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Items by Kyprianou, Andreas

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Number of items: 79.

Book/s

Kyprianou, A., Schoutens, W. and Wilmott, P., eds., 2005. Exotic Option Pricing and Advanced Lévy Models. Chichester: Wiley.

Book Sections

Kyprianou, A. E. and Murillo-Salas, A., 2013. Super-Brownian motion: Lp-convergence of Martingales through the pathwise spine decomposition. In: Englander, J. and Rider, B., eds. Advances in Superprocesses and Nonlinear PDEs. Vol. 38. New York: Springer, pp. 113-121. (Springer Proceedings in Mathematics & Statistics; 38)

Kuznetsov, A., Kyprianou, A.E. and Rivero, V., 2013. The theory of scale functions for spectrally negative lévy processes. In: Lévy Matters II. Berlin: Springer, pp. 97-186. (Lecture Notes in Mathematics; 2061)

Hubalek, F. and Kyprianou, A. E., 2011. Old and new examples of scale functions for spectrally negative Lévy processes. In: Dalang, R., Dozzi, M. and Russo, F., eds. Seminar on Stochastic Analysis, Random Fields and Applications VI. Springer, pp. 119-145. (Progress in Probability)

Kyprianou, A., 2010. Lévy processes. In: Cont, R., ed. Encyclopedia of Quantitative Finance. Chichester: Wiley.

Kyprianou, A., 2010. The Wiener-Hopf decomposition. In: Cont, R., ed. Encyclopedia of Quantitative Finance. Chichester: Wiley.

Kyprianou, A. E. and Palmowski, Z., 2008. Fluctuations of spectrally negative Markov additive processes. In: Séminaire de Probabilités XLI. Vol. 1934. Berlin: Springer, pp. 121-135. (Lecture Notes in Mathematics)

Kyprianou, A. E. and Surya, B., 2006. A note on the change of variable formula with local time-space for bounded variation Levy processes. In: Seminaire de Probabilites XL. Vol. 1899/2007. Berlin: Springer, pp. 97-104. (Lecture Notes in Mathematics)

Kyprianou, A. E. and Palmowski, Z., 2005. A martingale review of some fluctuation theory for spectrally negative Levy processes. In: Seminaire de Probabilites XXXVIII. Vol. 1857. Berlin: Springer, pp. 16-29. (Lecture Notes in Mathematics)

Kyprianou, A. and Loeffen, R., 2005. Lévy processes in finance distinguished by their coarse and fine path properties. In: Kyprianou, A., Schoutens, W. and Wilmott, P., eds. Exotic Option Pricing and Advanced Lévy Models. Chichester: Wiley, pp. 1-28.

Biggins, J. D. and Kyprianou, A., 1996. Branching random walk: Seneta-Heyde norming. In: Chauvin, B., Cohen, S. and Rouault, A., eds. Trees: Proceedings of a Workshop held in Versailles June 14-16, 1995. Birkhaser: Basel, pp. 31-50.

Articles

Burridge, J., Kuznetsov, A., Kwaśnicki, M. and Kyprianou, A.E., 2014. New families of subordinators with explicit transition probability semigroup. Stochastic Processes and their Applications, 124 (10), pp. 3480-3495.

Hesse, M. and Kyprianou, A. E., 2014. The mass of super-Brownian motion upon exiting balls and Sheu's compact support condition. Stochastic Processes and their Applications, 124 (6), pp. 2003-2022.

Kuznetsov, A., Kyprianou, A. E., Pardo, J. C. and Watson, A. R., 2014. The hitting time of zero for a stable process. Electronic Journal of Probability, 19, 30.

Kyprianou, A. and Ott, C., 2014. A capped optimal stopping problem for the maximum process. Acta Applicandae Mathematicae, 129 (1), pp. 147-174.

Ferreiro-Castilla, A., Kyprianou, A.E., Scheichl, R. and Suryanarayana, G., 2014. Multilevel Monte Carlo simulation for Lévy processes based on the Wiener–Hopf factorisation. Stochastic Processes and their Applications, 124 (2), pp. 985-1010.

Bayraktar, E., Kyprianou, A. E. and Yamazaki, K., 2014. Optimal dividends in the dual model under transaction costs. Insurance, Mathematics and Economics, 54 (1), pp. 133-143.

Kyprianou, A., Pardo, J. C. and Watson, A., 2014. Hitting distributions of α-stable processes via path censoring and self-similarity. Annals of Probability, 42 (1), pp. 398-430.

Bayraktar, E., Kyprianou, A. E. and Yamazaki, K., 2013. On optimal dividends in the dual model. ASTIN Bulletin, 43 (3), pp. 359-372.

Kyprianou, A. E., Pardo, J. C. and Pérez, J. L., 2013. Forthcoming. Occupation times of refracted Lévy processes. Journal of Theoretical Probability

Kyprianou, A.E., Murillo-Salas, A. and Pérez, J.L., 2012. An application of the backbone decomposition to supercritical super-Brownian motion with a barrier. Journal of Applied Probability, 49 (3), pp. 671-684.

Kyprianou, A. E., Liu, R. L., Murillo-Salas, A. and Ren, Y. X., 2012. Supercritical super-Brownian motion with a general branching mechanism and travelling waves. Annales De L Institut Henri Poincare-Probabilites Et Statistiques, 48 (3), pp. 661-687.

Kuznetsov, A., Kyprianou, A. E. and Pardo, J.-C., 2012. Meromorphic levy processes and their fluctuation identities. Annals of Applied Probability, 22 (3), pp. 1101-1135.

Kyprianou, A. E. and Pardo, J. C., 2012. An optimal stopping problem for fragmentation processes. Stochastic Processes and their Applications, 122 (4), pp. 1210-1225.

Kyprianou, A.E., Loeffen, R. and Pérez, J.-L., 2012. Optimal control with absolutely continuous strategies for spectrally negative lévy processes. Journal of Applied Probability, 49 (1), pp. 150-166.

Kyprianou, A. E. and Ren, Y. X., 2012. Backbone decomposition for continuous-state branching processes with immigration. Statistics & Probability Letters, 82 (1), pp. 139-144.

Chaumont, L., Kyprianou, A. E., Pardo, J.-C. and Rivero, V., 2012. Fluctuation theory and exit systems for positiveself-similar Markov processes. Annals of Probability, 40 (1), pp. 245-279.

Kuzntsov, A., Kyprianou, A. E., Pardo, J.-C. and Van Schaik, K., 2011. A Wiener-Hopf Monte Carlo simulation technique for Lévy process. Annals of Applied Probability, 21 (6), pp. 2171-2190.

Berestycki, J., Harris, S. C. and Kyprianou, A. E., 2011. Travelling waves and homogeneous fragmentation. Annals of Applied Probability, 21 (5), pp. 1749-1794.

Chan, T., Kyprianou, A. E. and Savov, M., 2011. Smoothness of scale functions for spectrally negative Lévy processes. Probability Theory and Related Fields, 150 (3-4), pp. 691-708.

Kyprianou, A. E. and Patie, P., 2011. A Ciesielski-Taylor type identity for positive self-similar Markov processes. Annales De L Institut Henri Poincare-Probabilites Et Statistiques, 47 (3), pp. 917-928.

Konstantopoulos, T., Kyprianou, A. E. and Salminen, P., 2011. On the excursions of reflected local time processes and stochastic fluid queues. Journal of Applied Probability, 48A, pp. 79-98.

Baurdoux, E. J., Kyprianou, A. E. and Pardo, J.-C., 2011. The Gapeev–Kühn stochastic game driven by a spectrally positive Lévy process. Stochastic Processes and their Applications, 121 (6), pp. 1266-1289.

Berestycki, J., Kyprianou, A. E. and Murillo-Salas, A., 2011. The prolific backbone for supercritical superprocesses. Stochastic Processes and their Applications, 121 (6), pp. 1315-1331.

Kyprianou, A. E., Rivero, V. and Song, R. M., 2010. Convexity and smoothness of scale functions and de Finetti's control problem. Journal of Theoretical Probability, 23 (2), pp. 547-564.

Kyprianou, A. E., Pardo, J. C. and Rivero, V., 2010. Exact and asymptotic n-tuple laws at first and last passage. Annals of Applied Probability, 20 (2), pp. 522-564.

Biffis, E. and Kyprianou, A. E., 2010. A note on scale functions and the time value of ruin for Levy insurance risk processes. Insurance Mathematics & Economics, 46 (1), pp. 85-91.

Kyprianou, A. E. and Loeffen, R. L., 2010. Refracted Levy processes. Annales De L Institut Henri Poincare-Probabilites Et Statistiques, 46 (1), pp. 24-44.

Englander, J., Harris, S. C. and Kyprianou, A. E., 2010. Strong law of large numbers for branching diffusions. Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, 46 (1), pp. 279-298.

Harris, S. C., Knobloch, R. and Kyprianou, A. E., 2010. Strong law of large numbers for fragmentation processes. Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, 46 (1), pp. 119-134.

Chaumont, L., Kyprianou, A. E. and Pardo, J. C., 2009. Some explicit identities associated with positive self-similar Markov processes. Stochastic Processes and their Applications, 119 (3), pp. 980-1000.

Kyprianou, A. E. and Zhou, X. W., 2009. General tax structures and the Lévy insurance risk model. Journal of Applied Probability, 46 (4), pp. 1146-1156.

Baurdoux, E. J. and Kyprianou, A. E., 2009. The Shepp-Shiryaev stochastic game driven by a spectrally negative levy process. Theory of Probability and Its Applications (TVP), 53 (3), pp. 481-499.

Kyprianou, A. E. and Pardo, J.-C., 2008. Continuous-State Branching Processes and Self-Similarity. Journal of Applied Probability, 45 (4), pp. 1140-1160.

Eisenbaum, N. and Kyprianou, A. E., 2008. On the parabolic generator of a general one-dimensional Levy process. Electronic Communications in Probability, 13, pp. 198-209.

Baurdoux, E. and Kyprianou, A. E., 2008. The McKean stochastic game driven by a spectrally negative Levy process. Electronic Journal of Probability, 13, pp. 174-197.

Konstantopoulos, T., Kyprianou, A. E., Salminen, P. and Sirviö, M., 2008. Analysis of stochastic fluid queues driven by local-time processes. Advances in Applied Probability, 40 (4), pp. 1072-1103.

Vatutin, V. A. and Kyprianou, A. E., 2008. Branching processes in random environment die slowly. Discrete Mathematics & Theoretical Computer Science Proceedings, 2008, pp. 375-396.

Kyprianou, A. and Rivero, V., 2008. Special, conjugate and complete scale functions for spectrally negative Lévy processes. Electronic Journal of Probability, 13, pp. 1672-1701.

Kyprianou, A. E. and Schaik, K. v., 2007. Pricing Isreali options: a pathwise approach. Stochastics: an international journal of probability and stochastic processes, 79 (1-2), pp. 117-138.

Kuhn, C. and Kyprianou, A. E., 2007. Callable puts as composite exotic options. Mathematical Finance, 17 (4), pp. 487-502.

Kyprianou, A. E. and Palmowski, Z., 2007. Distributional study of De Finetti's dividend problem for a general Levy insurance risk process. Journal of Applied Probability, 44 (2), pp. 428-443.

Kyprianou, A. E. and Surya, B. A., 2007. Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels. Finance and Stochastics, 11 (1), pp. 131-152.

Doney, R. A. and Kyprianou, A. E., 2006. Overshoots and undershoots of Levy processes. Annals of Applied Probability, 16 (1), pp. 91-106.

Harris, J. W., Harris, S. C. and Kyprianou, A. E., 2006. Further probabilistic analysis of the Fisher-Kolmogorov-Petrovskii-Piscounov equation: one-sided travelling waves. Annales de l'Institut Henri Poincare B Probabilites et Statistiques, 42 (1), pp. 125-145.

Kyprianou, A. E., 2006. First passage of reflected strictly stable processes. (ALEA) Latin American Journal of Probability and Mathematical Statistics, 2006 (2), pp. 119-123.

Kluppelberg, C. and Kyprianou, A. E., 2006. On extreme ruinous behaviour of Levy insurance risk processes. Journal of Applied Probability, 43 (2), pp. 594-598.

Kyprianou, A. E. and Palmowski, Z., 2006. Quasi-stationary distributions for Levy process. Bernoulli, 12 (4), pp. 571-581.

Kyprianou, A. E., 2005. Asymptotic radial speed of the support of supercritical branching Brownian motion and super-Brownian motion in R^d. Markov Processes and Related Fields, 11 (1), pp. 145-156.

Duistermaat, J. J., Kyprianou, A. E. and van Schaik, K., 2005. Finite expiry Russian options. Stochastic Processes and their Applications, 115 (4), pp. 609-638.

Biggins, J. D. and Kyprianou, A. E., 2005. Fixed points of the smoothing transform: the boundary case. Electronic Journal of Probability, 10, pp. 609-631.

Kyprianou, A. E. and Surya, B. A., 2005. On the Novikov-Shiryaev optimal stopping problems in continuous time. Electronic Communciations in Probability, 10, pp. 146-154.

Alili, L. and Kyprianou, A. E., 2005. Some remarks on first passage of Levy processes, the American put and pasting principles. Annals of Applied Probability, 15 (3), pp. 2062-2080.

Avram, F., Kyprianou, A. E. and Pistorius, M. R., 2004. Exit problems for spectrally negative Levy processes and applications to (Canadized) Russian options. Annals of Applied Probability, 14 (1), p. 215.

Baurdoux, E. J. and Kyprianou, A. E., 2004. Further calculations for Israeli options. Stochastics and stochastics reports, 76 (6), 549--569.

Englnder, J. and Kyprianou, A. E., 2004. Local extinction versus local exponential growth for spatial branching processes. Annals of Probability, 32 (1A), pp. 78-99.

Biggins, J. D. and Kyprianou, A. E., 2004. Measure change in multitype branching. Advances in Applied Probability, 36 (2), pp. 544-581.

Klppelberg, C., Kyprianou, A. E. and Maller, R. A., 2004. Ruin probabilities and overshoots for general Levy insurance risk processes. Annals of Applied Probability, 14 (4), pp. 1766-1801.

Kyprianou, A. E., 2004. Some calculations for Israeli options. Finance and Stochastics, 8 (1), pp. 73-81.

Kyprianou, A. E., 2004. Travelling wave solutions to the K-P-P equation: alternatives to Simon Harris' probabilistic analysis. Annales De L Institut Henri Poincare-Probabilites Et Statistiques, 40 (1), pp. 53-72.

Hambly, B. M., Kersting, G. and Kyprianou, A. E., 2003. Law of the iterated logarithm for oscillating random walks conditioned to stay non-negative. Stochastic Processes and their Applications, 108 (2), pp. 327-343.

Kyprianou, A. E. and Pistorius, M. R., 2003. Perpetual options and Canadization through fluctuation theory. Annals of Applied Probability, 13 (3), pp. 1077-1098.

Ballotta, L. and Kyprianou, A. E., 2001. A note on the alpha-quantile option. Applied Mathematical Finance, 8 (3), pp. 137-144.

Kyprianou, A. E. and Rahimzadeh Sani, A., 2001. Martingale convergence and the functional equation in the multi-type branching random walk. Bernoulli, 7 (4), pp. 593-604.

Kyprianou, A. E., 2000. Martingale convergence and the stopped branching random walk. Probability Theory and Related Fields, 116 (3), pp. 405-419.

Kyprianou, A., 1999. A note on branching Lévy processes. Stochastic Processes and their Applications, 82 (1), pp. 1-14.

Kyprianou, A. E., 1998. Slow variation and uniqueness of solutions to the functional equation in the branching random walk. Journal of Applied Probability, 35 (4), pp. 795-802.

Biggins, J. D. and Kyprianou, A. E., 1997. Seneta-Heyde norming in the branching random walk. Annals of Probability, 25 (1), pp. 337-360.

Conference or Workshop Items

Kyprianou, A. E., Eisenbaum, N., Matache, A.-M. and Peskir, G., 2004. Mini-workshop: Local Time-Space Calculus with Applications. In: Oberwolfach Rep., 2004-05-16 - 2004-05-22.

This list was generated on Fri Oct 24 17:56:04 2014 IST.