4 citations · 5 across the 2 of their papers we have counts for
2 papers
math.PR2018★ 1 cited
General drawdown of general tax model in a time-homogeneous Markov framework
Florin Avram, Bin Li, Shu Li
Drawdown/regret times feature prominently in optimal stopping problems, in statistics (CUSUM procedure) and in mathematical finance (Russian options). Recently it was discovered th…
math.PR2018★ 4 cited
Fluctuation identities for omega-killed Markov additive processes and dividend problem
Irmina Czarna, Adam Kaszubowski, Shu Li +1
In this paper we solve the exit problems for an one-sided Markov additive process (MAP) which is exponentially killed with a bivariate killing intensity dependent…