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Erik Baurdoux
Erik Baurdoux
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Title
Cited by
Cited by
Year
Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes
EJ Baurdoux, JC Pardo, JL Pérez, JF Renaud
Journal of Applied probability 53 (2), 572-584, 2016
572016
The McKean stochastic game driven by a spectrally negative Lévy process
E Baurdoux, A Kyprianou
412008
Further calculations for Israeli options
EJ Baurdoux, AE Kyprianou
Stochastics: An International Journal of Probability and Stochastic …, 2004
392004
The Shepp–Shiryaev stochastic game driven by a spectrally negative Lévy process
EJ Baurdoux, AE Kyprianou
Theory of Probability & Its Applications 53 (3), 481-499, 2009
282009
Last exit before an exponential time for spectrally negative Lévy processes
EJ Baurdoux
Journal of Applied Probability 46 (2), 542-558, 2009
262009
The Gapeev–Kühn stochastic game driven by a spectrally positive Lévy process
EJ Baurdoux, AE Kyprianou, JC Pardo
Stochastic Processes and their Applications 121 (6), 1266-1289, 2011
212011
Predicting the time at which a Lévy process attains its ultimate supremum
EJ Baurdoux, K Van Schaik
Acta applicandae mathematicae 134, 21-44, 2014
152014
On future drawdowns of Lévy processes
EJ Baurdoux, Z Palmowski, MR Pistorius
Stochastic Processes and their Applications 127 (8), 2679-2698, 2017
142017
Some excursion calculations for reflected Lévy processes
EJ Baurdoux
ALEA: Latin American Journal of Probability and Mathematical Statistics 6 …, 2009
142009
Examples of optimal stopping via measure transformation for processes with one-sided jumps
EJ Baurdoux
Stochastics An International Journal of Probability and Stochastic Processes …, 2007
112007
Optimal double stopping of a Brownian bridge
EJ Baurdoux, N Chen, BA Surya, K Yamazaki
Advances in Applied Probability 47 (4), 1212-1234, 2015
102015
Optimality of doubly reflected Lévy processes in singular control
EJ Baurdoux, K Yamazaki
Stochastic Processes and their Applications 125 (7), 2727-2751, 2015
102015
The Shepp–Shiryaev stochastic game driven by a spectrally negative Lévy process
E Baurdoux, A Kyprianou
Теория вероятностей и ее применения 53 (3), 588-609, 2008
102008
Optimal prediction for positive self-similar Markov processes
EJ Baurdoux, AE Kyprianou, C Ott
92016
Predicting the last zero of a spectrally negative Lévy process
EJ Baurdoux, JM Pedraza
XIII Symposium on Probability and Stochastic Processes: UNAM, Mexico …, 2020
72020
Fluctuation theory and stochastic games for spectrally negative Lévy processes
EJ Baurdoux
Universiteit Utrecht, 2007
72007
A direct method for solving optimal stopping problems for L\'evy processes
EJ Baurdoux
arXiv preprint arXiv:1303.3465, 2013
42013
optimal prediction of the last zero of a spectrally negative Lévy process
EJ Baurdoux, JM Pedraza
The Annals of Applied Probability 34 (1B), 1350-1402, 2024
32024
Further calculations for the McKean stochastic game for a spectrally negative Lévy process: from a point to an interval
EJ Baurdoux, K Van Schaik
Journal of applied probability 48 (1), 200-216, 2011
32011
On the last zero process with applications in corporate bankruptcy
EJ Baurdoux, JM Pedraza
arXiv preprint arXiv:2003.06871, 2020
12020
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