Keyword: Levy-stable processes

Found 5 papers in total
On the infimum attained by a reflected Lévy process
On the infimum attained by a reflected Lévy process
2012,
This paper considers a Lévy‐driven queue (i.e., a Lévy process...
On optimality of the barrier strategy for a general Lévy risk process
On optimality of the barrier strategy for a general Lévy risk process
2011,
We consider the optimal dividend problem for the insurance risk process in a general...
Convergence of the all‐time supremum of a Lévy process in the heavy‐traffic regime
Convergence of the all‐time supremum of a Lévy process in the heavy‐traffic regime
2011,
In this paper we derive a technique for obtaining limit theorems for suprema of...
Quasi-Product Forms for Lévy-Driven Fluid Networks
Quasi-Product Forms for Lévy-Driven Fluid Networks
2007,
We study stochastic tree fluid networks driven by a multidimensional Lévy...
Loss rates for Lévy processes with two reflecting barriers
Loss rates for Lévy processes with two reflecting barriers
2007,
We consider a Lévy process that is reflected at 0 and at K < 0. The...
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