Add to ORKGWe consider a Lindley process with Laplace distributed space increments. We obtain closed form recursive expressions for the density function of the position of the process and for its first exit time distribution from the domain $[0,h]$. We illustrate the results in terms of the parameters of the process. The work is completed by an open source version of the software
We investigate the tail behaviour of the steady state distribution of a stochastic recursion that ge...
We compute the Laplace transforms of the first exit times for certain one-dimensional jump–diffusion...
Alili LarbiNovikov AlexanderSchweizer MartinYor MarcFrom both theoretical and applied perspectives, ...
This dissertation studies a Lindley random walk model when the increment process driving the walk is...
Let $X = (X_1, X_2)$ be a 2-dimensional random variable and $X(n), n \in \mathbb{N}$ a sequence of i...
Let $X = (X_1, X_2)$ be a 2-dimensional random variable and $X(n), n \in \mathbb{N}$ a sequence of i...
AbstractAn analogue of the Lindley equation for random walk is studied in the context of the branchi...
The Laplace transform is a widely used tool in the study of probability distributions, often allowin...
We study the exit time τ = τ ( 0 , ∞ ) for 1-dimensional strictly stable processes and express its L...
We obtain closed-form expressions for the value of the joint Laplace transform of the running maximu...
In this thesis, we discuss a probabilistic interpretation of the Laplace transform of probability de...
This paper considers a Lévy-driven queue (i.e., a Lévy process reflected at 0), and focuses on the d...
We obtain closed-form expressions for the value of the joint Laplace transform of the running maximu...
The Laplace transform is a widely used tool in the study of probability distributions, often allowin...
Consider a Lévy process Y(t) over an exponentially distributed time Tβ with mean 1/β. We study the j...
We investigate the tail behaviour of the steady state distribution of a stochastic recursion that ge...
We compute the Laplace transforms of the first exit times for certain one-dimensional jump–diffusion...
Alili LarbiNovikov AlexanderSchweizer MartinYor MarcFrom both theoretical and applied perspectives, ...
This dissertation studies a Lindley random walk model when the increment process driving the walk is...
Let $X = (X_1, X_2)$ be a 2-dimensional random variable and $X(n), n \in \mathbb{N}$ a sequence of i...
Let $X = (X_1, X_2)$ be a 2-dimensional random variable and $X(n), n \in \mathbb{N}$ a sequence of i...
AbstractAn analogue of the Lindley equation for random walk is studied in the context of the branchi...
The Laplace transform is a widely used tool in the study of probability distributions, often allowin...
We study the exit time τ = τ ( 0 , ∞ ) for 1-dimensional strictly stable processes and express its L...
We obtain closed-form expressions for the value of the joint Laplace transform of the running maximu...
In this thesis, we discuss a probabilistic interpretation of the Laplace transform of probability de...
This paper considers a Lévy-driven queue (i.e., a Lévy process reflected at 0), and focuses on the d...
We obtain closed-form expressions for the value of the joint Laplace transform of the running maximu...
The Laplace transform is a widely used tool in the study of probability distributions, often allowin...
Consider a Lévy process Y(t) over an exponentially distributed time Tβ with mean 1/β. We study the j...
We investigate the tail behaviour of the steady state distribution of a stochastic recursion that ge...
We compute the Laplace transforms of the first exit times for certain one-dimensional jump–diffusion...
Alili LarbiNovikov AlexanderSchweizer MartinYor MarcFrom both theoretical and applied perspectives, ...