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)
- 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
- Fluctuation identities for omega-killed spectrally negative Markov additive processes and dividend problem
- Optimal multiple stopping with negative discount rate and random refraction times under Lévy models
- Stable laws for chaotic billiards with cusps at flat points
- Two-sided optimal stopping for Lévy processes
- The optimal stopping problem concerned with ultimate maximum of a Lévy process
- Optimal stopping for Lévy processes with one-sided solutions
- Cramér's estimate for the reflected process revisited
- The first passage time problem for mixed-exponential jump processes with applications in insurance and finance
- Malliavin Calculus for Stochastic Processes and Random Measures with Independent Increments
- Windings of planar stable processes
- Lévy processes, phase-type distributions, and martingales
- Distributional divergence, statistical experiments and consequences in option pricing
- Two-side exit problems for taxed Lévy risk process involving the general draw-down time
- General draw-down times for refracted spectrally negative Lévy processes
- Analysis of a drawdown-based regime-switching Lévy insurance model
- Mean exit time and escape probability for a tumor growth system under non-Gaussian noise
- Conditional limit theorems for critical continuous-state branching processes
- Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation
- Optimal exchange rates management using stochastic impulse control for geometric Lévy processes
- American options under periodic exercise opportunities
- Impulse control and expected suprema
- Splitting and time reversal for Markov additive processes
- One-sided FKPP travelling waves for homogeneous fragmentation processes
- An effective method for the explicit solution of sequential problems on the real line
- Asian options under one-sided Lévy models
- On the supremum of the spectrally negative stable process with drift
- Gerber-Shiu functionals for classical risk processes perturbed by an \(\alpha\)-stable motion
- On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk theory
- Reserve-dependent surrender rates
- Functional limit theorems for processes pieced together from excursions
- Asymptotic results for heavy-tailed Lévy processes and their exponential functionals
- Optimal cash management using impulse control
- Complete discounted cash flow valuation
- Predicting the time at which a Lévy process attains its ultimate supremum
- Survival of homogeneous fragmentation processes with killing
- Lévy processes with marked jumps. I: Limit theorems
- Hedging jump risk, expected returns and risk premia in jump-diffusion economies
- Moments of discounted dividend payments in a risk model with randomized dividend-decision times
- Computing Greeks for Lévy Models: The Fourier Transform Approach
- Quasi-stationary workload in a Lévy-driven storage system
- Parisian ruin in the dual model with applications to the \(G/M/1\) queue
- Universality of random energy model-like ageing in mean field spin glasses
- The distribution of refracted Lévy processes with jumps having rational Laplace transforms
- An approach for solving perpetual optimal stopping problems driven by Lévy processes
- The time of deducting fees for variable annuities under the state-dependent fee structure
- Subordinated Brownian motion: last time the process reaches its supremum
- Two continua of embedded regenerative sets
- 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
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