On the drawdown of completely asymmetric Lévy processes
نویسندگان
چکیده
منابع مشابه
On doubly reflected completely asymmetric Lévy processes
Consider a completely asymmetric Lévy process X and let Z be X reflected at 0 and at a > 0. In applied probability (e.g. [12, 19]), the process Z turns up in the study of the virtual waiting time in a M/G/1-queue with finite buffer a or the water level in a finite dam of size a. We find an expression for the resolvent density of Z. We show Z is positive recurrent and determine the invariant mea...
متن کاملOne dimensional completely asymmetric Markov processes
In the early 50’s, Feller characterized fully the analytical structure of one dimensional diffusion processes. In particular, he constructed their Green functions in terms of the two positive fundamental solutions of a second order differential equations. He also characterized completely the Laplace transform of their first exit times from an interval in terms of these two fundamental solutions...
متن کاملBasics of Lévy Processes *
This is a draft Chapter from a book by the authors on “Lévy Driven Volatility Models”.
متن کاملsurvey on the rule of the due & hindering relying on the sheikh ansaris ideas
قاعده مقتضی و مانع در متون فقهی کم و بیش مستند احکام قرار گرفته و مورد مناقشه فقهاء و اصولیین می باشد و مشهور معتقند مقتضی و مانع، قاعده نیست بلکه یکی از مسائل ذیل استصحاب است لذا نگارنده بر آن شد تا پیرامون این قاعده پژوهش جامعی انجام دهد. به عقیده ما مقتضی دارای حیثیت مستقلی است و هر گاه می گوییم مقتضی احراز شد یعنی با ماهیت مستقل خودش محرز گشته و قطعا اقتضاء خود را خواهد داشت مانند نکاح که ...
15 صفحه اولthe effect of taftan pozzolan on the compressive strength of concrete in the environmental conditions of oman sea (chabahar port)
cement is an essential ingredient in the concrete buildings. for production of cement considerable amount of fossil fuel and electrical energy is consumed. on the other hand for generating one tone of portland cement, nearly one ton of carbon dioxide is released. it shows that 7 percent of the total released carbon dioxide in the world relates to the cement industry. considering ecological issu...
ذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2012
ISSN: 0304-4149
DOI: 10.1016/j.spa.2012.06.012