103 citations · 372 across the 37 of their papers we have counts for
5 papers · 1 filter
Branching processes in a Lévy random environment
S. Palau, J. C. Pardo
In this paper, we introduce branching processes in a Lévy random environment. In order to define this class of processes, we study a particular class of non-negative stochastic dif…
Lévy insurance risk processes with parisian type severity of debt
Juan Carlos Pardo, Jose Luis Perez, Victor Rivero
In this article, we introduce a new definition of bankruptcy for a spectrally negative Lévy insurance risk process. More precisely, we study the Gerber-Shiu distribution for a ruin…
The excursion measure away from zero for spectrally negative Lévy processes
Juan Carlos Pardo, Jose Luis Pérez, Víctor Manuel Rivero
We provide a description of the excursion measure from a point for a spectrally negative Lévy process. The description is based in two main ingredients. The first is building a spe…
Continuous state branching processes in random environment: The Brownian case
Sandra Palau, Juan Carlos Pardo
We consider continuous state branching processes that are perturbed by a Brownian motion. These processes are constructed as the unique strong solution of a stochastic differential…
On the Free Fractional Wishart Process
Juan Carlos Pardo, José Luis Pérez, Victor Pérez-Abreu
We investigate the process of eigenvalues of a fractional Wishart process defined as N=B*B, where B is a matrix fractional Brownian motion recently studied by Nualart and Pérez-Abr…