5 papers · 1 filter
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 additiona…
Sensitivity analysis of Stochastic Fluid Models: Stationary and transient quantities with applications
Anna Aksamit, MaÅgorzata 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…
Fluctuations of Omega-killed level-dependent spectrally negative Lévy processes
Zbigniew Palmowski, Meral ÅimÅek, 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. M…
Maxima over random time intervals for heavy-tailed compound renewal and Lévy processes
Sergey Foss, Dmitry Korshunov, Zbigniew Palmowski
We derive subexponential tail asymptotics for the distribution of the maximum of a compound renewal process with linear component and of a Lévy process, both with negative drift,…
Exit Times for a Discrete Markov Additive Process
Zbigniew Palmowski, Lewis Ramsden, Apostolos Papaioannou
In this paper we consider (upward skip-free) discrete-time and discrete-space Markov additive chains (MACs) and develop the theory for the so-called and sca…