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Baurdoux, Erik J. 
ORCID: 0000-0002-5407-0683 and Pedraza, José M.
(2024)
Lp optimal prediction of the last zero of a spectrally negative Lévy process.
Annals of Applied Probability, 34 (1B).
1350 - 1402.
ISSN 1050-5164
Baurdoux, Erik J. ORCID: 0000-0002-5407-0683 and Pedraza, José M.
(2023)
Predicting the last zero before an exponential time of a spectrally negative Lévy process.
Advances in Applied Probability, 55 (2).
pp. 611-642.
ISSN 0001-8678
Baurdoux, Erik J. ORCID: 0000-0002-5407-0683, Palmowski, Z and Pistorius, Martijn R
(2017)
On future drawdowns of Lévy processes.
Stochastic Processes and Their Applications, 127 (8).
pp. 2679-2698.
ISSN 0304-4149
Baurdoux, Erik J. ORCID: 0000-0002-5407-0683, Kyprianou, Andreas E. and Ott, Curdin
(2016)
Optimal prediction for positive self-similar Markov processes.
Electronic Journal of Probability, 21.
ISSN 1083-6489
Baurdoux, Erik J. ORCID: 0000-0002-5407-0683, 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
Baurdoux, Erik J. ORCID: 0000-0002-5407-0683, 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. ORCID: 0000-0002-5407-0683 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. ORCID: 0000-0002-5407-0683 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. ORCID: 0000-0002-5407-0683, 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. ORCID: 0000-0002-5407-0683 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. ORCID: 0000-0002-5407-0683
(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. ORCID: 0000-0002-5407-0683
(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. ORCID: 0000-0002-5407-0683 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. ORCID: 0000-0002-5407-0683 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. ORCID: 0000-0002-5407-0683 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. ORCID: 0000-0002-5407-0683
(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. ORCID: 0000-0002-5407-0683 and Kyprianou, Andreas E.
(2004)
Further calculations for Israeli options.
Stochastics and Stochastic Reports, 76 (6).
pp. 546-569.
ISSN 1744-2508
Baurdoux, Erik J. ORCID: 0000-0002-5407-0683
(2007)
Fluctuation theory and stochastic games for spectrally negative Lévy processes.
Doctoral thesis, Utrecht University.
