3 papers
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.PR2012
A capped optimal stopping problem for the maximum process
Andreas E. Kyprianou, Curdin Ott
This paper concerns an optimal stopping problem driven by the running maximum of a spectrally negative Levy process X. More precisely, we are interested in capped versions of the A…
math.PR2012
Spectrally negative Levy processes perturbed by functionals of their running supremum
Andreas E. Kyprianou, Curdin Ott
In the setting of the classical Cramer-Lundberg risk insurance model, Albrecher and Hipp (2007) introduced the idea of tax payments. More precisely, if repr…