1 citations · 1 across the 3 of their papers we have counts for
3 papers
math.PR2013
Two-sided boundary functionals for Kou process
Ievgen Karnaukh
In this paper the moment generating function of two-sided boundary functionals for double exponential jump diffusion processes are treated.
math.PR2013
The unified form of Pollaczek--Khinchine formula for Lévy processes with matrix-exponential negative jumps
Dmytro Gusak, Ievgen Karnaukh
For Lévy processes with matrix-exponential negative jumps, the unified form of the Pollaczek-Khinchine formula is established.
math.PR2009★ 1 cited
Overshoot functionals for almost semi-continuous processes defined on a Markov chain
Ievgen Karnaukh
In the article the distributions of overjump functionals for almost semi-continuous processes on a finite irreducible Markov chain are considered.