Up a level |

Number of items: **14**.

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
.
ISSN 0021-9002
(In Press)

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

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

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

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

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

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

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

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

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

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

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

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

Baurdoux, Erik J.
(2007)
*Fluctuation theory and stochastic games for spectrally negative Lévy processes.*
PhD thesis, Universiteit Utrecht.

This list was generated on **Sun Jul 24 13:56:40 2016 BST**.

Mission Statement & FAQs | Contact us | Takedown Policy | LSE Experts | LSE Research Online supports OAI 2.0 with a base URL of