6 citations · 9 across the 6 of their papers we have counts for
6 papers · 1 filter
Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations
Hansjoerg Albrecher, Jevgenijs Ivanovs
We consider exit problems for general Lévy processes, where the first passage over a threshold is detected either immediately or at an epoch of an independent homogeneous Poisson p…
Transient analysis of a stationary Lévy-driven queue
Jevgenijs Ivanovs, Michel Mandjes
In this paper we study a queue with Lévy input, without imposing any a priori assumption on the jumps being one-sided. The focus is on computing the transforms of all sorts of quan…
A bivariate risk model with mutual deficit coverage
Jevgenijs Ivanovs, Onno Boxma
We consider a bivariate Cramer-Lundberg-type risk reserve process with the special feature that each insurance company agrees to cover the deficit of the other. It is assumed that…
First passage process of a Markov additive process, with applications to reflection problems
Bernardo D'Auria, Jevgenijs Ivanovs, Offer Kella +1
In this paper we consider the first passage process of a spectrally negative Markov additive process (MAP). The law of this process is uniquely characterized by a certain matrix fu…
Markov-modulated Brownian motion with two reflecting barriers
Jevgenijs Ivanovs
We consider a Markov-modulated Brownian motion reflected to stay in a strip [0,B]. The stationary distribution of this process is known to have a simple form under some assumptions…
A new approach to fluctuations of reflected Lévy processes
Jevgenijs Ivanovs
We present a new approach to fluctuation identities for reflected Lévy processes with one-sided jumps. This approach is based on a number of easy to understand observations and doe…