319 citations · 665 across the 78 of their papers we have counts for
6 papers · 1 filter
Subexponential potential asymptotics with applications
Victoria Knopova, Zbigniew Palmowski
Let be a multivariate process of the form , , killed at some terminal time , where is a Markov process having only jumps of the length…
Yaglom limit for Stochastic Fluid Models
Nigel G. Bean, Małgorzata M. O'Reilly, Zbigniew Palmowski
In this paper we provide the analysis of the limiting conditional distribution (Yaglom limit) for stochastic fluid models (SFMs), a key class of models in the theory of matrix-anal…
Slower variation of the generation sizes induced by heavy-tailed environment for geometric branching
Ayan Bhattacharya, Zbigniew Palmowski
Motivated by seminal paper of Kozlov et al.(1975) we consider in this paper a branching process with a geometric offspring distribution parametrized by random success probability $…
Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process
Zbigniew Palmowski, Budhi Surya
This paper discusses the valuation of credit default swaps, where default is announced when the reference asset price has gone below certain level from the last record maximum, als…
The Leland-Toft optimal capital structure model under Poisson observations
Zbigniew Palmowski, José Luis Pérez, Budhi Arta Surya +1
We revisit the optimal capital structure model with endogenous bankruptcy first studied by Leland \cite{Leland94} and Leland and Toft \cite{Leland96}. Differently from the standard…
Persistence of heavy-tailed sample averages: principle of infinitely many big jumps
Ayan Bhattacharya, Zbigniew Palmowski, Bert Zwart
We consider the sample average of a centered random walk in with regularly varying step size distribution. For the first exit time from a compact convex set not…