6 citations · 11 across the 10 of their papers we have counts for
10 papers
Predicting the Last Zero before an exponential time of a Spectrally Negative Lévy Process
Erik J. Baurdoux, José M. Pedraza
Given a spectrally negative Lévy process, we predict, in a sense, the last passage time of the process below zero before an independent exponential time. This optimal predict…
On the last zero process with an application in corporate bankruptcy
Erik J. Baurdoux, J. M. Pedraza
For a spectrally negative Lévy process , consider , the last time is below the level zero before time . We use a perturbation method for Lévy processes to deri…
Predicting the last zero of a spectrally negative Lévy process
Erik J. Baurdoux, J. M. Pedraza
Last passage times arise in a number of areas of applied probability, including risk theory and degradation models. Such times are obviously not stopping times since they depend on…
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…