TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems

Autor: Danijel Grahovac, Ceren Vardar-Acar, Florin Avram

Publikováno v: ESAIM: Probability and Statistics
ESAIM: Probability and Statistics, EDP Sciences, 2020, 24, pp.454-525. ⟨10.1051/ps/2019022⟩

In the last years there appeared a great variety of identities for first passage problems of spectrally negative Lévy processes, which can all be expressed in terms of two “q-harmonic functions” (or scale functions)WandZ. The reason behind that

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::01659b37bbc399e81e726269de4adfbe
https://doi.org/10.1051/ps/2019022