Erik J. Baurdoux

Available identifiers

zbMath Open baurdoux.erik-janMaRDI QIDQ303565

List of research outcomes

Publication	Date of Publication	Type
\(L^p\) optimal prediction of the last zero of a spectrally negative Lévy process	2024-04-10	Paper
Predicting the last zero before an exponential time of a spectrally negative Lévy process	2023-05-05	Paper
Predicting the last zero of a spectrally negative Lévy process	2021-07-22	Paper
On the last zero process with applications in corporate bankruptcy	2020-03-15	Paper
On future drawdowns of Lévy processes	2017-06-30	Paper
Optimal prediction for positive self-similar Markov processes	2016-08-22	Paper
Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes	2016-08-11	Paper
Optimal double stopping of a Brownian bridge	2016-02-12	Paper
Optimality of doubly reflected Lévy processes in singular control	2015-06-11	Paper
Predicting the time at which a Lévy process attains its ultimate supremum	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	2011-06-15	Paper
Further Calculations for the McKean Stochastic Game for a Spectrally Negative Lévy Process: From a Point to an Interval	2011-04-05	Paper
The Shepp–Shiryaev Stochastic Game Driven by a Spectrally Negative Lévy Process	2010-04-26	Paper
The McKean stochastic game driven by a spectrally negative Lévy process	2009-11-20	Paper
https://portal.mardi4nfdi.de/entity/Q3397638	2009-09-22	Paper
Last Exit Before an Exponential Time for Spectrally Negative Lévy Processes	2009-07-15	Paper
https://portal.mardi4nfdi.de/entity/Q5758068	2007-09-10	Paper
Examples of optimal stopping via measure transformation for processes with one-sided jumps	2007-03-30	Paper
Further calculations for Israeli options	2005-03-21	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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