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pro vyhledávání: '"Avram, F."'
Path decomposition is performed to characterize the law of the pre/post-supremum, post-infimum and the intermediate processes of a spectrally negative Levy process taken up to an independent exponential time T: As a result, mainly the distributions o
Externí odkaz:
http://arxiv.org/abs/1910.08297
We study two families of QBD processes with linear rates: (A) the multiserver retrial queue and its easier relative; and (B) the multiserver M/M/infinity Markov modulated queue. The linear rates imply that the stationary probabilities satisfy a recur
Externí odkaz:
http://arxiv.org/abs/1403.1982
Publikováno v:
Annals of Applied Probability 2015, Vol. 25, No. 4, 1868-1935
This paper concerns an optimal dividend distribution problem for an insurance company whose risk process evolves as a spectrally negative L\'{e}vy process (in the absence of dividend payments). The management of the company is assumed to control timi
Externí odkaz:
http://arxiv.org/abs/1110.4965
We consider the problem of parameter estimation for an ergodic diffusion with Fisher-Snedecor invariant distribution, to be called Fisher-Snedecor diffusion. We compute the spectral representation of its transition density, which involves a finite nu
Externí odkaz:
http://arxiv.org/abs/1007.4909
Publikováno v:
In Insurance Mathematics and Economics November 2016 71:27-39
Akademický článek
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Publikováno v:
The Annals of Applied Probability, 2015 Aug 01. 25(4), 1868-1935.
Externí odkaz:
http://www.jstor.org/stable/24520503
Autor:
Avram, F., Pistorius, M.
Publikováno v:
In Insurance Mathematics and Economics November 2014 59:57-64
Publikováno v:
Advances in Applied Probability, 2013 Mar 01. 45(1), 274-294.
Externí odkaz:
https://www.jstor.org/stable/41806008