103 citations · 104 across the 4 of their papers we have counts for
4 papers
Optimal stopping of the stable process with state-dependent killing
K. van Schaik, A. R. Watson, X. Xu
We describe the solution of an optimal stopping problem for a stable Lévy process killed at state-dependent rate, which can be seen as a model for bankruptcy. The killing rate is c…
Applying the Wiener-Hopf Monte Carlo simulation technique for Levy processes to path functionals such as first passage times, undershoots and overshoots
Albert Ferreiro-Castilla, Kees van Schaik
In this note we apply the recently established Wiener-Hopf Monte Carlo (WHMC) simulation technique for Levy processes from Kuznetsov et al. [17] to path functionals, in particular…
A Wiener--Hopf Monte Carlo simulation technique for Lévy processes
A. Kuznetsov, A. E. Kyprianou, J. C. Pardo +1
We develop a completely new and straightforward method for simulating the joint law of the position and running maximum at a fixed time of a general Lévy process with a view to app…
Further calculations for the McKean stochastic game for a spectrally negative Levy process: from a point to an interval
Erik J. Baurdoux, Kees van Schaik
Following Baurdoux and Kyprianou [2] we consider the McKean stochastic game, a game version of the McKean optimal stopping problem (American put), driven by a spectrally negative L…