185 citations · 819 across the 64 of their papers we have counts for
4 papers · 1 filter
A transformation for Lévy processes with one-sided jumps and applications
Marie Chazal, Andreas E. Kyprianou, Pierre Patie
The aim of this work is to extend and study a family of transformations between Laplace exponents of Lévy processes which have been introduced recently in a variety of different co…
Optimal control with absolutely continuous strategies for spectrally negative Levy processes
Andreas E. Kyprianou, Ronnie Loeffen, Jose-Luis Perez
In the last few years there has been renewed interest in the classical control problem of de Finetti for the case that underlying source of randomness is a spectrally negative Levy…
On the excursions of reflected local time processes and stochastic fluid queues
Takis Konstantopoulos, Andreas E. Kyprianou, Paavo Salminen
This paper extends previous work by the authors. We consider the local time process of a strong Markov process, add negative drift, and reflect it à la Skorokhod. The resulting pro…
Meromorphic Levy processes and their fluctuation identities
Alexey Kuznetsov, Andreas E. Kyprianou, Juan Carlos Pardo
The last couple of years has seen a remarkable number of new, explicit examples of the Wiener-Hopf factorization for Levy processes where previously there had been very few. We men…