1 citations · 1 across the 2 of their papers we have counts for
3 papers
math.PR2017
Discretization error for a two-sided reflected Lévy process
Søren Asmussen, Jevgenijs Ivanovs
An obvious way to simulate a Lévy process is to sample its increments over time , thus constructing an approximating random walk . This paper considers the error…
math.PR2015★ 1 cited
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…
math.PR2015
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…