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
- On the threshold dividend strategy for a generalized jump-diffusion risk model
- A refined factorization of the exponential law
- Boundary Harnack principle for subordinate Brownian motions
- Lévy processes and their applications in reliability and storage
- The convex minorant of a Lévy process
- Old and new examples of scale functions for spectrally negative Lévy processes
- On entire moments of self-similar Markov processes
- Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process
- Asymptotic analysis of Lévy-driven tandem queues
- A remarkable \(\sigma\)-finite measure unifying supremum penalisations for a stable Lévy process
- Heavy tails of a Lévy process and its maximum over a random time interval
- Computing the finite-time expected discounted penalty function for a family of Lévy risk processes
- On the tail asymptotics of the area swept under the Brownian storage graph
- Transient analysis of reflected Lévy processes
- Transient analysis of Lévy-driven tandem queues
- On Lévy processes conditioned to avoid zero
- A note on first passage probabilities of a Lévy process reflected at a general barrier
- A spectral element framework for option pricing under general exponential Lévy processes
- An optimal stopping problem for fragmentation processes
- Bounds on exponential moments of hitting times for reflected processes on the positive orthant
- On the boundary behavior of multi-type continuous-state branching processes with immigration
- Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias
- Irreversible investment under Lévy uncertainty: an equation for the optimal boundary
- Estimation of model parameters of dependent processes constructed using Lévy copulas
- Optimal stopping problems for some Markov processes
- Super-Brownian Motion: L p -Convergence of Martingales Through the Pathwise Spine Decomposition
- On the small-time behavior of subordinators
- Small value probabilities for continuous state branching processes with immigration
- An equilibrium model for spot and forward prices of commodities
- Predicting the ultimate supremum of a stable Lévy process with no negative jumps
- Mittag-Leffler functions and stable Lévy processes without negative jumps
- Optimal Stopping for Processes with Independent Increments, and Applications
- Some explicit identities associated with positive self-similar Markov processes
- Lévy-Khintchine random matrices and the Poisson weighted infinite skeleton tree
- On the infimum attained by a reflected Lévy process
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