43 citations · 182 across the 16 of their papers we have counts for
16 papers
Stochastic optimal control of Lévy tax processes with bailouts
Dalal Al Ghanim, Ronnie Loeffen, Alexander R. Watson
We consider controlling the paths of a spectrally negative Lévy process by two means: the subtraction of `taxes' when the process is at an all-time maximum, and the addition of `ba…
The uniqueness of the Wiener-Hopf factorisation of Lévy processes and random walks
Leif Döring, Mladen Savov, Lukas Trottner +1
We prove that the spatial Wiener-Hopf factorisation of a Lévy process or random walk without killing is unique.
Markov additive friendships
Leif Döring, Lukas Trottner, Alexander R. Watson
The Wiener--Hopf factorisation of a Lévy or Markov additive process describes the way that it attains new maxima and minima in terms of a pair of so-called ladder height processes.…
Optimal stopping of the stable process with state-dependent killing
K. van Schaik, A. R. Watson, X. Xu
We describe the solution of an optimal stopping problem for a stable Lévy process killed at state-dependent rate, which can be seen as a model for bankruptcy. The killing rate is c…
A quasi-stationary approach to the long-term asymptotics of the growth-fragmentation equation
Denis Villemonais, Alexander Watson
In a growth-fragmentation system, cells grow in size slowly and split apart at random. Typically, the number of cells in the system grows exponentially and the distribution of the…
A growth-fragmentation model connected to the ricocheted stable process
Alexander R. Watson
Growth-fragmentation processes describe the evolution of systems in which cells grow slowly and fragment suddenly. Despite originating as a way to describe biological phenomena, th…