Using differential equations to obtain joint moments of first-passage times of increasing Lévy processes
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- Meerschaert, Mark M. & Scheffler, Hans-Peter, 2006. "Stochastic model for ultraslow diffusion," Stochastic Processes and their Applications, Elsevier, vol. 116(9), pages 1215-1235, September.
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Cited by:
- Chi, Zhiyi, 2016. "On exact sampling of the first passage event of a Lévy process with infinite Lévy measure and bounded variation," Stochastic Processes and their Applications, Elsevier, vol. 126(4), pages 1124-1144.
- Ascione, Giacomo & Leonenko, Nikolai & Pirozzi, Enrica, 2020. "Fractional Erlang queues," Stochastic Processes and their Applications, Elsevier, vol. 130(6), pages 3249-3276.
- Shantanu Awasthi & Indranil SenGupta, 2020. "First exit-time analysis for an approximate Barndorff-Nielsen and Shephard model with stationary self-decomposable variance process," Papers 2006.07167, arXiv.org, revised Jan 2021.
- Choe, Geon Ho & Lee, Dong Min, 2016. "Numerical computation of hitting time distributions of increasing Lévy processes," Statistics & Probability Letters, Elsevier, vol. 119(C), pages 289-294.
- Foucart, Clément & Möhle, Martin, 2022. "Asymptotic behaviour of ancestral lineages in subcritical continuous-state branching populations," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 510-531.
- K. K. Kataria & M. Khandakar, 2021. "On the Long-Range Dependence of Mixed Fractional Poisson Process," Journal of Theoretical Probability, Springer, vol. 34(3), pages 1607-1622, September.
- Meerschaert, Mark M. & Nane, Erkan & Xiao, Yimin, 2013. "Fractal dimension results for continuous time random walks," Statistics & Probability Letters, Elsevier, vol. 83(4), pages 1083-1093.
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