8 citations · 17 across the 6 of their papers we have counts for
4 papers
A Random Matrix Approximation for the Non-commutative Fractional Brownian Motion
Juan Carlos Pardo, Victor Pérez-Abreu, José Luis Pérez-Garmendia
A functional limit theorem for the empirical measure-valued process of eigenvalues of a matrix fractional Brownian motion is obtained. It is shown that the limiting measure-valued…
Gerber-Shiu functionals at Parisian ruin for Lévy insurance risk processes
E. J. Baurdoux, J. C. Pardo, J. L. Pérez +1
Inspired by works of Landriault et al. \cite{LRZ-0, LRZ}, we study discounted penalties at ruin for surplus dynamics driven by a spectrally negative Lévy process with Parisian impl…
Occupation times of refracted Lévy processes
Andreas E. Kyprianou, J. C. Pardo, J. L. Pérez
A refracted Lévy process is a Lévy process whose dynamics change by subtracting off a fixed linear drift (of suitable size) whenever the aggregate process is above a pre-specified…
Optimal control with absolutely continuous strategies for spectrally negative Levy processes
Andreas E. Kyprianou, Ronnie Loeffen, Jose-Luis Perez
In the last few years there has been renewed interest in the classical control problem of de Finetti for the case that underlying source of randomness is a spectrally negative Levy…