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20052022
most citedSome remarks on first passage of Levy processes, the American put and pasting principles

185 citations · 819 across the 64 of their papers we have counts for

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Showing 2013Show all

2 papers · 1 filter

math.PR2013★ 1 cited

Spines, skeletons and the Strong Law of Large Numbers for superdiffusions

Maren Eckhoff, Andreas E. Kyprianou, Matthias Winkel

Consider a supercritical superdiffusion (X_t) on a domain D subset R^d with branching mechanism -β(x) z+α(x) z^2 + int_{(0,infty)} (e^{-yz}-1+yz) Pi(x,dy). The skeleton decompositi…

math.PR2013

An Euler-Poisson Scheme for Lévy driven SDEs

Albert Ferreiro-Castilla, Andreas E Kyprianou, Robert Scheichl

We describe an Euler scheme to approximate solutions of Lévy driven Stochastic Differential Equations (SDE) where the grid points are random and given by the arrival times of a Poi…