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20092019
most citedThe scale functions kit for first passage problems of spectrally negative Levy processes, and applications to the optimization of dividends

25 citations · 35 across the 10 of their papers we have counts for

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math.PR2015

Maximum loss and maximum gain of spectrally negative Levy processes

Ceren Vardar Acar, Mine Caglar

The joint distribution of the maximum loss and the maximum gain is obtained for a spectrally negative Levy process until the passage time of a given level. Their marginal distribut…