Exit Problems for Lévy and Markov Processes with One-Sided Jumps and Related Topics
Language: English
Published by MDPI AG, 2021
- Hardcover
- New
Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH
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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.…
Seller Inventory # 9783039284580
- Title
- Exit Problems for Lévy and Markov Processes with One-Sided Jumps and Related Topics
- Publisher
- MDPI AG
- Publication year
- 2021
- Condition
- Neu
- Binding
- Buch
- Language
- English
- ISBN 10
- 3039284584
- ISBN 13
- 9783039284580
- Item weight
- 745 grams
- Dimensions
- 250x175x19 mm
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 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
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