arXiv subjects

Ievgen Karnaukh

Publications and source records attributed to Ievgen Karnaukh.

6 recordsLinked to original sources

arXiv2014

Distribution of some functionals for a Lévy process with matrix-exponential jumps of the same sign

This paper provides a framework for investigations in fluctuation theory for Lévy processes with matrix-exponential jumps. We present a matrix form of the components of the infinitely divisible factorization. Using this representation we establish generalizations of some results known for compound Poisson processes with exponential jumps in one direction and generally distributed jumps in the other direction.

math.PR↗

arXiv2013

Two-sided boundary functionals for Kou process

In this paper the moment generating function of two-sided boundary functionals for double exponential jump diffusion processes are treated.

math.PR↗

arXiv2013

The unified form of Pollaczek--Khinchine formula for Lévy processes with matrix-exponential negative jumps

For Lévy processes with matrix-exponential negative jumps, the unified form of the Pollaczek-Khinchine formula is established.

math.PR↗

arXiv2011

Behavior of an Almost Semicontinuous Poisson Process on a Markov Chain Upon Attainment of A Level

We consider the almost semi-continuous processes defined on a finite Markov chain. The representation of the moment generating functions for the absolute maximum after achievement positive level and for the recovery time are obtained. Modified processes with two-step rate of negative jumps are investigated.

math.PR↗

arXiv2009

Overshoot functionals for almost semi-continuous processes defined on a Markov chain

In the article the distributions of overjump functionals for almost semi-continuous processes on a finite irreducible Markov chain are considered.

math.PR↗

arXiv2009

Two-Limit Problems for Almost Semi-Continuous Processes Defined on a Markov Chain

We consider almost upper semi-continuous processes defined on a finite Markov chain. The distributions of the functionals associated with the exit from a finite interval are studied. We also consider some modification of these processes.

math.PR↗