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A first passage time problem for spectrally positive Lévy processes and its application to a dynamic priority queue
Sarhangian, Vahid; Balcıog˜lu, Barış - In: Operations research letters 41 (2013) 6, pp. 659-663
Persistent link: https://www.econbiz.de/10010236055
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Extended Gerber-Shiu functions in a risk model with interest
Schmidli, Hanspeter - In: Insurance / Mathematics & economics 61 (2015), pp. 271-275
Persistent link: https://www.econbiz.de/10010515872
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Pricing external barrier options in a regime-switching model
Kim, Jerim; Kim, Jeongsim; Yoo, Hyun Joo; Kim, Bara - In: Journal of economic dynamics & control 53 (2015), pp. 123-143
Persistent link: https://www.econbiz.de/10011526900
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Dynamic optimal capital structure with regime switching
Elliott, Robert J.; Shen, Jia - In: Annals of finance 11 (2015) 2, pp. 199-220
Persistent link: https://www.econbiz.de/10011376180
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Tempered stable process, first passage time, and path-dependent option pricing
Kim, Young Shin - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 187-215
Persistent link: https://www.econbiz.de/10011993461
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Lowest priority waiting time distribution in an accumulating priority Lévy queue
Kella, Offer; Ravner, Liron - In: Operations research letters 45 (2017) 1, pp. 40-45
Persistent link: https://www.econbiz.de/10011687127
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The maximum distribution of Kibble’s bivariate gamma random vector
Kim, Bara; Kim, Jeongsim - In: Operations research letters 45 (2017) 4, pp. 392-396
Persistent link: https://www.econbiz.de/10011740634
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Funding liquidity, debt tenor structure, and creditor’s belief : an exogenous dynamic debt run model
Liang, Gechun; Lütkebohmert, Eva; Wei, Wei - In: Mathematics and financial economics 9 (2015) 4, pp. 271-302
Persistent link: https://www.econbiz.de/10011378101
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The likelihood of mixed hitting times
Abbring, Jaap H.; Salimans, Tim - In: Journal of econometrics 223 (2021) 2, pp. 361-375
Persistent link: https://www.econbiz.de/10012619975
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Weak limits of random coefficient autoregressive processes and their application in ruin theory
Dong, Y.; Spielmann, J. - In: Insurance / Mathematics & economics 91 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012241966