139 citations · 575 across the 36 of their papers we have counts for
4 papers · 2 filters
On the density of the supremum of a stable process
Alexey Kuznetsov
We study the density of the supremum of a strictly stable Lévy process. As was proved recently in F. Hubalek and A. Kuznetsov "A convergent series representation for the density of…
On the Wiener-Hopf factorization for Levy processes with bounded positive jumps
Alexey Kuznetsov, Xianhua Peng
We study the Wiener-Hopf factorization for Levy processes with bounded positive jumps and arbitrary negative jumps. Using the results from the theory of entire functions of Cartwri…
Distributional properties of exponential functionals of Levy processes
A. Kuznetsov, J. C. Pardo, M. Savov
We study the distribution of the exponential functional $I(ξ,η)=\int_0^{\infty} \exp(ξ_{t-}) \d η_t$, where and are independent Lévy processes. In the general setting using…
The theory of scale functions for spectrally negative Le vy processes
Alexey Kuznetsov, Andreas E. Kyprianou, Victor Rivero
The purpose of this review article is to give an up to date account of the theory and application of scale functions for spectrally negative Levy processes. Our review also include…