Zobrazeno 1 - 10
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pro vyhledávání: '"scale functions"'
Autor:
Irie, Haruka, Shimizu, Yasutaka
The scale function holds significant importance within the fluctuation theory of Levy processes, particularly in addressing exit problems. However, its definition is established through the Laplace transform, thereby lacking explicit representations
Externí odkaz:
http://arxiv.org/abs/2402.13599
Autor:
Noba, Kei
The scale functions were defined for spectrally negative L\'evy processes and other strong Markov processes with no positive jumps, and have been used to characterize their behavior. In particular, I defined the scale functions for standard processes
Externí odkaz:
http://arxiv.org/abs/2309.09153
Autor:
Noba, Kei, Yamato, Kosuke
For a generalized scale function of standard processes, we characterize it as a unique solution to a Volterra type integral equation. This allows us to extend it to an entire function and to derive a useful identity that we call the resolvent identit
Externí odkaz:
http://arxiv.org/abs/2308.09935
Autor:
Contreras, Jesús, Rivero, Victor
For a spectrally negative L\'evy process, scale functions appear in the solution of two-sided exit problems, and in particular in relation with the Laplace transform of the first time it exits a closed interval. In this paper, we consider the Laplace
Externí odkaz:
http://arxiv.org/abs/2209.15576
We obtain series expansions of the $q$-scale functions of arbitrary spectrally negative L\'evy processes, including processes with infinite jump activity, and use these to derive various new examples of explicit $q$-scale functions. Moreover, we stud
Externí odkaz:
http://arxiv.org/abs/2109.09359
Autor:
Contreras, Jesús1 jjcontreras@cimat.mx, Rivero, Víctor1 rivero@cimat.mx
Publikováno v:
ALEA. Latin American Journal of Probability & Mathematical Statistics. 2023, Vol. 20 Issue 1, p645-663. 19p.
Autor:
Behme, Anita, Oechsler, David
Scale functions play a central role in the fluctuation theory of spectrally negative L\'evy processes. For spectrally negative compound Poisson processes with positive drift, a new representation of the $q$-scale functions in terms of the characteris
Externí odkaz:
http://arxiv.org/abs/2007.15880
Autor:
Ross, Joseph
The $t$-digest is a data structure that can be queried for approximate quantiles, with greater accuracy near the minimum and maximum of the distribution. We develop a $t$-digest variant with accuracy asymmetric about the median, thereby making possib
Externí odkaz:
http://arxiv.org/abs/2005.09599
Autor:
AVRAM, FLORIN, VIDMAR, MATIJA
Publikováno v:
Advances in Applied Probability, 2019 Jun 01. 51(2), 408-424.
Externí odkaz:
https://www.jstor.org/stable/45277964
Autor:
Ivanovs, Jevgenijs
We provide a novel expression of the scale function for a L\'evy processes with negative phase-type jumps. It is in terms of a certain transition rate matrix which is explicit up to a single positive number. A monotone iterative scheme for the calcul
Externí odkaz:
http://arxiv.org/abs/2012.08380