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Martingales associated with functions of Markov and finite variation processes

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  • Offer Kella

    (The Hebrew University of Jerusalem)

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  • Offer Kella, 2022. "Martingales associated with functions of Markov and finite variation processes," Queueing Systems: Theory and Applications, Springer, vol. 100(3), pages 205-207, April.
    • Handle: RePEc:spr:queues:v:100:y:2022:i:3:d:10.1007_s11134-022-09749-8
    DOI: 10.1007/s11134-022-09749-8
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    References listed on IDEAS

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    1. Søren Asmussen & Mats Pihlsgård, 2007. "Loss Rates for Lévy Processes with Two Reflecting Barriers," Mathematics of Operations Research, INFORMS, vol. 32(2), pages 308-321, May.
    2. Frostig, Esther, 2005. "The expected time to ruin in a risk process with constant barrier via martingales," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 216-228, October.
    3. Asmussen, Søren & Avram, Florin & Pistorius, Martijn R., 2004. "Russian and American put options under exponential phase-type Lévy models," Stochastic Processes and their Applications, Elsevier, vol. 109(1), pages 79-111, January.
    4. Perry, David & Stadje, Wolfgang & Yosef, Rami, 2003. "Annuities with controlled random interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 32(2), pages 245-253, April.
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