LSE creators

Number of items: 19.
2025
  • Baurdoux, Erik J., Pedraza, José M. (2025). On the last zero process with an application in corporate bankruptcy. Advances in Applied Probability, 1 - 48. https://doi.org/10.1017/apr.2025.22 picture_as_pdf
    • 2024
  • Baurdoux, Erik J., 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. https://doi.org/10.1214/23-AAP1994 picture_as_pdf
    • 2023
  • Baurdoux, Erik J., Pedraza, José M. (2023). Predicting the last zero before an exponential time of a spectrally negative Lévy process. Advances in Applied Probability, 55(2), 611 - 642. https://doi.org/10.1017/apr.2022.47 picture_as_pdf
    • 2017
  • Baurdoux, Erik J., Palmowski, Z, Pistorius, Martijn R (2017). On future drawdowns of Lévy processes. Stochastic Processes and Their Applications, 127(8), 2679-2698. https://doi.org/10.1016/j.spa.2016.12.008
    • 2016
  • Baurdoux, Erik J., Kyprianou, Andreas E., Ott, Curdin (2016). Optimal prediction for positive self-similar Markov processes. Electronic Journal of Probability, 21, https://doi.org/10.1214/16-EJP4280
  • Baurdoux, Erik J., Pardo, Juan Carlos, Perez, Jose Luis, Renaud, Jean-Francois (2016). Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes. Journal of Applied Probability, 53(2), 572-584. https://doi.org/10.1017/jpr.2016.21
    • 2015
  • Baurdoux, Erik J., Chen, Nan, Surya, Budhi, Yamazak, Kazutoshi (2015). Optimal double stopping of a Brownian bridge. Advances in Applied Probability, 47(4), 1212-1234. https://doi.org/10.1239/aap/1449859807
  • Baurdoux, Erik J., Yamazaki, Kazutoshi (2015). Optimality of doubly reflected Lévy processes in singular control. Stochastic Processes and Their Applications, 125(7), 2727-2751. https://doi.org/10.1016/j.spa.2015.01.011
    • 2014
  • Baurdoux, Erik J., Schaik, Kees (2014). Predicting the time at which a Lévy process attains its ultimate supremum. Acta Applicandae Mathematicae, 134(1), 21-44. https://doi.org/10.1007/s10440-014-9867-2
    • 2011
  • Baurdoux, Erik J., Kyprianou, Andreas E., Pardo, J.C. (2011). The Gapeev-Kuhn stochastic game driven by a spectrally positive Levy process. Stochastic Processes and Their Applications, 121(6), 1266-1289. https://doi.org/10.1016/j.spa.2011.02.002
  • Baurdoux, Erik J., 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), 200-216. https://doi.org/10.1239/jap/1300198145
    • 2009
  • Baurdoux, Erik J. (2009). Last exit before an exponential time for spectrally negative Lévy processes. Journal of Applied Probability, 46(2), 542-588. https://doi.org/10.1239/jap/1245676105
  • Baurdoux, Erik J. (2009). Some excursion calculations for reflected Lévy processes. Alea: Latin American Journal of Probability and Mathematical Statistics, 6, 149-162.
  • Baurdoux, Erik J., Kyprianou, Andreas E. (2009). The Shepp-Shiryaev stochastic game driven by a spectrally negative Lévy process. Theory of Probability and Its Applications, 53(3), 481-499. https://doi.org/10.1137/S0040585X97983778
    • 2008
  • Baurdoux, Erik J., Kyprianou, Andreas E. (2008). The Shepp-Shiryaev stochastic game driven by a spectrally negative Lévy process. Teorii͡a Veroi͡atnosteĭ i Ee Primenenii͡a, 53(3), 588-609.
  • Baurdoux, Erik J., Kyprianou, Andreas E. (2008). The McKean stochastic game driven by a spectrally negative Lévy process. Electronic Journal of Probability, 13, 173-197. https://doi.org/10.1214/EJP.v13-484
    • 2007
  • Baurdoux, Erik J. (2007). Fluctuation theory and stochastic games for spectrally negative Lévy processes [Doctoral thesis]. Utrecht University.
  • 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), 303-307. https://doi.org/10.1080/17442500600856297
    • 2004
  • Baurdoux, Erik J., Kyprianou, Andreas E. (2004). Further calculations for Israeli options. Stochastics and Stochastic Reports, 76(6), 546-569. https://doi.org/10.1080/10451120412331313438