23 citations · 40 across the 5 of their papers we have counts for
5 papers · 1 filter
Behaviour near explosion in continuous-time Galton-Watson trees
Simon C. Harris, Samuel G. G. Johnston, Juan Carlos Pardo
We study continuous-time Galton--Watson trees whose offspring generating function takes the form \begin{align} \label{eq:gen} f(s) = s - (1-s)^αL(1-s), \end{align} where $α\in (0,1…
-stable Lévy processes entering the half space or a slab
Andreas E. Kyprianou, Sonny Medina, Juan Carlos Pardo
Recent fluctuation identities for -stable Lévy processes have decomposed paths using generalised spherical polar coordinates revealing an underlying Markov Additive Process (MAP…
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…
On the Lamperti stable processes
M. E. Caballero, J. C. Pardo, J. L. Pérez
We consider a new family of -valued Lévy processes that we call Lamperti stable. One of the advantages of this class is that the law of many related functionals can be comput…