6 citations · 11 across the 10 of their papers we have counts for
8 papers · 1 filter
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…
A direct method for solving optimal stopping problems for Lévy processes
Erik J. Baurdoux
We propose an alternative approach for solving a number of well-studied optimal stopping problems for Lévy processes. Instead of the usual method of guess-and-verify based on marti…
Predicting the time at which a Lévy process attains its ultimate supremum
Erik Baurdoux, Kees van Schaik
We consider the problem of finding a stopping time that minimises the -distance to , the time at which a Lévy process attains its ultimate supremum. This problem was studie…