Introductory lectures on fluctuations of Lévy processes with applications.
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- General drawdown-based de Finetti optimization for spectrally negative Lévy risk processes
- A general continuous-state nonlinear branching process
- Zooming in on a Lévy process at its supremum
- Malliavin calculus for subordinated Lévy process
- On an explicit Skorokhod embedding for spectrally negative Lévy processes
- Ruin probabilities in classical risk models with gamma claims
- Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations
- Limit theorems for Smoluchowski dynamics associated with critical continuous-state branching processes
- A drawdown reflected spectrally negative Lévy process
- Transient analysis of a stationary Lévy-driven queue
- Generalized expected discounted penalty function at general drawdown for Lévy risk processes
- Hitting distributions of \(\alpha\)-stable processes via path censoring and self-similarity
- An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting
- De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process
- Equilibrium equity price with optimal dividend policy
- Exit identities for diffusion processes observed at Poisson arrival times
- Ray-Knight representation of flows of branching processes with competition by pruning of Lévy trees
- Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes
- On the windings of complex-valued Ornstein-Uhlenbeck processes driven by a Brownian motion and by a stable process
- Occupation times of general Lévy processes
- On optimal periodic dividend strategies for Lévy risk processes
- On the optimality of periodic barrier strategies for a spectrally positive Lévy process
- On the refracted-reflected spectrally negative Lévy processes
- Useful martingales for stochastic storage processes with Lévy-type input
- Fair valuation of Lévy-type drawdown-drawup contracts with general insured and penalty functions
- Parisian excursion below a fixed level from the last record maximum of Lévy insurance risk process
- Parisian ruin with a threshold dividend strategy under the dual Lévy risk model
- Optimal dividends and capital injections for a spectrally positive Lévy process
- Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes
- Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method
- Hedging of defaultable claims in a structural model using a locally risk-minimizing approach
- Optimality of multi-refraction control strategies in the dual model
- Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process
- Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs
- Uniform control of local times of spectrally positive stable processes
- Occupation times of hyper-exponential jump diffusion processes with application to price step options
- ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS
- The optimal dividend barrier in the perturbed compound Poisson risk model with randomized observation time
- A continuous-state polynomial branching process
- On a risk model with claim investigation
- Last Exit Before an Exponential Time for Spectrally Negative Lévy Processes
- Optimality of excess-loss reinsurance under a mean-variance criterion
- A risk model with varying premiums: its risk management implications
- Tail asymptotics for exponential functionals of Lévy processes: the convolution equivalent case
- Spectral decomposition of fractional operators and a reflected stable semigroup
- On the joint distribution of tax payments and capitalinjections for a Lévy risk model
- A Ciesielski-Taylor type identity for positive self-similar Markov processes
- Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance
- Time-changed extremal process as a random sup measure
- Fluctuation theory and exit systems for positive self-similar Markov processes
- Spectrally negative Lévy processes perturbed by functionals of their running supremum
- Clustering of financial instruments using jump tail dependence coefficient
- Optimal investment strategy and liability ratio for insurer with Lévy risk process
- Optimality of Two-Parameter Strategies in Stochastic Control
- Liouville quantum gravity and the Brownian map. I: The \(\text{QLE}(8/3,0)\) metric
- On a perturbed compound Poisson model with varying premium rates
- 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
- Exit times for an increasing Lévy tree-valued process
- Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk
- Heavy-traffic limits for an infinite-server fork-join queueing system with dependent and disruptive services
- Extinction time and the total mass of the continuous-state branching processes with competition
- Variance optimal stopping for geometric Lévy processes
- On the First Passage Time Under Regime-Switching with Jumps
- 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
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