185 citations · 819 across the 64 of their papers we have counts for
6 papers · 2 filters
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…
The prolific backbone for supercritical superdiffusions
Julien Berestycki, Andreas E. Kyprianou, Antonio Murillo
We develop an idea of Evans and O'Connell, Englander and Pinsky and Duquesne and Winkel by giving a pathwise construction of the so called `backbone' decomposition for supercritica…
Traveling waves and homogeneous fragmentation
J. Berestycki, S. C. Harris, A. E. Kyprianou
We formulate the notion of the classical Fisher-Kolmogorov-Petrovskii-Piscounov (FKPP) reaction diffusion equation associated with a homogeneous conservative fragmentation process…
The Gapeev-Kühn stochastic game driven by a spectrally positive Lévy process
E. J. Baurdoux, A. E. Kyprianou, J. C. Pardo
In Gapeev and Kühn (2005), the stochastic game corresponding to perpetual convertible bonds was considered when driven by a Brownian motion and a compound Poisson process with expo…
Smoothness of scale functions for spectrally negative Levy processes
Terence Chan, Andreas Kyprianou, Mladen Savov
Scale functions play a central role in the fluctuation theory of spectrally negative Lévy processes and often appear in the context of martingale relations. These relations are oft…
General tax structures and the Levy insurance risk model
Andreas E. Kyprianou, Xiaowen Zhou
In the spirit of previous of Albrecher, Hipp, Renaud and Zhou we consider a Lévy insurance risk model with tax payments of a more general structure than in the aforementioned paper…