Exit  Problems  for  Lévy and Markov Processes with  One-Sided Jumps and Related Topics 

<br/><br/><br/>English[eng] 
<br/><br/><label>ISBN: </label>9783040000000 
<br/><br/><label>Subjects--Topical Terms: </label><br/>Lévy processes||non-random overshoots||skip-free random walks||fluctuation theory||scale functions||capital surplus process||dividend payment||optimal control||capital injection constraint||spectrally negative Lévy processes||reflected Lévy processes||first passage||drawdown process||spectrally negative process||dividends||de Finetti valuation objective||variational problem||stochastic control||optimal dividends||Parisian ruin||log-convexity||barrier strategies||adjustment coefficient||logarithmic asymptotics||quadratic programming problem||ruin probability||two-dimensional Brownian motion||spectrally negative Lévy process||general tax structure||first crossing time||joint Laplace transform||potential measure||Laplace transform||first hitting time||diffusion-type process||running maximum and minimum processes||boundary-value problem||normal reflection||Sparre Andersen model||heavy tails||completely monotone distributions||error bounds||hyperexponential distribution||reflected Brownian motion||linear diffusions||drawdown||Segerdahl process||affine coefficients||spectrally negative Markov process||hypergeometric functions||capital injections||bankruptcy||reflection and absorption||Pollaczek–Khinchine formula||scale function||Padé approximations||Laguerre series||Tricomi–Weeks Laplace inversion