publication, distribution, etc |
Basel, Switzerland |
| Name of publisher, distributor, etc |
MDPI - Multidisciplinary Digital Publishing Institute |
| Date of publication, distribution, etc |
2021 |
| 300 ## - PHYSICAL DESCRIPTION |
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| Extent |
1 electronic resource (218 p.) |
| 506 0# - RESTRICTIONS ON ACCESS NOTE |
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| Terms governing access |
Open Access |
| Source of term |
star |
| Standardized terminology for access restriction |
Unrestricted online access |
| 520 ## - SUMMARY, ETC. |
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| Summary, etc |
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). |
| 540 ## - TERMS GOVERNING USE AND REPRODUCTION NOTE |
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| Terms governing use and reproduction |
Creative Commons |
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https://creativecommons.org/licenses/by/4.0/ |
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cc |
| -- |
https://creativecommons.org/licenses/by/4.0/ |
| 546 ## - LANGUAGE NOTE |
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| Language note |
English |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Research & information: general |
| Source of heading or term |
bicssc |
| 9 (RLIN) |
928234 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Mathematics & science |
| Source of heading or term |
bicssc |
| 9 (RLIN) |
1014621 |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
Lévy processes |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
non-random overshoots |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
skip-free random walks |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
fluctuation theory |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
scale functions |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
capital surplus process |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
dividend payment |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
optimal control |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
capital injection constraint |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
spectrally negative Lévy processes |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
reflected Lévy processes |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
first passage |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
drawdown process |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
spectrally negative process |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
dividends |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
de Finetti valuation objective |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
variational problem |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
stochastic control |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
optimal dividends |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
Parisian ruin |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
log-convexity |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
barrier strategies |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
adjustment coefficient |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
logarithmic asymptotics |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
quadratic programming problem |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
ruin probability |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
two-dimensional Brownian motion |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
spectrally negative Lévy process |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
general tax structure |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
first crossing time |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
joint Laplace transform |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
potential measure |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
Laplace transform |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
first hitting time |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
diffusion-type process |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
running maximum and minimum processes |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
boundary-value problem |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
normal reflection |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
Sparre Andersen model |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
heavy tails |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
completely monotone distributions |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
error bounds |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
hyperexponential distribution |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
reflected Brownian motion |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
linear diffusions |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
drawdown |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
Segerdahl process |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
affine coefficients |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
spectrally negative Markov process |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
hypergeometric functions |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
capital injections |
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| Uncontrolled term |
bankruptcy |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
reflection and absorption |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
Pollaczek-Khinchine formula |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
scale function |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
Padé approximations |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
Laguerre series |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Uncontrolled term |
Tricomi-Weeks Laplace inversion |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
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| Personal name |
Avram, Florin |
| Relator code |
oth |
| 9 (RLIN) |
1605361 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
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| Host name |
www.oapen.org |
| Uniform Resource Identifier |
<a href="https://mdpi.com/books/pdfview/book/3954">https://mdpi.com/books/pdfview/book/3954</a> |
| -- |
0 |
| Public note |
DOAB: download the publication |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
|---|
| Host name |
www.oapen.org |
| Uniform Resource Identifier |
<a href="https://directory.doabooks.org/handle/20.500.12854/76508">https://directory.doabooks.org/handle/20.500.12854/76508</a> |
| -- |
0 |
| Public note |
DOAB: description of the publication |
