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Research Output 1996 2019

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2014
2 Citations (Scopus)
77 Downloads (Pure)

Potentials of stable processes

Kyprianou, A. & Watson, A. R., 30 Oct 2014, Seminaire de Probabilites XLV1. Donati-Martin, C., Lejay, A. & Roualt, A. (eds.). Switzerland: Springer, p. 333 - 344 12 p. (Seminaire de Probabilites; vol. 2123).

Research output: Chapter in Book/Report/Conference proceedingChapter

Open Access
File
Stable Process
Exit Problem
Interval
Overshoot
Explicit Formula
3 Citations (Scopus)
72 Downloads (Pure)

The backbone decomposition for spatially dependent supercritical superprocesses

Kyprianou, A., Pérez, J-L. & Ren, Y. X., 30 Oct 2014, Seminaire de Probabilites XLVI. Donati-Martin, C., LeJay, A. & Rouault, A. (eds.). Switzerland: Springer, p. 33 - 59 27 p. (Lecture Notes in Mathematics; vol. 2123).

Research output: Chapter in Book/Report/Conference proceedingChapter

Open Access
File
Superprocess
Backbone
Galton-Watson Process
Decompose
Dependent
2013

Super-Brownian motion: Lp-convergence of Martingales through the pathwise spine decomposition

Kyprianou, A. E. & Murillo-Salas, A., 2013, Advances in Superprocesses and Nonlinear PDEs. Englander, J. & Rider, B. (eds.). New York: Springer, Vol. 38. p. 113-121 (Springer Proceedings in Mathematics & Statistics; vol. 38).

Research output: Chapter in Book/Report/Conference proceedingChapter

Super-Brownian Motion
Spine
Martingale
Branching
Superprocess
2011

Old and new examples of scale functions for spectrally negative Lévy processes.

Hubalek, F. & Kyprianou, A. E., 2011, Seminar on Stochastic Analysis, Random Fields and Applications VI. Dalang, R., Dozzi, M. & Russo, F. (eds.). Springer, p. 119-145 27 p. (Progress in Probability).

Research output: Chapter in Book/Report/Conference proceedingChapter

2010

Lévy processes

Kyprianou, A., 2010, Encyclopedia of Quantitative Finance. Cont, R. (ed.). Chichester: Wiley

Research output: Chapter in Book/Report/Conference proceedingChapter

The Wiener-Hopf decomposition

Kyprianou, A., 2010, Encyclopedia of Quantitative Finance. Cont, R. (ed.). Chichester: Wiley

Research output: Chapter in Book/Report/Conference proceedingChapter

2008
21 Citations (Scopus)

Fluctuations of spectrally negative Markov additive processes

Kyprianou, A. E. & Palmowski, Z., 2008, Séminaire de Probabilités XLI. Berlin: Springer, Vol. 1934. p. 121-135 15 p. (Lecture Notes in Mathematics).

Research output: Chapter in Book/Report/Conference proceedingChapter

Markov Additive Process
Exit Problem
Fluctuations
Lévy Process
Generalise
2006

A note on the change of variable formula with local time-space for bounded variation Levy processes

Kyprianou, A. E. & Surya, B., 2006, Seminaire de Probabilites XL. Berlin: Springer, Vol. 1899/2007. p. 97-104 8 p. (Lecture Notes in Mathematics).

Research output: Chapter in Book/Report/Conference proceedingChapter

2005
29 Citations (Scopus)

A martingale review of some fluctuation theory for spectrally negative Levy processes

Kyprianou, A. E. & Palmowski, Z., 2005, Seminaire de Probabilites XXXVIII. Berlin: Springer, Vol. 1857. p. 16-29 14 p. (Lecture Notes in Mathematics).

Research output: Chapter in Book/Report/Conference proceedingChapter

Lévy processes in finance distinguished by their coarse and fine path properties

Kyprianou, A. & Loeffen, R., 2005, Exotic Option Pricing and Advanced Lévy Models. Kyprianou, A., Schoutens, W. & Wilmott, P. (eds.). Chichester: Wiley, p. 1-28 28 p.

Research output: Chapter in Book/Report/Conference proceedingChapter

1996

Branching random walk: Seneta-Heyde norming

Biggins, J. D. & Kyprianou, A., 1996, Trees: Proceedings of a Workshop held in Versailles June 14-16, 1995. Chauvin, B., Cohen, S. & Rouault, A. (eds.). Birkhaser: Basel, p. 31-50 20 p.

Research output: Chapter in Book/Report/Conference proceedingChapter