| 1. |
Baurdoux, Erik J., Kyprianou, Andreas E. and Ott, Curdin
(2016)
Optimal prediction for positive self-similar Markov processes.
Electronic Journal of Probability, 21
.
p. 48.
ISSN 1083-6489
| ![[img]](/67820/1.hassmallThumbnailVersion/Baurdoux_Optimal%20prediction_2016.pdf)  Preview |
| |
| 2. |
Baurdoux, Erik J., Pardo, Juan Carlos, Perez, Jose Luis and Renaud, Jean-Francois
(2016)
Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes.
Journal of Applied Probability, 53
(2).
pp. 572-584.
ISSN 0021-9002
| ![[img]](/64748/1.hassmallThumbnailVersion/__lse.ac.uk_storage_LIBRARY_Secondary_libfile_shared_repository_Content_Baurdoux%2C%20E_Gerber-Shiu%20distribution_Baurdoux_Gerber-Shiu%20distribution_2015.pdf)  Preview |
| |
| 3. |
Baurdoux, Erik J., Chen, Nan, Surya, Budhi and Yamazak, Kazutoshi
(2015)
Optimal double stopping of a Brownian bridge.
Advances in Applied Probability, 47
(4).
pp. 1212-1234.
ISSN 0001-8678
| ![[img]](/61618/1.hassmallThumbnailVersion/Baurdoux_optimal_double_stopping.pdf)  Preview |
| |
| 4. |
Baurdoux, Erik J. and Yamazaki, Kazutoshi
(2015)
Optimality of doubly reflected Lévy processes in singular control.
Stochastic Processes and Their Applications, 125
(7).
pp. 2727-2751.
ISSN 0304-4149
| ![[img]](/61617/1.hassmallThumbnailVersion/baurdoux_Optimality_of_doubly_reflected_Levy_processes.pdf)  Preview |
| |
| 5. |
Baurdoux, Erik J. and Schaik, Kees
(2014)
Predicting the time at which a Lévy process attains its ultimate supremum.
Acta Applicandae Mathematicae, 134
(1).
pp. 21-44.
ISSN 0167-8019
Not available from LSE Research Online. | | |
| 6. |
Baurdoux, Erik J., Kyprianou, Andreas E. and Pardo, J.C.
(2011)
The Gapeev-Kuhn stochastic game driven by a spectrally positive Levy process.
Stochastic Processes and Their Applications, 121
(6).
pp. 1266-1289.
ISSN 0304-4149
| ![[img]](/36903/1.hassmallThumbnailVersion/The_Gapeev-Kuhn_stochastic_game_driven_by_a_spectrally_positive_Levy_process_%28lsero%29.pdf)  Preview |
| |
| 7. |
Baurdoux, Erik J. and Van Schaik, K.
(2011)
Further calculations for the McKean stochastic game for a spectrally negative levy process: from a point to an interval.
Journal of Applied Probability, 48
(1).
pp. 200-216.
ISSN 0021-9002
| ![[img]](/35942/1.hassmallThumbnailVersion/Further_calculations_for_the_McKean%28lsero%29.pdf)  Preview |
| |
| 8. |
Baurdoux, Erik J.
(2009)
Last exit before an exponential time for spectrally negative Lévy processes.
Journal of Applied Probability, 46
(2).
pp. 542-588.
ISSN 0021-9002
| ![[img]](/23924/1.hassmallThumbnailVersion/Last_exit_before_an_exponential_time_for_spectrally_negative_L%C3%A9vy_processes_%28lsero%29.pdf)  Preview |
| |
| 9. |
Baurdoux, Erik J.
(2009)
Some excursion calculations for reflected Lévy processes.
Alea: Latin American Journal of Probability and Mathematical Statistics, 6
.
pp. 149-162.
ISSN 1980-0436
| ![[img]](/23925/1.hassmallThumbnailVersion/Some_excursion_calculations_for_reflected_L%C3%A9vy_processes_%28LSERO%29.pdf)  Preview |
| |
| 10. |
Baurdoux, Erik J. and Kyprianou, Andreas E.
(2009)
The Shepp-Shiryaev stochastic game driven by a spectrally negative Lévy process.
Theory of Probability and Its Applications, 53
(3).
pp. 481-499.
ISSN 0040-585X
| ![[img]](/23927/1.hassmallThumbnailVersion/Shepp-Shiryaev_stochastic_game_driven_by_a_spectrally_negative_L%C3%A9vy_process_%28lsero%29.pdf)  Preview |
| |
| 11. |
Baurdoux, Erik J. and Kyprianou, Andreas E.
(2008)
The Shepp-Shiryaev stochastic game driven by a spectrally negative Lévy process.
Teoriya Veroyatnostei I Ee Primeneniya, 53
(3).
pp. 588-609.
ISSN 0040-361X
Not available from LSE Research Online. | | |
| 12. |
Baurdoux, Erik J. and Kyprianou, Andreas E.
(2008)
The McKean stochastic game driven by a spectrally negative Lévy process.
Electronic Journal of Probability, 13
.
pp. 173-197.
ISSN 1083-6489
| ![[img]](/23919/1.hassmallThumbnailVersion/McKean_stochastic_game_driven_by_a_spectrally_negative_L%C3%A9vy_process_%28lsero%29.pdf)  Preview |
| |
| 13. |
Baurdoux, Erik J.
(2007)
Fluctuation theory and stochastic games for spectrally negative Lévy processes.
PhD thesis, Universiteit Utrecht.
| ![[img]](/23928/1.hassmallThumbnailVersion/Fluctuation_theory_and_stochastic_games_for_spectrally_negative_L%C3%A9vy_processes_%28lsero%29.pdf)  Preview |
| |
| 14. |
Baurdoux, Erik J.
(2007)
Examples of optimal stopping via measure transformation for processes with one-sided jumps.
Stochastics: an International Journal of Probability and Stochastic Processes, 79
(3 & 4).
pp. 303-307.
ISSN 1744-2508
| ![[img]](/23918/1.hassmallThumbnailVersion/Examples_of_optimal_stopping_via_measure_transformation_for_processes_with_one-sided_jumps_%28lsero%29.pdf)  Preview |
| |
| 15. |
Baurdoux, Erik J. and Kyprianou, Andreas E.
(2004)
Further calculations for Israeli options.
Stochastics and Stochastics Reports, 76
(6).
pp. 546-569.
ISSN 1045-1129
| ![[img]](/23916/1.hassmallThumbnailVersion/Further_calculations_for_the_McKean%28lsero%29.pdf)  Preview |
| |
