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
- 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
- An axiomatic characterization of the Brownian map
- Martingales and rates of presence in homogeneous fragmentations
- 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
- Backbone decomposition for continuous-state branching processes with immigration
- 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
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