Theory Stoch. Process.,
2012, том 18(34), выпуск 2, страницы 15–23
(Mi thsp26)
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The unified form of Pollaczek–Khinchine formula for Lévy processes with matrix-exponential negative jumps
D. Gusaka,
Ie. Karnaukhb a Institute of Mathematics of the NAS of Ukraine, 3, Tereshchenkivs'ka
Str., Kyiv 01601, Ukraine
b O. Honchar Dnipropetrovsk National University, 72, Gagarina Pr.,
Dnipropetrovsk 49010, Ukraine
Аннотация:
For Lévy processes with matrix-exponential negative jumps, the unified form of the Pollaczek-Khinchine formula is established.
Ключевые слова:
Pollaczek–Khinchine formula; Lévy processes; matrix-exponential negative jumps.
MSC: Primary
60G51; Secondary
60K10
Язык публикации: английский
Реферативные базы данных:
© , 2024
Полный текст:
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