Introductory lectures on fluctuations of Lévy processes with applications.
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Publication:2500514
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- Evaluating Scale Functions of Spectrally Negative Lévy Processes
- 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
- 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
- Extremal theory for long range dependent infinitely divisible processes
- Conditioning subordinators embedded in Markov processes
- Precautionary measures for credit risk management in jump models
- Fractal-dimensional properties of subordinators
- Exit times, overshoot and undershoot for a surplus process in the presence of an upper barrier
- Optimal dividend problem with a terminal value for spectrally positive Lévy processes
- On future drawdowns of Lévy processes
- An axiomatic characterization of the Brownian map
- On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models
- \(\mathbb N\)-measure for continuous state branching processes and its application
- Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
- 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
- Backbone decomposition for continuous-state branching processes with immigration
- Refracted continuous-state branching processes: self-regulating populations
- Local Malliavin calculus for Lévy processes and applications
- On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models
- Bottleneck options
- Potentials of stable processes
- Asymmetric non-Gaussian effects in a tumor growth model with immunization
- An Application of the Backbone Decomposition to Supercritical Super-Brownian Motion with a Barrier
- Stochastic SIS epidemic model on network with Lévy noise
- Exact simulation of two-parameter Poisson-Dirichlet random variables
- The Omega-model with two bankruptcy rates
- Densities of ruin-related quantities in the Cramér-Lundberg model with Pareto claims
- From Markov processes to semimartingales
- Multivariate fractional phase-type distributions
- Exact boundaries in sequential testing for phase-type distributions
- Multiple yield curve modelling with CBI processes
- Asymptotic behavior of eigenvalues of variance-covariance matrix of a high-dimensional heavy-tailed Lévy process
- Exact simulation of Poisson-Dirichlet distribution and generalised gamma process
- Three classes of decomposable distributions
- Unifying the Dynkin and Lebesgue–Stieltjes formulae
- Small-time almost-sure behaviour of extremal processes
- Maximal moments and uniform modulus of continuity for stable random fields
- Williams decomposition for superprocesses
- \(n\)-dimensional Laplace transforms of occupation times for pre-exit diffusion processes
- Branching processes seen from their extinction time via path decompositions of reflected Lévy processes
- Discretization error for a two-sided reflected Lévy process
- First-passage time model driven by Lévy process for pricing CoCos
- Multilevel Monte Carlo for exponential Lévy models
- Numerical techniques in Lévy fluctuation theory
- Exponential ergodicity for general continuous-state nonlinear branching processes
- Estimating the input of a Lévy-driven queue by Poisson sampling of the workload process
- Multiple-relaxation-time lattice Boltzmann scheme for fractional advection-diffusion equation
- Valuing equity-linked death benefits with a threshold expense strategy
- Pricing insurance drawdown-type contracts with underlying Lévy assets
- On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes
- Brownian motion on stable looptrees
- Pricing and hedging of lookback options in hyper-exponential jump diffusion models
- Optimality of impulse control problem in refracted Lévy model with Parisian ruin and transaction costs
- Characterizing anomalous diffusion by studying displacements
- Turán inequalities and complete monotonicity for a class of entire functions
- Spectrally negative Lévy risk model under Erlangized barrier strategy
- Gravitation versus Brownian motion
- Spatial central limit theorem for supercritical superprocesses
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