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math.PR2014
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…
math.PR2014★ 8 cited
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…