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
- Uniform boundary Harnack principle for rotationally symmetric Lévy processes in general open sets
- Queues with Lévy input and hysteretic control
- Predicting the ultimate supremum of a stable Lévy process with no negative jumps
- Mittag-Leffler functions and stable Lévy processes without negative jumps
- Some explicit identities associated with positive self-similar Markov processes
- Analysis of stochastic fluid queues driven by local-time processes
- On entire moments of self-similar Markov processes
- Asymptotic stability in the \(p\)th moment for stochastic differential equations with Lévy noise
- First passage of time-reversible spectrally negative Markov additive processes
- Estimation of model parameters of dependent processes constructed using Lévy copulas
- Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias
- Occupation times of refracted Lévy processes
- Optimal stopping problems for some Markov processes
- Irreversible investment under Lévy uncertainty: an equation for the optimal boundary
- The distribution of tax payments in a Lévy insurance risk model with a surplus-dependent taxation structure
- On suprema of Lévy processes and application in risk theory
- An optimal stopping problem for fragmentation processes
- On Wiener-Hopf factors for stable processes
- The law of the supremum of a stable Lévy process with no negative jumps
- Bounds on exponential moments of hitting times for reflected processes on the positive orthant
- Refracted Lévy processes
- Asymptotic analysis of Lévy-driven tandem queues
- Variational solutions of the pricing PIDEs for European options in Lévy models
- A Lévy Insurance Risk Process with Tax
- On the tail asymptotics of the area swept under the Brownian storage graph
- On the threshold dividend strategy for a generalized jump-diffusion risk model
- A remarkable \(\sigma\)-finite measure unifying supremum penalisations for a stable Lévy process
- Optimal stopping, Appell polynomials, and Wiener-Hopf factorization
- Lévy-Khintchine random matrices and the Poisson weighted infinite skeleton tree
- On the small-time behavior of subordinators
- Transient analysis of Lévy-driven tandem queues
- Transient analysis of reflected Lévy processes
- Lévy processes and their applications in reliability and storage
- An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density
- Marginal queue length approximations for a two-layered network with correlated queues
- First Passage of a Markov Additive Process and Generalized Jordan Chains
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