Publications

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Further calculations for Israeli options, (with Andreas Kyprianou ) Stoch. Stoch. Rep. 76 (2004) pp. 549-569.

Examples of optimal stopping via measure transformation for processes with one-sided jumps, Stochastics 79 (2007) pp 303-307.

The McKean stochastic game driven by a spectrally negative Lévy process (with Andreas Kyprianou ). Electronic Journal of Probability 8 (2008) pp. 173 - 197.

PhD thesis Fluctuation Theory and Stochastic Games for Spectrally Negative Lévy Processes. Please contact me if you would like to receive a copy.

The Shepp-Shiryaev stochastic game driven by a spectrally negative Lévy process (with Andreas Kyprianou ). Theory of Probability and Its Applications (Teoriya Veroyatnostei i ee Primeneniya) 53(2009) pp. 481-499

Last exit before an exponential time for spectrally negative Lévy processes. Journal of Applied Probability 46 (2009) pp. 542-558

Some excursion calculations for reflected Lévy processes. ALEA 6 (2009) pp. 149-162.

The Gapeev-KŘhn stochastic game driven by a spectrally positive LÚvy process (with Andreas Kyprianou and Juan Carlos Pardo). Stochastic Processes and their Applications 121 (2011) pp. 1266-1289.

Further calculations for the McKean stochastic game for a spectrally negative LÚvy process: from a point to an interval (with Kees van Schaik). Journal of Applied Probability 48 (2011) pp. 200-216.

Predicting the time at which a LÚvy process attains its ultimate supremum (with Kees van Schaik). Acta Applicandae Mathematicae 134 (2014), pp. 21-44.

Optimality of doubly reflected Levy processes in singular control (with Kazutoshi Yamazaki). Stochastic Processes and their Applications 125 (2015), pp. 2727-2751.

Optimal double stopping of a Brownian bridge (with Nan Chen, Budhi A. Surya and Kazutoshi Yamazaki). Advances in Applied Probability 47.4 (2015), To appear.

Gerber-Shiu functionals at Parisian ruin for LÚvy insurance risk processes (with Juan Carlos Pardo, JosÚ Luis PÚrez and Jean-Franšois Renaud) Journal of Applied Probability 53.2 (2016), To appear.


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[Last modified: April 2015 by Erik Baurdoux]
ę London School of Economics and Political Science 2007