Introductory lectures on fluctuations of Lévy processes with applications.
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Publication:2500514
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- A spectral element framework for option pricing under general exponential Lévy processes
- 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
- Spatial central limit theorem for supercritical superprocesses
- Stein's method and normal approximation of Poisson functionals
- An optimal stopping problem for fragmentation processes
- Bounds on exponential moments of hitting times for reflected processes on the positive orthant
- A note on Lévy subordinators in cones of fuzzy sets in Banach spaces
- A note on first passage probabilities of a Lévy process reflected at a general barrier
- Convexity and smoothness of scale functions and de Finetti's control problem
- Censored stable subordinators and fractional derivatives
- Occupation densities in solving exit problems for Markov additive processes and their reflections
- On Lévy processes conditioned to avoid zero
- Spectrally negative Lévy processes perturbed by functionals of their running supremum
- A note on speed of convergence to the quasi-stationary distribution
- Equilibrium equity price with optimal dividend policy
- Fluctuation identities for omega-killed spectrally negative Markov additive processes and dividend problem
- Bridges with random length: gamma case
- The Omega-model with two bankruptcy rates
- Characterizing anomalous diffusion by studying displacements
- A Comparative Study of Risk Measures for Guaranteed Minimum Maturity Benefits by a PDE Method
- Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias
- On the boundary behavior of multi-type continuous-state branching processes with immigration
- Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method
- Intensity process for a pure jump Lévy structural model with incomplete information
- Stable laws for chaotic billiards with cusps at flat points
- Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process
- A dual risk model with additive and proportional gains: ruin probability and dividends
- Two-sided optimal stopping for Lévy processes
- Williams decomposition for superprocesses
- On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
- Optimal multiple stopping with negative discount rate and random refraction times under Lévy models
- Irreversible investment under Lévy uncertainty: an equation for the optimal boundary
- The optimal stopping problem concerned with ultimate maximum of a Lévy process
- Optimal stopping for Lévy processes with one-sided solutions
- Finite-time survival probability and credit default swaps pricing under geometric Lévy markets
- On the optimal dividend problem for a spectrally negative Lévy process
- Traveling waves and homogeneous fragmentation
- Cramér's estimate for the reflected process revisited
- Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon
- The Markov additive risk process under an Erlangized dividend barrier strategy
- Cramér–Lundberg asymptotics for spectrally positive Markov additive processes
- Efficient valuation of variable annuities under regime-switching jump diffusion models with surrender risk and mortality risk
- Deep neural networks for probability of default modelling
- Optimal stopping problems for some Markov processes
- The first passage time problem for mixed-exponential jump processes with applications in insurance and finance
- Sample path behavior of a Lévy insurance risk process approaching ruin, under the Cramér-Lundberg and convolution equivalent conditions
- The first passage event for sums of dependent Lévy processes with applications to insurance risk
- Convolution equivalent Lévy processes and first passage times
- On the law of the supremum of Lévy processes
- A Ciesielski-Taylor type identity for positive self-similar Markov processes
- On optimal periodic dividend strategies in the dual model with diffusion
- Meromorphic Lévy processes and their fluctuation identities
- Time-changed extremal process as a random sup measure
- Path decomposition of ruinous behavior for a general Lévy insurance risk process
- Rotational invariance of stochastic processes with application to fractional dynamics
- On the First Passage Time Under Regime-Switching with Jumps
- Asymptotic results for time-changed Lévy processes sampled at hitting times
- Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes
- Ruin probabilities in classical risk models with gamma claims
- Fluctuations of Lévy processes with applications. Introductory lectures
- Estimation of model parameters of dependent processes constructed using Lévy copulas
- Convergence of the all-time supremum of a Lévy process in the heavy-traffic regime
- Subexponentialiy of densities of infinitely divisible distributions
- Gravitation versus Brownian motion
- Windings of planar stable processes
- Lévy processes, phase-type distributions, and martingales
- Equilibrium periodic dividend strategies with non-exponential discounting for spectrally positive Lévy processes
- Lévy-driven polling systems and continuous-state branching processes
- Natural gas-fired power plants valuation and optimization under Lévy copulas and regime switching
- Modeling and complexity of stochastic interacting Lévy type financial price dynamics
- A continuum percolation model for stock price fluctuation as a Lévy process
- Exact simulation of Poisson-Dirichlet distribution and generalised gamma process
- Malliavin Calculus for Stochastic Processes and Random Measures with Independent Increments
- On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance
- Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications
- Constructing lower-bounds for CTL escape rates in early SIV infection
- Fluctuation theory for level-dependent Lévy risk processes
- A ruin model with a resampled environment
- Optimal dividends and capital injections in the dual model with a random time horizon
- The geometry of random minimal factorizations of a long cycle via biconditioned bitype random trees
- Exponential ergodicity for general continuous-state nonlinear branching processes
- Perishable inventories with random input: a unifying survey with extensions
- Two-side exit problems for taxed Lévy risk process involving the general draw-down time
- Brownian motion on stable looptrees
- General draw-down times for refracted spectrally negative Lévy processes
- Analysis of a drawdown-based regime-switching Lévy insurance model
- Distributional divergence, statistical experiments and consequences in option pricing
- A transient Cramér-Lundberg model with applications to credit risk
- The moments of the discounted loss and the discounted dividends for a spectrally negative Lévy risk process
- Transient analysis of one-sided Lévy-driven queues
- Two-sided reflection of Markov-modulated Brownian motion
- On the small-time behavior of subordinators
- Boundary behaviors for a continuous-state nonlinear Neveu's branching process
- Spectral decomposition of fractional operators and a reflected stable semigroup
- A new proof of the Wiener-Hopf factorization via Basu's theorem
- Stability of the exit time for Lévy processes
- On the windings of complex-valued Ornstein-Uhlenbeck processes driven by a Brownian motion and by a stable process
- Super-Brownian Motion: L p -Convergence of Martingales Through the Pathwise Spine Decomposition
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