372 citations
- University of BristolGB7 papers
- King's College LondonGB4 papers
- University of AntwerpBE4 papers
- University of LiverpoolGB4 papers
- Chalmers University of TechnologySE2 papers
- Laboratoire Paul PainlevéFR2 papers
- Leibniz University HannoverDE2 papers
- Technische Universität BerlinDE2 papers
- University of OxfordGB2 papers
- University of SheffieldGB2 papers
- Ames National LaboratoryUS1 paper
- Applied Photonics (United Kingdom)GB1 paper
8 papers · 2 filters
Measure changes with extinction
Simon Harris, Matthew Roberts
We consider a change of measure by a martingale and clarify that in general is only a supermartingale under the changed measure. We then give a necessary and sufficie…
On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
R. L. Loeffen
We consider the classical optimal dividend control problem which was proposed by de Finetti [Trans. XVth Internat. Congress Actuaries 2 (1957) 433--443]. Recently Avram, Palmowski…
Exact and asymptotic -tuple laws at first and last passage
A. Kyprianou, J. C. Pardo, V. Rivero
Understanding the space-time features of how a Lévy process crosses a constant barrier for the first time, and indeed the last time, is a problem which is central to many models in…
The Hausdorff dimension of the double points on the Brownian frontier
Richard Kiefer, Peter Morters
The frontier of a planar Brownian motion is the boundary of the unbounded component of the complement of its range. In this paper we find the Hausdorff dimension of the set of doub…
Random networks with sublinear preferential attachment: Degree evolutions
Steffen Dereich, Peter Morters
We define a dynamic model of random networks, where new vertices are connected to old ones with a probability proportional to a sublinear function of their degree. We first give a…
Minimal supporting subtrees for the free energy of polymers on disordered trees
Peter Morters, Marcel Ortgiese
We consider a model of directed polymers on a regular tree with a disorder given by independent, identically distributed weights attached to the vertices. For suitable weight distr…