372 citations
- University of BristolGB7 papers
- King's College LondonGB5 papers
- University of AntwerpBE4 papers
- University of CambridgeGB4 papers
- University of LiverpoolGB4 papers
- Chalmers University of TechnologySE3 papers
- Technical University of MunichDE3 papers
- University College LondonGB3 papers
- University of SheffieldGB3 papers
- Centre National de la Recherche ScientifiqueFR2 papers
- Délégation Paris 7FR2 papers
- Eindhoven University of TechnologyNL2 papers
4 papers · 2 filters
Multilevel Monte Carlo simulation for Levy processes based on the Wiener-Hopf factorisation
Albert Ferreiro-Castilla, Andreas E. Kyprianou, Robert Scheichl +1
In Kuznetsov et al. (2011) a new Monte Carlo simulation technique was introduced for a large family of Levy processes that is based on the Wiener-Hopf decomposition. We pursue this…
Emergence of condensation in Kingman's model of selection and mutation
Steffen Dereich, Peter Mörters
We describe the onset of condensation in the simple model for the balance between selection and mutation given by Kingman in terms of a scaling limit theorem. Loosely speaking, thi…
A capped optimal stopping problem for the maximum process
Andreas E. Kyprianou, Curdin Ott
This paper concerns an optimal stopping problem driven by the running maximum of a spectrally negative Levy process X. More precisely, we are interested in capped versions of the A…
Galton-Watson trees with vanishing martingale limit
Nathanael Berestycki, Nina Gantert, Peter Morters +1
We show that an infinite Galton-Watson tree, conditioned on its martingale limit being smaller than $\eps$, agrees up to generation with a regular -ary tree, where is th…