6 citations · 14 across the 4 of their papers we have counts for
4 papers
Explicit identities for Lévy processes associated to symmetric stable processes
M. E. Caballero, J. C. Pardo, J. L. Perez
In this paper we introduce a new class of Lévy processes which we call hypergeometric-stable Lévy processes, because they are obtained from symmetric stable processes through sever…
The Gapeev-Kühn stochastic game driven by a spectrally positive Lévy process
E. J. Baurdoux, A. E. Kyprianou, J. C. Pardo
In Gapeev and Kühn (2005), the stochastic game corresponding to perpetual convertible bonds was considered when driven by a Brownian motion and a compound Poisson process with expo…
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…
On continuous state branching processes: conditioning and self-similarity
A. E. Kyprianou, J. C. Pardo
In this paper, for $α\in (1, 2}$ we show that the -stable continuous-state branching process and the associated process conditioned never to become extinct are positive self-sim…