185 citations · 819 across the 64 of their papers we have counts for
6 papers · 1 filter
Branching Brownian motion in strip: survival near criticality
Simon Harris, Marion Hesse, Andreas E. Kyprianou
We consider a branching Brownian motion with linear drift in which particles are killed on exiting the interval (0,K) and study the evolution of the process on the event of surviva…
The hitting time of zero for a stable process
Alexey Kuznetsov, Andreas E. Kyprianou, Juan Carlos Pardo +1
For any two-sided jumping -stable process, where , we find an explicit identity for the law of the first hitting time of the origin. This complements existing work in…
On optimal dividends in the dual model
Erhan Bayraktar, Andreas Kyprianou, Kazutoshi Yamazaki
We revisit the dividend payment problem in the dual model of Avanzi et al. ([2], [1], and [3]). Using the fluctuation theory of spectrally positive Lévy processes, we give a short…
Multilevel Monte Carlo simulation for Levy processes based on the Wiener-Hopf factorisation
Albert Ferreiro-Castilla, Andreas E. Kyprianou, Robert Scheichl +1
In Kuznetsov et al. (2011) a new Monte Carlo simulation technique was introduced for a large family of Levy processes that is based on the Wiener-Hopf decomposition. We pursue this…
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…
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…