110 citations · 164 across the 29 of their papers we have counts for
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math.PR2014
A Lévy process on the real line seen from its supremum and max-stable processes
Sebastian Engelke, Jevgenijs Ivanovs
We consider a process on the real line composed from a Lévy process and its exponentially tilted version killed with arbitrary rates and give an expression for the joint law of…
math.PR2014★ 110 cited
Exit identities for Lévy processes observed at Poisson arrival times
Hansjörg Albrecher, Jevgenijs Ivanovs, Xiaowen Zhou
For a spectrally one-sided Lévy process, we extend various two-sided exit identities to the situation when the process is only observed at arrival epochs of an independent Poisson…