Introductory lectures on fluctuations of Lévy processes with applications.
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- Alternative approach to the optimality of the threshold strategy for spectrally negative Lévy processes
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- The dual risk model with dividends taken at arrival
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- Speed of convergence to the quasi-stationary distribution for Lévy input fluid queues
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- Conditional limit theorems for critical continuous-state branching processes
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- General draw-down times for refracted spectrally negative Lévy processes
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- Impulse control and expected suprema
- Lévy processes, phase-type distributions, and martingales
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- Hedging jump risk, expected returns and risk premia in jump-diffusion economies
- Splitting and time reversal for Markov additive processes
- Determination of the Lévy exponent in asset pricing models
- Evaluating Scale Functions of Spectrally Negative Lévy Processes
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- Convergence of the all-time supremum of a Lévy process in the heavy-traffic regime
- Local extinction in continuous-state branching processes with immigration
- Two coupled Lévy queues with independent input
- A bivariate risk model with mutual deficit coverage
- Geometric stopping of a random walk and its applications to valuing equity-linked death benefits
- On the maximal offspring in a critical branching process with infinite variance
- Lowest priority waiting time distribution in an accumulating priority Lévy queue
- The extended hypergeometric class of Lévy processes
- Stability of the exit time for Lévy processes
- On optimality of the barrier strategy for a general Lévy risk process
- The forest associated with the record process on a Lévy tree
- Optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes: an alternative approach
- A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes
- A Lévy input fluid queue with input and workload regulation
- Asymptotic behavior of the hitting time, overshoot and undershoot for some Lévy processes
- Local Time Asymptotics for Centered Lévy Processes with Two-Sided Reflection
- Fractional Lévy processes as a result of compact interval integral transformation
- Markov chain approximations to scale functions of Lévy processes
- On exponential functionals of Lévy processes
- Contraction options and optimal multiple-stopping in spectrally negative Lévy models
- Time-dependent properties of symmetric queues
- On the bail-out optimal dividend problem
- Limit theorem for derivative martingale at criticality w.r.t. branching Brownian motion
- On the optimal dividend strategy in a regime-switching diffusion model
- Phase-type Fitting of scale functions for spectrally negative Lévy processes
- Convexity and smoothness of scale functions and de Finetti's control problem
- On pre-exit joint occupation times for spectrally negative Lévy processes
- The geometry of random minimal factorizations of a long cycle via biconditioned bitype random trees
- scientific article; zbMATH DE number 7631857 (Why is no real title available?)
- Games of singular control and stopping driven by spectrally one-sided Lévy processes
- Limit theorems for multifractal products of geometric stationary processes
- Martingales and rates of presence in homogeneous fragmentations
- Simulation of infinitely divisible random fields
- On the hitting times of continuous-state branching processes with immigration
- Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes
- Exact tail asymptotics of the supremum attained by a Lévy process
- Parisian ruin with Erlang delay and a lower bankruptcy barrier
- Rough volatility and CGMY jumps with a finite history and the rough Heston model -- small-time asymptotics in the \(k\sqrt{t}\) regime
- Spectral analysis of stable processes on the positive half-line
- Bayesian semiparametric analysis of short- and long-term hazard ratios with covariates
- Option pricing in a one-dimensional affine term structure model via spectral representations
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