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)
- De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process
- Liouville quantum gravity and the Brownian map. I: The \(\text{QLE}(8/3,0)\) metric
- Occupation times of general Lévy processes
- A risk model with varying premiums: its risk management implications
- Optimality of excess-loss reinsurance under a mean-variance criterion
- Optimality of Two-Parameter Strategies in Stochastic Control
- A drawdown reflected spectrally negative Lévy process
- Generalized expected discounted penalty function at general drawdown for Lévy risk processes
- Hitting distributions of \(\alpha\)-stable processes via path censoring and self-similarity
- Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes
- Heavy-traffic limits for an infinite-server fork-join queueing system with dependent and disruptive services
- Ray-Knight representation of flows of branching processes with competition by pruning of Lévy trees
- Spectrally negative Lévy processes perturbed by functionals of their running supremum
- Equilibrium equity price with optimal dividend policy
- Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method
- On the First Passage Time Under Regime-Switching with Jumps
- Ruin probabilities in classical risk models with gamma claims
- A Ciesielski-Taylor type identity for positive self-similar Markov processes
- Time-changed extremal process as a random sup measure
- On the windings of complex-valued Ornstein-Uhlenbeck processes driven by a Brownian motion and by a stable process
- Spectral decomposition of fractional operators and a reflected stable semigroup
- Clustering of financial instruments using jump tail dependence coefficient
- Limit theorems for Smoluchowski dynamics associated with critical continuous-state branching processes
- Hedging of defaultable claims in a structural model using a locally risk-minimizing approach
- On an explicit Skorokhod embedding for spectrally negative Lévy processes
- Zooming in on a Lévy process at its supremum
- Malliavin calculus for subordinated Lévy process
- Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations
- Transient analysis of a stationary Lévy-driven queue
- Optimal investment strategy and liability ratio for insurer with Lévy risk process
- Variance optimal stopping for geometric Lévy processes
- On two classes of reflected autoregressive processes
- ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS
- Occupation times of hyper-exponential jump diffusion processes with application to price step options
- On a risk model with claim investigation
- Exit times for an increasing Lévy tree-valued process
- A continuous-state polynomial branching process
- A general continuous-state nonlinear branching process
- Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory
- Optimal control and dependence modeling of insurance portfolios with Lévy dynamics
- Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk
- Optimal investment, consumption and timing of annuity purchase under a preference change
- Exit identities for diffusion processes observed at Poisson arrival times
- Useful martingales for stochastic storage processes with Lévy-type input
- Tail asymptotics for exponential functionals of Lévy processes: the convolution equivalent case
- Extinction time and the total mass of the continuous-state branching processes with competition
- General drawdown-based de Finetti optimization for spectrally negative Lévy risk processes
- Last Exit Before an Exponential Time for Spectrally Negative Lévy Processes
- The optimal dividend barrier in the perturbed compound Poisson risk model with randomized observation time
- On a perturbed compound Poisson model with varying premium rates
- On the joint distribution of tax payments and capitalinjections for a Lévy risk model
- Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance
- Fluctuation theory and exit systems for positive self-similar Markov processes
- On optimal periodic dividend strategies for Lévy risk processes
- On the optimality of periodic barrier strategies for a spectrally positive Lévy process
- On the refracted-reflected spectrally negative Lévy processes
- Fair valuation of Lévy-type drawdown-drawup contracts with general insured and penalty functions
- Parisian excursion below a fixed level from the last record maximum of Lévy insurance risk process
- Parisian ruin with a threshold dividend strategy under the dual Lévy risk model
- Optimal dividends and capital injections for a spectrally positive Lévy process
- Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes
- Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process
- Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs
- Optimality of multi-refraction control strategies in the dual model
- Uniform control of local times of spectrally positive stable processes
- An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting
- 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
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