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Personal profile

Research interests

I have several main themes of research. I am generally interested in the theory of Lévy processes and their insertion into a wide variety of (applied) probability models arising in: optimal stopping and stochastic control problems, queuing theory, (numerical) stochastic differential equations and financial and actuarial mathematics. More recently I have been interested in questions pertaining to the (potential) analysis of self-similar Markov processes. I also have broad and active interests in the theory of branching and coalescing structures. These include (spatial) growth properties of branching random walks, branching particle diffusions, superprocesses and continuous-state branching processes, fragmentation processes and stochastic coalescent models.

My interest in these all of these subfields of probability is largely, but not exclusively, motivated by elegant path decompositions. I am also drawn to anything that can be proved in a beautiful way using a martingale.

Educated at the Universities of Oxford and Sheffield, and having held previous academic positions at the London School of Economics, Edinburgh University, Utrecht University and at Heriot Watt University, I came to Bath in 2006. I am the co-founder and current director of of Prob-L@B: the Probability Laboratory at Bath.

Fingerprint Dive into the research topics where Andreas Kyprianou is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

  • 4 Similar Profiles
Lévy Process Mathematics
Scale Function Mathematics
Martingale Mathematics
Self-similar Processes Mathematics
Stable Process Mathematics
Markov Process Mathematics
Branching Mathematics
Continuous-state Branching Process Mathematics

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Projects 2007 2023

Wolfson Merit Award

Kyprianou, A.

1/02/1831/01/23

Project: Research council

safety
neutrons
nuclear fission
reactor cores
industries

Research Output 1996 2019

Conditioned real self-similar Markov processes

Kyprianou, A., Rivero Mercado, V. & Satitkanitkul, W., 31 Mar 2019, In : Stochastic Processes and their Applications. 129, 3, p. 954-977 24 p.

Research output: Contribution to journalArticle

Open Access
File
Self-similar Processes
Stable Process
Markov Process
Markov processes
Conditioning

Multi-species neutron transport equation

Cox, A. M. G., Harris, S. C., Horton, E. & Kyprianou, A., 10 May 2019, In : Journal of Statistical Physics.

Research output: Contribution to journalArticle

Open Access

Stable processes conditioned to avoid an interval

Döring, L., Kyprianou, A. E. & Weissmann, P., 19 Feb 2019, In : Stochastic Processes and their Applications.

Research output: Contribution to journalArticle

3 Citations (Scopus)

Deep factorisation of the stable process II: potentials and applications

Kyprianou, A., Rivero Mercado, V. & Sengul, B., 1 Feb 2018, In : Annales de l'Institut Henri Poincaré: Probabilités et Statistiques. 54, 1, p. 343-362

Research output: Contribution to journalArticle

2 Citations (Scopus)

Extinction properties of multi-type continuous-state branching processes

Kyprianou, A. & Palau Calderon, S., 1 Oct 2018, In : Stochastic Processes and their Applications. 128, 10, p. 1-24 24 p.

Research output: Contribution to journalArticle

Open Access
File
Continuous-state Branching Process
Multitype Branching Process
Finance
Extinction
Markov processes

Thesis

Asymptotic properties of fragmentation processes

Author: Knobloch, R., 1 Jan 2011

Supervisor: Kyprianou, A. (Supervisor) & Harris, S. (Supervisor)

Student thesis: Doctoral ThesisPhD

File

Branching Diffusions on the Boundary and the Interior of Balls

Author: Hesse, M., 17 Dec 2013

Supervisor: Kyprianou, A. (Supervisor) & Harris, S. (Supervisor)

Student thesis: Doctoral ThesisPhD

File

Fragmentation-Coalescence Processes: Theory and Applications

Author: Pagett, S., 26 Apr 2017

Supervisor: Rogers, T. (Supervisor) & Kyprianou, A. (Supervisor)

Student thesis: Doctoral ThesisPhD

File

Optimal Stopping Problems for the Maximum Process

Author: Ott, C., 31 Dec 2013

Supervisor: Kyprianou, A. (Supervisor)

Student thesis: Doctoral ThesisPhD

File

Stable Processes

Author: Watson, A., 9 Oct 2013

Supervisor: Kyprianou, A. (Supervisor)

Student thesis: Doctoral ThesisPhD

File