319 citations · 665 across the 78 of their papers we have counts for
6 papers · 1 filter
The distribution of the supremum for spectrally asymmetric Lévy processes
Zbigniew Michna, Zbigniew Palmowski, Martijn Pistorius
In this article we derive formulas for the probability and where is a spectrally positive Lévy process with infinit…
On Future Drawdowns of Lévy processes
E. J. Baurdoux, Z. Palmowski, M. R. Pistorius
For a given Lévy process and for fixed and we analyse the {\it future drawdown extremes} that ar…
Two-dimensional fluid queues with temporary assistance
Guy Latouche, Giang T. Nguyen, Zbigniew Palmowski
We consider a two-dimensional stochastic fluid model with ON-OFF inputs and temporary assistance, which is an extension of the same model with in Mahabhashyam et al. (2…
Parisian quasi-stationary distributions for asymmetric Lévy processes
Irmina Czarna, Zbigniew Palmowski
In recent years there has been some focus on quasi-stationary behaviour of an one-dimensional Lévy process , where we ask for the law for a…
Discrete time ruin probability with Parisian delay
Irmina Czarna, Zbigniew Palmowski, Przemysław Światek
In this paper we evaluate the probability of the discrete time Parisian ruin that occurs when surplus process stays below or at zero at least for some fixed duration of time .…
A note on first passage probabilities of a Lévy process reflected at a general barrier
Zbigniew Palmowski, Przemysław Świątek
In this paper we analyze a Lévy process reflected at a general (possibly random) barrier. For this process we prove Central Limit Theorem for the first passage time. We also give t…