Add to ORKGWe derive explicit formulas for the Mellin transform and the distribution of the exponential functional for Lévy processes with rational Laplace exponent. This extends recent results by Cai and Kou [3] on the processes with hyper-exponential jumps
We are interested in occupation times of jump diffusion processes with hyper-exponentially distribut...
The class of matrix-exponential distributions can be equivalently defined as the class of all distri...
AbstractMotivated by recent studies in financial mathematics and other areas, we investigate the exp...
AbstractWe derive explicit formulas for the Mellin transform and the distribution of the exponential...
We study the distribution and various properties of exponential functionals of hypergeometric Lévy ...
We give the closed form of the ruin probability for a Lévy processes, possibly killed at a constant...
Mellin Transform occurs in many branches of Applied Mathematics and Engineering. The Mellin transfor...
The last couple of years has seen a remarkable number of new, explicit examples of the Wiener-Hopf f...
Motivated by recent studies in financial mathematics and other areas, we investi-gate the exponentia...
Meromorphic L´evy processes have attracted the attention of a lot of researchers recently due to it...
Abstract: Motivated by recent studies in financial mathematics and other areas, we investigate the e...
International audienceIn this paper, we study intensity of jumps in the context of functional linear...
One method to compute the price of an arithmetic Asian option in a Lévy driven model is based on th...
In this paper we introduce a ten-parameter family of Lévy processes for which we obtain Wiener–Hopf ...
Abstract. For a Lévy process ξ = (ξt)t≥0 drifting to −∞, we define the so-called exponential functi...
We are interested in occupation times of jump diffusion processes with hyper-exponentially distribut...
The class of matrix-exponential distributions can be equivalently defined as the class of all distri...
AbstractMotivated by recent studies in financial mathematics and other areas, we investigate the exp...
AbstractWe derive explicit formulas for the Mellin transform and the distribution of the exponential...
We study the distribution and various properties of exponential functionals of hypergeometric Lévy ...
We give the closed form of the ruin probability for a Lévy processes, possibly killed at a constant...
Mellin Transform occurs in many branches of Applied Mathematics and Engineering. The Mellin transfor...
The last couple of years has seen a remarkable number of new, explicit examples of the Wiener-Hopf f...
Motivated by recent studies in financial mathematics and other areas, we investi-gate the exponentia...
Meromorphic L´evy processes have attracted the attention of a lot of researchers recently due to it...
Abstract: Motivated by recent studies in financial mathematics and other areas, we investigate the e...
International audienceIn this paper, we study intensity of jumps in the context of functional linear...
One method to compute the price of an arithmetic Asian option in a Lévy driven model is based on th...
In this paper we introduce a ten-parameter family of Lévy processes for which we obtain Wiener–Hopf ...
Abstract. For a Lévy process ξ = (ξt)t≥0 drifting to −∞, we define the so-called exponential functi...
We are interested in occupation times of jump diffusion processes with hyper-exponentially distribut...
The class of matrix-exponential distributions can be equivalently defined as the class of all distri...
AbstractMotivated by recent studies in financial mathematics and other areas, we investigate the exp...