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4 papers · 2 filters
On obtaining simple identities for overshoots of spectrally negative Lévy processes
Ronnie Loeffen
For a (killed) spectrally negative Lévy process we provide an analytic expression for the distribution of its overshoot over a fixed level in terms of the infinitesimal generator a…
Dimension conservation for self-similar sets and fractal percolation
Kenneth Falconer, Xiong Jin
We introduce a technique that uses projection properties of fractal percolation to establish dimension conservation results for sections of deterministic self-similar sets. For exa…
Quickest detection of a hidden target and extremal surfaces
Goran Peskir
Let be a regular diffusion process started at , let be an independent random variable with a strictly increasing and continuous distribution function $F…
Elliptic stochastic partial differential equations with two reflecting walls
Wen Yue, Tusheng Zhang
In this article, we study elliptic stochastic partial differential equations with two reflect- ing walls h1 and h2, driven by multiplicative noise. The existence and uniqueness of…