8 citations · 8 across the 4 of their papers we have counts for
4 papers
Optimal prediction for positive self-similar Markov processes
Erik Baurdoux, Andreas Kyprianou, Curdin Ott
This paper addresses the question of predicting when a positive self-similar Markov process X attains its pathwise global supremum or infimum before hitting zero for the first time…
Optimal double stopping of a Brownian bridge
Erik J. Baurdoux, Nan Chen, Budhi A. Surya +1
We study optimal double stopping problems driven by a Brownian bridge. The objective is to maximize the expected spread between the payoffs achieved at the two stopping times. We s…
Optimality of doubly reflected Levy processes in singular control
Erik J. Baurdoux, Kazutoshi Yamazaki
We consider a class of two-sided singular control problems. A controller either increases or decreases a given spectrally negative Levy process so as to minimize the total costs co…
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…