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)
- On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models
- Asymmetric non-Gaussian effects in a tumor growth model with immunization
- Fractal-dimensional properties of subordinators
- Optimal dividend problem with a terminal value for spectrally positive Lévy processes
- On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models
- Fractional Lévy processes as a result of compact interval integral transformation
- Simulation of infinitely divisible random fields
- Extremal theory for long range dependent infinitely divisible processes
- Potentials of stable processes
- Determination of the Lévy exponent in asset pricing models
- On the maximal offspring in a critical branching process with infinite variance
- Bayesian semiparametric analysis of short- and long-term hazard ratios with covariates
- Spectral analysis of stable processes on the positive half-line
- Bottleneck options
- Convexity and smoothness of scale functions and de Finetti's control problem
- Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications
- Convergence of the all-time supremum of a Lévy process in the heavy-traffic regime
- The geometry of random minimal factorizations of a long cycle via biconditioned bitype random trees
- Stability of the exit time for Lévy processes
- Local Malliavin calculus for Lévy processes and applications
- The extended hypergeometric class of Lévy processes
- Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes
- On the optimal dividend strategy in a regime-switching diffusion model
- Limit theorems for multifractal products of geometric stationary processes
- On the exponential process associated with a CARMA-type process
- An axiomatic characterization of the Brownian map
- Martingales and rates of presence in homogeneous fragmentations
- Multivariate COGARCH(1, 1) processes
- Precautionary measures for credit risk management in jump models
- Evaluating Scale Functions of Spectrally Negative Lévy Processes
- Local extinction in continuous-state branching processes with immigration
- Time-dependent properties of symmetric queues
- Limit theorem for derivative martingale at criticality w.r.t. branching Brownian motion
- On a generalization of the expected discounted penalty function to include deficits at and beyond ruin
- On a perturbed Sparre Andersen risk model with dividend barrier and dependence
- Two coupled Lévy queues with independent input
- Exact tail asymptotics of the supremum attained by a Lévy process
- A bivariate risk model with mutual deficit coverage
- Geometric stopping of a random walk and its applications to valuing equity-linked death benefits
- Phase-type Fitting of scale functions for spectrally negative Lévy processes
- On pre-exit joint occupation times for spectrally negative Lévy processes
- Games of singular control and stopping driven by spectrally one-sided Lévy processes
- Lowest priority waiting time distribution in an accumulating priority Lévy queue
- The forest associated with the record process on a Lévy tree
- Local Time Asymptotics for Centered Lévy Processes with Two-Sided Reflection
- A Lévy input fluid queue with input and workload regulation
- Option pricing in a one-dimensional affine term structure model via spectral representations
- On optimality of the barrier strategy for a general Lévy risk process
- Optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes: an alternative approach
- Title not available (Why is that?)
- \(\mathbb N\)-measure for continuous state branching processes and its application
- Refracted continuous-state branching processes: self-regulating populations
- On the hitting times of continuous-state branching processes with immigration
- Conditioning subordinators embedded in Markov processes
- Exit times, overshoot and undershoot for a surplus process in the presence of an upper barrier
- A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes
- 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
- On the bail-out optimal dividend problem
- Rough volatility and CGMY jumps with a finite history and the rough Heston model -- small-time asymptotics in the \(k\sqrt{t}\) regime
- Asymptotic behavior of the hitting time, overshoot and undershoot for some Lévy processes
- Parisian ruin with Erlang delay and a lower bankruptcy barrier
- On future drawdowns of Lévy processes
- Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
- Parisian ruin probability with a lower ultimate bankrupt barrier
- On the Parisian ruin of the dual Lévy risk model
- The likelihood of mixed hitting times
- Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
- On the stochastic heat equation with spatially-colored random forcing
- Branching Brownian motion in a strip: survival near criticality
- On the one dimensional spectral heat content for stable processes
- Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type
- Optimal stopping problems for the maximum process with upper and lower caps
- Novel scaling limits for critical inhomogeneous random graphs
- Supercritical super-Brownian motion with a general branching mechanism and travelling waves
- Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
- An insurance risk model with Parisian implementation delays
- Functional central limit theorem for heavy tailed stationary infinitely divisible processes generated by conservative flows
- The prolific backbone for supercritical superprocesses
- De Finetti's optimal dividends problem with an affine penalty function at ruin
- On a generalization of the Gerber-Shiu function to path-dependent penalties
- Stein's method and normal approximation of Poisson functionals
- A Comparative Study of Risk Measures for Guaranteed Minimum Maturity Benefits by a PDE Method
- Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process
- Occupation densities in solving exit problems for Markov additive processes and their reflections
- Finite-time survival probability and credit default swaps pricing under geometric Lévy markets
- On the optimal dividend problem for a spectrally negative Lévy process
- On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
- Traveling waves and homogeneous fragmentation
- The Markov additive risk process under an Erlangized dividend barrier strategy
- Lévy-driven polling systems and continuous-state branching processes
- The first passage event for sums of dependent Lévy processes with applications to insurance risk
- Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes
- Sample path behavior of a Lévy insurance risk process approaching ruin, under the Cramér-Lundberg and convolution equivalent conditions
- Fluctuations of Lévy processes with applications. Introductory lectures
- On optimal periodic dividend strategies in the dual model with diffusion
- Convolution equivalent Lévy processes and first passage times
- On the law of the supremum of Lévy processes
- Meromorphic Lévy processes and their fluctuation identities
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