- Centre National de la Recherche ScientifiqueFR147 papers
- University of OxfordGB114 papers
- University of CambridgeGB88 papers
- Max Planck Institute for Extraterrestrial PhysicsDE84 papers
- University of BristolGB80 papers
- University College LondonGB78 papers
- Center for Astrophysics Harvard & SmithsonianUS72 papers
- Space Telescope Science InstituteUS72 papers
- National Institute for AstrophysicsIT71 papers
- University of EdinburghGB69 papers
- University of WarwickGB69 papers
- University of CopenhagenDK63 papers
10 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…
Normal approximation for coverage models over binomial point processes
Larry Goldstein, Mathew D. Penrose
We give error bounds which demonstrate optimal rates of convergence in the CLT for the total covered volume and the number of isolated shapes, for germ-grain models with fixed grai…
Fluctuation theory and exit systems for positive self-similar Markov processes
Loïc Chaumont, Andreas Kyprianou, Juan Carlos Pardo +1
For a positive self-similar Markov process, X, we construct a local time for the random set, , of times where the process reaches its past supremum. Using this local time we des…
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…