{"product_id":"exit-problems-for-levy-and-markov-processes-with-one-sided-jumps-and-related-topics-hardcover","title":"Exit Problems for Lévy and Markov Processes with One-Sided Jumps and Related Topics - Hardcover","description":"\u003cdiv\u003e\u003cp style=\"text-align: right;\"\u003e\u003ca href=\"https:\/\/reportcopyrightinfringement.com\/\" target=\"_blank\" rel=\"nofollow\"\u003e\u003cb\u003eReport copyright infringement\u003c\/b\u003e\u003c\/a\u003e\u003c\/p\u003e\u003c\/div\u003e\u003cp\u003eby \u003cb\u003eFlorin Avram\u003c\/b\u003e (Guest Editor)\u003c\/p\u003e\u003cp\u003e\u003c\/p\u003e\u003cp\u003eExit problems for one-dimensional Lévy processes are easier when jumps only occur in one direction. In the last few years, this intuition became more precise: we know now that a wide variety of identities for exit problems of spectrally-negative Lévy processes may be ergonomically expressed in terms of two q-harmonic functions (or scale functions or positive martingales) W and Z. The proofs typically require not much more than the strong Markov property, which hold, in principle, for the wider class of spectrally-negative strong Markov processes. This has been established already in particular cases, such as random walks, Markov additive processes, Lévy processes with omega-state-dependent killing, and certain Lévy processes with state dependent drift, and seems to be true for general strong Markov processes, subject to technical conditions. However, computing the functions W and Z is still an open problem outside the Lévy and diffusion classes, even for the simplest risk models with state-dependent parameters (say, Ornstein-Uhlenbeck or Feller branching diffusion with phase-type jumps).\u003c\/p\u003e\u003cp\u003eMotivated by these considerations, this Special Issue aims to review and push further the state-of-the-art progress on the following topics: \u003c\/p\u003e\u003cul\u003e\n\u003cli\u003eW, Z formulas for exit problems of the Lévy and diffusion classes (including drawdown problems)\u003c\/li\u003e\n\u003cli\u003eW, Z formulas for quasi-stationary distributions\u003c\/li\u003e\n\u003cli\u003eAsymptotic results\u003c\/li\u003e\n\u003cli\u003eExtensions to random walks, Markov additive processes, omega models, processes with Parisian reflection or absorbtion, processes with state-dependent drift, etc.\u003c\/li\u003e\n\u003cli\u003eOptimal stopping, dividends, real options, etc.\u003c\/li\u003e\n\u003cli\u003eNumeric computation of the scale functions\u003c\/li\u003e\n\u003c\/ul\u003e\u003cp\u003e\u003cbr\u003e\u003c\/p\u003e\u003cp\u003e\u003cbr\u003e\u003c\/p\u003e\n            \u003cdiv\u003e\n\u003cstrong\u003eNumber of Pages:\u003c\/strong\u003e 218\u003c\/div\u003e\n            \u003cdiv\u003e\n\u003cstrong\u003eDimensions:\u003c\/strong\u003e 0.75 x 9.61 x 6.69 IN\u003c\/div\u003e\n            \u003cdiv\u003e\n\u003cstrong\u003ePublication Date:\u003c\/strong\u003e June 29, 2021\u003c\/div\u003e\n            ","brand":"BooksCloud","offers":[{"title":"Default Title","offer_id":53379868393779,"sku":"9783039284580","price":80.62,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0300\/5595\/6612\/files\/nC_YqvBjsN9783039284580.webp?v=1779353607","url":"https:\/\/www.vysn.com\/en-ca\/products\/exit-problems-for-levy-and-markov-processes-with-one-sided-jumps-and-related-topics-hardcover","provider":"VYSN","version":"1.0","type":"link"}