On optional stopping of some exponential martingales for Lévy processes with or without reflection
暂无分享,去创建一个
[1] Offer Kella,et al. A STOCHASTIC CLEARING MODEL WITH A BROWNIAN AND A COMPOUND POISSON COMPONENT , 2003, Probability in the Engineering and Informational Sciences.
[2] Hans-Peter Schwefel,et al. Large deviations and fast simulation in the presence of boundaries , 2002 .
[3] Offer Kella,et al. A multi-dimensional martingale for Markov additive processes and its applications , 2000, Advances in Applied Probability.
[4] O. Kella. An exhaustive lévy storage process with intermittent output , 1998 .
[5] Offer Kella,et al. An exhaustive lĕvy storage process with intermittent output , 1998 .
[6] W. Whitt,et al. Stability and structural properties of stochastic storage networks , 1996, Journal of Applied Probability.
[7] O. Kella. Stability and nonproduct form of stochastic fluid networks with Lévy inputs , 1996 .
[8] O. Kella. Parallel and Tandem Fluid Networks with Dependent Levy Inputs , 1993 .
[9] W. Whitt,et al. Useful martingales for stochastic storage processes with Lévy input , 1992, Journal of Applied Probability.
[10] P. Protter. Stochastic integration and differential equations , 1990 .
[11] Sلأren Asmussen,et al. Applied Probability and Queues , 1989 .
[12] J. Michael Harrison. The supremum distribution of a Lévy process with no negative jumps , 1977, Advances in Applied Probability.
[13] N. H. Bingham,et al. Fluctuation theory in continuous time , 1975, Advances in Applied Probability.