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)
- 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
- Path decomposition of ruinous behavior for a general Lévy insurance risk process
- Asymptotic results for time-changed Lévy processes sampled at hitting times
- Optimal dividends and capital injections in the dual model with a random time horizon
- Two-sided reflection of Markov-modulated Brownian motion
- Parisian ruin probability for spectrally negative Lévy processes
- On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function
- Nonparametric inference for discretely sampled Lévy processes
- On a generalization from ruin to default in a Lévy insurance risk model
- Occupation times of intervals until first passage times for spectrally negative Lévy processes
- Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view
- Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits
- On the drawdown of completely asymmetric Lévy processes
- Wiener-Hopf factorization for a family of Lévy processes related to theta functions
- The Gapeev-Kühn stochastic game driven by a spectrally positive Lévy process
- An optimal dividends problem with transaction costs for spectrally negative Lévy processes
- Occupation times of spectrally negative Lévy processes with applications
- On exit time of stable processes
- On a generalized Gerber-Shiu function in a compound Poisson model perturbed by diffusion
- Importance sampling approximations to various probabilities of ruin of spectrally negative Lévy risk processes
- On joint ruin probability for a bidimensional Lévy-driven risk model with stochastic returns and heavy-tailed claims
- Exit identities for Lévy processes observed at Poisson arrival times
- Power identities for Lévy risk models under taxation and capital injections
- Asymptotic behaviour of first passage time distributions for Lévy processes
- A Wiener-Hopf Monte Carlo simulation technique for Lévy processes
- Ruin probability with Parisian delay for a spectrally negative Lévy risk process
- The expected discounted penalty function under a risk model with stochastic income
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
- Asymptotic ruin probabilities for a bivariate Lévy-driven risk model with heavy-tailed claims and risky investments
- Lévy systems and the time value of ruin for Markov additive processes
- Splitting trees with neutral mutations at birth
- Dividend problem with Parisian delay for a spectrally negative Lévy risk process
- Optimal dividends in the dual model under transaction costs
- On the duality principle in option pricing: semimartingale setting
- Singularities of the matrix exponent of a Markov additive process with one-sided jumps
- A multiple-curve HJM model of interbank risk
- A capped optimal stopping problem for the maximum process
- Title not available (Why is that?)
- Lévy processes with two-sided reflection
- Fluctuations of stable processes and exponential functionals of hypergeometric Lévy processes
- Small and large time stability of the time taken for a Lévy process to cross curved boundaries
- Lévy risk model with two-sided jumps and a barrier dividend strategy
- Valuing equity-linked death benefits in jump diffusion models
- The first passage time problem over a moving boundary for asymptotically stable Lévy processes
- Multifractality of products of geometric Ornstein-Uhlenbeck-type processes
- On capital allocation for a risk measure derived from ruin theory
- On a risk model with randomized dividend-decision times
- Potential measures for spectrally negative Markov additive processes with applications in ruin theory
- General tax structures and the Lévy insurance risk model
- On Prolific Individuals in a Supercritical Continuous-State Branching Process
- Population Dynamics and Random Genealogies
- Splitting Trees Stopped when the First Clock Rings and Vervaat's Transformation
- Valuing equity-linked death benefits and other contingent options: a discounted density approach
- A Markov additive risk process with a dividend barrier
- Title not available (Why is that?)
- The reconstructed tree in the lineage-based model of protracted speciation
- Some properties of Prabhakar-type fractional calculus operators
- Extreme order statistics of random walks
- Some remarks on special subordinators
- Occupation times for Markov-modulated Brownian motion
- From the second law of thermodynamics to AC-conductivity measures of interacting fermions in disordered media
- Beating the omega clock: an optimal stopping problem with random time-horizon under spectrally negative Lévy models
- Alternative approach to the optimality of the threshold strategy for spectrally negative Lévy processes
- The dual risk model with dividends taken at arrival
- Speed of convergence to the quasi-stationary distribution for Lévy input fluid queues
- On Lévy-driven vacation models with correlated busy periods and service interruptions
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