Introductory lectures on fluctuations of Lévy processes with applications.

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

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zbMATH Keywords

infinite divisibilitysample path

Mathematics Subject Classification ID

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 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
• An axiomatic characterization of the Brownian map
• Martingales and rates of presence in homogeneous fragmentations
• 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

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