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Given a spectrally-negative Lévy process and independent Poisson observation times, we consider a periodic barrier strategy that pushes the process down to a certain level whenever the observed value is above it. We also consider the versions with additional classical reflection above and/or...
Persistent link: https://www.econbiz.de/10011996591
Given a spectrally-negative Lévy process and independent Poisson observation times, we consider a periodic barrier strategy that pushes the process down to a certain level whenever the observed value is above it. We also consider the versions with additional classical reflection above and/or...
Persistent link: https://www.econbiz.de/10011866334
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We prove the existence of the integrated density of states for subordinate Brownian motions in the presence of the Poissonian random potentials on the Sierpiński gasket.
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continuous local martingale with a given joint law for the maximum and the drawdown, which was originally solved by Rogers (1993 …
Persistent link: https://www.econbiz.de/10011065018