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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.

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  • 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

Network Recent external collaboration on country level. Dive into details by clicking on the dots.

Projects 2007 2023

Rutherford Fund Strategic Partner Grant

Kyprianou, A. & Milewski, P.


Project: Central government, health and local authorities

Wolfson Merit Award

Kyprianou, A.


Project: Research council

nuclear fission
reactor cores

EPSRC Centre for Doctoral Training in Statistical Applied Mathematics at Bath (SAMBa)

Kyprianou, A., Milewski, P. & Wood, S.


Project: Research-related fundingPGR Training Grant

Research Output 1996 2018

Conditioned real self-similar Markov processes

Kyprianou, A., Rivero Mercado, V. & Satitkanitkul, W. 18 Apr 2018 In : Stochastic Processes and their Applications.

Research output: Contribution to journalArticle

Self-similar Processes
Stable Process
Markov Process
Markov processes
1 Citations

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

Universality in a class of fragmentation-coalescence processes

Kyprianou, A. E., Pagett, S. W. & Rogers, T. 1 May 2018 In : Annales de l'Institut Henri Poincaré: Probabilités et Statistiques. 54, 2, p. 1134-1151

Research output: Contribution to journalArticle

Open Access
Thermodynamic Limit

Extinction properties of multi-type continuous-state branching processes

Kyprianou, A. & Palau Calderon, S. 24 Nov 2017 In : Stochastic Processes and their Applications. p. 1-24 24 p.

Research output: Contribution to journalArticle

Continuous-state Branching Process
Multitype Branching Process
Markov processes

Fragmentation-Coalescence Processes: Theory and Applications

Pagett, S. 2017 113 p.

Research output: ThesisDoctoral Thesis

Number of Clusters
Infinite Systems
Thermodynamic Limit