319 citations · 665 across the 78 of their papers we have counts for
96 papers
Exit problems for additive-increase and multiplicative-decrease Markov-modulated processes
Bernardo D'Auria, Zbigniew Palmowski
We study one-sided, two-sided and reflected exit problems for a finite-state Markov-modulated additive-increase and multiplicative-decrease process. For upward passage, a first-jum…
Sensitivity analysis of Stochastic Fluid Models: Stationary and transient quantities with applications
Anna Aksamit, Małgorzata M. O'Reilly, Zbigniew Palmowski
We establish results for the first sensitivity analysis of the stochastic fluid models (SFMs). We derive expressions for the sensitivity analysis of the key stationary and transien…
Lévy processes with partially stochastic resetting
Zbigniew Palmowski, Noah Beelders, Lewis Ramsden +1
In this paper, we solve exit problems for a Lévy process that resets proportionally to its current position at independent Poisson epochs times. This resetting causes an additional…
Fluctuations of Omega-killed level-dependent spectrally negative Lévy processes
Zbigniew Palmowski, Meral Şimşek, Apostolos D. Papaioannou
In this paper, we solve exit problems for a level-dependent Lévy process which is exponentially killed with a killing intensity that depends on the present state of the process. Mo…
Time-dependent probability density function for partial resetting dynamics
C. Di Bello, A. V. Chechkin, A. K. Hartmann +2
Stochastic resetting is a rapidly developing topic in the field of stochastic processes and their applications. It denotes the occasional reset of a diffusing particle to its start…
Exact asymptotics of ruin probabilities with linear Hawkes arrivals
Zbigniew Palmowski, Simon Pojer, Stefan Thonhauser
In this paper we determine bounds and exact asymptotics of the ruin probability for risk process with arrivals given by a linear marked Hawkes process. We consider the light-tailed…