| Publication | Date of Publication | Type |
|---|
\(L^p\) optimal prediction of the last zero of a spectrally negative Lévy process
The Annals of Applied Probability | 2024-04-10 | Paper |
Predicting the last zero before an exponential time of a spectrally negative Lévy process
Advances in Applied Probability | 2023-05-05 | Paper |
Predicting the last zero before an exponential time of a spectrally negative Lévy process
Advances in Applied Probability | 2023-05-05 | Paper |
Predicting the last zero of a spectrally negative Lévy process
(available as arXiv preprint) | 2021-07-22 | Paper |
| On the last zero process with applications in corporate bankruptcy | 2020-03-15 | Paper |
On future drawdowns of Lévy processes
Stochastic Processes and their Applications | 2017-06-30 | Paper |
On future drawdowns of Lévy processes
Stochastic Processes and their Applications | 2017-06-30 | Paper |
Optimal prediction for positive self-similar Markov processes
Electronic Journal of Probability | 2016-08-22 | Paper |
Optimal prediction for positive self-similar Markov processes
Electronic Journal of Probability | 2016-08-22 | Paper |
Gerber-Shiu distribution at Parisian ruin for Lévy insurance risk processes
Journal of Applied Probability | 2016-08-11 | Paper |
Optimal double stopping of a Brownian bridge
Advances in Applied Probability | 2016-02-12 | Paper |
Optimal double stopping of a Brownian bridge
Advances in Applied Probability | 2016-02-12 | Paper |
Optimal double stopping of a Brownian bridge
Advances in Applied Probability | 2016-02-12 | Paper |
Optimality of doubly reflected Lévy processes in singular control
Stochastic Processes and their Applications | 2015-06-11 | Paper |
Predicting the time at which a Lévy process attains its ultimate supremum
Acta Applicandae Mathematicae | 2015-02-17 | Paper |
| Gerber-Shiu functionals at Parisian ruin for L\'evy insurance risk processes | 2014-07-25 | Paper |
| A direct method for solving optimal stopping problems for L\'evy processes | 2013-03-14 | Paper |
The Gapeev-Kühn stochastic game driven by a spectrally positive Lévy process
Stochastic Processes and their Applications | 2011-06-15 | Paper |
Further calculations for the McKean stochastic game for a spectrally negative Lévi process: from a point to an interval
Journal of Applied Probability | 2011-04-05 | Paper |
The Shepp-Shiryaev stochastic game driven by a spectrally negative Lévy process
Theory of Probability & Its Applications | 2010-04-26 | Paper |
The McKean stochastic game driven by a spectrally negative Lévy process
Electronic Journal of Probability | 2009-11-20 | Paper |
The McKean stochastic game driven by a spectrally negative Lévy process
Electronic Journal of Probability | 2009-11-20 | Paper |
| Some excursion calculations for reflected Lévy processes | 2009-09-22 | Paper |
Last Exit Before an Exponential Time for Spectrally Negative Lévy Processes
Journal of Applied Probability | 2009-07-15 | Paper |
| Fluctuation theory and stochastic games for spectrally negative Lévy processes. | 2007-09-10 | Paper |
Examples of optimal stopping via measure transformation for processes with one-sided jumps
Stochastics | 2007-03-30 | Paper |
Further calculations for Israeli options
Stochastics and Stochastic Reports | 2005-03-21 | Paper |
