319 citations · 484 across the 28 of their papers we have counts for
Showing 2016Show all
2 papers · 1 filter
math.PR2016★ 1 cited
On fluctuation theory for spectrally negative Levy processes with Parisian reflection below, and applications
Florin Avram, Xiaowen Zhou
As well known, all functionals of a Markov process may be expressed in terms of the generator operator, modulo some analytic work. In the case of spectrally negative Markov process…
math.PR2016★ 7 cited
Spectrally negative Lévy processes with Parisian reflection below and classical reflection above
Florin Avram, José Luis Pérez, Kazutoshi Yamazaki
We consider a company that receives capital injections so as to avoid ruin. Differently from the classical bail-out settings where the underlying process is restricted to stay at o…