Items where Author is "Baurdoux, Erik J."

Number of items: 19.
  • Examples of optimal stopping via measure transformation for processes with one-sided jumps. Baurdoux, Erik J.
  • Fluctuation theory and stochastic games for spectrally negative Lévy processes. Baurdoux, Erik J.
  • Further calculations for Israeli options. Baurdoux, Erik J. and Kyprianou, Andreas E.
  • Further calculations for the McKean stochastic game for a spectrally negative levy process: from a point to an interval. Baurdoux, Erik J. and Van Schaik, K.
  • The Gapeev-Kuhn stochastic game driven by a spectrally positive Levy process. Baurdoux, Erik J. and Kyprianou, Andreas E. and Pardo, J.C.
  • Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes. Baurdoux, Erik J. and Pardo, Juan Carlos and Perez, Jose Luis and Renaud, Jean-Francois
  • Last exit before an exponential time for spectrally negative Lévy processes. Baurdoux, Erik J.
  • Lp optimal prediction of the last zero of a spectrally negative Lévy process. Baurdoux, Erik J. and Pedraza, José M. picture_as_pdf
  • The McKean stochastic game driven by a spectrally negative Lévy process. Baurdoux, Erik J. and Kyprianou, Andreas E.
  • On future drawdowns of Lévy processes. Baurdoux, Erik J. and Palmowski, Z and Pistorius, Martijn R
  • On the last zero process with an application in corporate bankruptcy. Baurdoux, Erik J. and Pedraza, José M. picture_as_pdf
  • Optimal double stopping of a Brownian bridge. Baurdoux, Erik J. and Chen, Nan and Surya, Budhi and Yamazak, Kazutoshi
  • Optimal prediction for positive self-similar Markov processes. Baurdoux, Erik J. and Kyprianou, Andreas E. and Ott, Curdin
  • Optimality of doubly reflected Lévy processes in singular control. Baurdoux, Erik J. and Yamazaki, Kazutoshi
  • Predicting the last zero before an exponential time of a spectrally negative Lévy process. Baurdoux, Erik J. and Pedraza, José M. picture_as_pdf
  • Predicting the time at which a Lévy process attains its ultimate supremum. Baurdoux, Erik J. and Schaik, Kees
  • The Shepp-Shiryaev stochastic game driven by a spectrally negative Lévy process. Baurdoux, Erik J. and Kyprianou, Andreas E.
  • The Shepp-Shiryaev stochastic game driven by a spectrally negative Lévy process. Baurdoux, Erik J. and Kyprianou, Andreas E.
  • Some excursion calculations for reflected Lévy processes. Baurdoux, Erik J.