5 citations · 7 across the 9 of their papers we have counts for
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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…