Introductory lectures on fluctuations of Lévy processes with applications.
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Publication:2500514
DOI10.1007/978-3-540-31343-4zbMATH Open1104.60001OpenAlexW356737467MaRDI QIDQ2500514FDOQ2500514
Authors: A. E. Kyprianou 
Publication date: 17 August 2006
Published in: Universitext (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-540-31343-4
Recommendations
Processes with independent increments; Lévy processes (60G51) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Sums of independent random variables; random walks (60G50) Stable stochastic processes (60G52)
Cited In (only showing first 100 items - show all)
- Extreme order statistics of random walks
- Some remarks on special subordinators
- Occupation times for Markov-modulated Brownian motion
- From the second law of thermodynamics to AC-conductivity measures of interacting fermions in disordered media
- Beating the omega clock: an optimal stopping problem with random time-horizon under spectrally negative Lévy models
- Alternative approach to the optimality of the threshold strategy for spectrally negative Lévy processes
- The dual risk model with dividends taken at arrival
- Speed of convergence to the quasi-stationary distribution for Lévy input fluid queues
- On Lévy-driven vacation models with correlated busy periods and service interruptions
- Fluctuation identities for omega-killed spectrally negative Markov additive processes and dividend problem
- Optimal multiple stopping with negative discount rate and random refraction times under Lévy models
- Stable laws for chaotic billiards with cusps at flat points
- Two-sided optimal stopping for Lévy processes
- The optimal stopping problem concerned with ultimate maximum of a Lévy process
- Optimal stopping for Lévy processes with one-sided solutions
- Cramér's estimate for the reflected process revisited
- The first passage time problem for mixed-exponential jump processes with applications in insurance and finance
- Malliavin Calculus for Stochastic Processes and Random Measures with Independent Increments
- Windings of planar stable processes
- Lévy processes, phase-type distributions, and martingales
- Distributional divergence, statistical experiments and consequences in option pricing
- Two-side exit problems for taxed Lévy risk process involving the general draw-down time
- General draw-down times for refracted spectrally negative Lévy processes
- Analysis of a drawdown-based regime-switching Lévy insurance model
- Mean exit time and escape probability for a tumor growth system under non-Gaussian noise
- Conditional limit theorems for critical continuous-state branching processes
- Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation
- Optimal exchange rates management using stochastic impulse control for geometric Lévy processes
- American options under periodic exercise opportunities
- Impulse control and expected suprema
- Splitting and time reversal for Markov additive processes
- One-sided FKPP travelling waves for homogeneous fragmentation processes
- An effective method for the explicit solution of sequential problems on the real line
- Asian options under one-sided Lévy models
- On the supremum of the spectrally negative stable process with drift
- Gerber-Shiu functionals for classical risk processes perturbed by an \(\alpha\)-stable motion
- On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk theory
- Reserve-dependent surrender rates
- Functional limit theorems for processes pieced together from excursions
- Asymptotic results for heavy-tailed Lévy processes and their exponential functionals
- Optimal cash management using impulse control
- Complete discounted cash flow valuation
- Predicting the time at which a Lévy process attains its ultimate supremum
- Survival of homogeneous fragmentation processes with killing
- Lévy processes with marked jumps. I: Limit theorems
- Hedging jump risk, expected returns and risk premia in jump-diffusion economies
- Moments of discounted dividend payments in a risk model with randomized dividend-decision times
- Computing Greeks for Lévy Models: The Fourier Transform Approach
- Quasi-stationary workload in a Lévy-driven storage system
- Parisian ruin in the dual model with applications to the \(G/M/1\) queue
- Universality of random energy model-like ageing in mean field spin glasses
- The distribution of refracted Lévy processes with jumps having rational Laplace transforms
- An approach for solving perpetual optimal stopping problems driven by Lévy processes
- The time of deducting fees for variable annuities under the state-dependent fee structure
- Subordinated Brownian motion: last time the process reaches its supremum
- Two continua of embedded regenerative sets
- On the threshold dividend strategy for a generalized jump-diffusion risk model
- A refined factorization of the exponential law
- Boundary Harnack principle for subordinate Brownian motions
- Lévy processes and their applications in reliability and storage
- The convex minorant of a Lévy process
- Old and new examples of scale functions for spectrally negative Lévy processes
- On entire moments of self-similar Markov processes
- Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process
- Asymptotic analysis of Lévy-driven tandem queues
- A remarkable \(\sigma\)-finite measure unifying supremum penalisations for a stable Lévy process
- Heavy tails of a Lévy process and its maximum over a random time interval
- Computing the finite-time expected discounted penalty function for a family of Lévy risk processes
- On the tail asymptotics of the area swept under the Brownian storage graph
- Transient analysis of reflected Lévy processes
- Transient analysis of Lévy-driven tandem queues
- On Lévy processes conditioned to avoid zero
- A note on first passage probabilities of a Lévy process reflected at a general barrier
- A spectral element framework for option pricing under general exponential Lévy processes
- An optimal stopping problem for fragmentation processes
- Bounds on exponential moments of hitting times for reflected processes on the positive orthant
- On the boundary behavior of multi-type continuous-state branching processes with immigration
- Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias
- Irreversible investment under Lévy uncertainty: an equation for the optimal boundary
- Estimation of model parameters of dependent processes constructed using Lévy copulas
- Optimal stopping problems for some Markov processes
- Super-Brownian Motion: L p -Convergence of Martingales Through the Pathwise Spine Decomposition
- On the small-time behavior of subordinators
- Small value probabilities for continuous state branching processes with immigration
- An equilibrium model for spot and forward prices of commodities
- Predicting the ultimate supremum of a stable Lévy process with no negative jumps
- Mittag-Leffler functions and stable Lévy processes without negative jumps
- Optimal Stopping for Processes with Independent Increments, and Applications
- Some explicit identities associated with positive self-similar Markov processes
- Lévy-Khintchine random matrices and the Poisson weighted infinite skeleton tree
- On the infimum attained by a reflected Lévy process
- A note on scale functions and the time value of ruin for Lévy insurance risk processes
- Smoothness of scale functions for spectrally negative Lévy processes
- On the exponential process associated with a CARMA-type process
- A note on Wiener-Hopf factorization for Markov additive processes
- Recent results in the theory and applications of CARMA processes
- Central limit theorems for super Ornstein-Uhlenbeck processes
- Ratchet consumption over finite and infinite planning horizons
- First passage of time-reversible spectrally negative Markov additive processes
- On the Wiener-Hopf factorization for Lévy processes with bounded positive jumps
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