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Research Output 1996 2019

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2019
2 Citations (Scopus)
7 Downloads (Pure)

Conditioned real self-similar Markov processes

Kyprianou, A., Rivero Mercado, V. & Satitkanitkul, W., 1 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., 1 Jul 2019, In : Journal of Statistical Physics. 176, 2, p. 425-455 31 p.

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

2018
4 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 20 p.

Research output: Contribution to journalArticle

3 Citations (Scopus)
15 Downloads (Pure)

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
1 Citation (Scopus)

Stable Lévy processes, self-similarity and the unit ball

Kyprianou, A. E., 2018, In : Alea. 15, 1, p. 617-690 74 p.

Research output: Contribution to journalArticle

1 Citation (Scopus)
12 Downloads (Pure)

Stable windings at the origin

Kyprianou, A. E. & Vakeroudis, S., 1 Dec 2018, In : Stochastic Processes and their Applications. 128, 12, p. 4309-4325 17 p.

Research output: Contribution to journalArticle

Open Access
File
Symmetric Stable Processes
Functional Limit Theorem
Self-similar Processes
Stable Process
Brownian movement
4 Citations (Scopus)

Unbiased `walk-on-spheres' Monte Carlo methods for the fractional Laplacian

Kyprianou, A., Osojnik, A. & Shardlow, T., 1 Jul 2018, In : IMA Journal of Numerical Analysis. 38, 3, p. 1550-1578 29 p.

Research output: Contribution to journalArticle

Open Access
Fractional Laplacian
Walk
Monte Carlo method
Stable Process
Monte Carlo methods
1 Citation (Scopus)
21 Downloads (Pure)

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 18 p.

Research output: Contribution to journalArticle

Open Access
File
Coalescence
Fragmentation
Universality
Breakup
Thermodynamic Limit
2017
2 Citations (Scopus)

A phase transition in excursions from infinity of the "fast" fragmentation-coalescence process

Kyprianou, A., Rogers, T., Pagett, S. & Schweinsberg, J., 27 Nov 2017, In : Annals of Probablitiy. 45, 6A, p. 3829-3849

Research output: Contribution to journalArticle

Open Access
Excursion
Coalescence
Fragmentation
Phase Transition
Infinity
7 Citations (Scopus)

Real self-similar processes started from the origin

Dereich, S., Döring, L. & Kyprianou, A. E., 1 May 2017, In : Annals of Probability. 45, 3, p. 1952-2003 52 p.

Research output: Contribution to journalArticle

Self-similar Processes
Markov Process
Markov Additive Process
Initial conditions
Fluctuations (theory)

Stable processes, self-similarity and the unit ball

Kyprianou, A., 2017, In : Preprint at arxiv.

Research output: Contribution to journalArticle

1 Citation (Scopus)
85 Downloads (Pure)

The largest fragment of a homogeneous fragmentation process

Kyprianou, A., Lane, F. & Morters, P., 1 Mar 2017, In : Journal of Statistical Physics. 166, 5, p. 1226–1246

Research output: Contribution to journalArticle

Open Access
File
2016
1 Citation (Scopus)
22 Downloads (Pure)

An euler-poisson scheme for Lévy driven SDEs

Ferreiro-Castilla, A., Kyprianou, A. & Scheichl, R., Mar 2016, In : Journal of Applied Probability. 53, 1, p. 262-278

Research output: Contribution to journalArticle

Open Access
File
4 Citations (Scopus)
86 Downloads (Pure)

Branching brownian motion in a strip: survival near criticality

Harris, S., Hesse, M. & Kyprianou, A., Jan 2016, In : Annals of Probability. 44, 1, p. 235-275 51 p.

Research output: Contribution to journalArticle

Open Access
File
Branching Brownian Motion
Criticality
Strip
Spine
Backbone
10 Citations (Scopus)
84 Downloads (Pure)

Deep factorisation of the stable process

Kyprianou, A., 2016, In : Electronic Journal of Probability. 21, 28 p.

Research output: Contribution to journalArticle

Open Access
File

More on hypergeometric Lévy processes

Horton, E. & Kyprianou, A., 31 Jul 2016, In : Advances in Applied Probability. 48, A, p. 153-158 6 p.

Research output: Contribution to journalArticle

Optimal prediction for positive self-similar Markov processes

Baurdoux, E. J., Kyprianou, A. E. & Ott, C., 28 Jul 2016, In : Electronic Journal of Probability. 21, 24 p., 48.

Research output: Contribution to journalArticle

Open Access
Optimal Prediction
Self-similar Processes
Markov Process
Lévy Process
Bessel Process
2 Citations (Scopus)

Perpetual integrals for Lévy processes

Doering, L. & Kyprianou, A. E., Sep 2016, In : Journal of Theoretical Probability. 29, 3, p. 1192-1198 7 p.

Research output: Contribution to journalArticle

Local Time
Lévy Process
Stationary Process
Finiteness
Lemma
2015
5 Citations (Scopus)
70 Downloads (Pure)

Spines, skeletons and the strong law of large numbers for superdiffusions

Eckhoff, M., Kyprianou, A. E. & Winkel, M., 9 Sep 2015, In : Annals of Probability. 43, 5, p. 2545-2610 66 p.

Research output: Contribution to journalArticle

Open Access
File
Superdiffusion
Strong law of large numbers
Spine
Skeleton
Branching

UK universities find a cash cow in the financial fall-out

Kyprianou, A., 13 Feb 2015, The Conversation.

Research output: Contribution to specialist publicationArticle

Open Access
Cash
Mathematics
Financial services industry
Financial derivatives
Financial mathematics
2014
5 Citations (Scopus)
86 Downloads (Pure)

A capped optimal stopping problem for the maximum process

Kyprianou, A. & Ott, C., Feb 2014, In : Acta Applicandae Mathematicae. 129, 1, p. 147-174 28 p.

Research output: Contribution to journalArticle

Open Access
File
Scale Function
Optimal Stopping Problem
Mathematical Finance
Optimal Stopping
Finance
12 Citations (Scopus)
57 Downloads (Pure)

Hitting distributions of α-stable processes via path censoring and self-similarity

Kyprianou, A., Pardo, J. C. & Watson, A., Jan 2014, In : Annals of Probability. 42, 1, p. 398-430 33 p.

Research output: Contribution to journalArticle

Open Access
File
Stable Process
Self-similarity
Censoring
Path
Wiener-Hopf Factorization
12 Citations (Scopus)
83 Downloads (Pure)

Multilevel Monte Carlo simulation for Lévy processes based on the Wiener–Hopf factorisation

Ferreiro-Castilla, A., Kyprianou, A. E., Scheichl, R. & Suryanarayana, G., Feb 2014, In : Stochastic Processes and their Applications. 124, 2, p. 985-1010 26 p.

Research output: Contribution to journalArticle

Open Access
File
Wiener-Hopf Factorization
Lévy Process
Factorization
Monte Carlo Simulation
Optimal Rate of Convergence
8 Citations (Scopus)
85 Downloads (Pure)

New families of subordinators with explicit transition probability semigroup

Burridge, J., Kuznetsov, A., Kwaśnicki, M. & Kyprianou, A. E., Oct 2014, In : Stochastic Processes and their Applications. 124, 10, p. 3480-3495 16 p.

Research output: Contribution to journalArticle

Open Access
File
Subordinator
Transition Probability
Semigroup
Complete Monotonicity
Applied Probability
21 Citations (Scopus)
85 Downloads (Pure)

Occupation times of refracted Lévy processes

Kyprianou, A. E., Pardo, J. C. & Pérez, J. L., Dec 2014, In : Journal of Theoretical Probability. 27, 4, p. 1292-1315 24 p.

Research output: Contribution to journalArticle

Open Access
File
Occupation Time
Lévy Process
U-processes
Strong Solution
Wedge
27 Citations (Scopus)

Optimal dividends in the dual model under transaction costs

Bayraktar, E., Kyprianou, A. E. & Yamazaki, K., 1 Jan 2014, In : Insurance, Mathematics and Economics. 54, 1, p. 133-143 11 p.

Research output: Contribution to journalArticle

Transaction Costs
Dividend
Scale Function
Lévy Process
Optimal Strategy
1 Citation (Scopus)
43 Downloads (Pure)

Survival of homogenous fragmentation processes with killing

Knobloch, R. & Kyprianou, A., May 2014, In : Annales de l'Institut Henri Poincare B Probabilites et Statistiques. 50, 2, p. 467 - 491 25 p.

Research output: Contribution to journalArticle

Open Access
File
Fragmentation
Martingale
Extinction
Fragment
Decay
3 Citations (Scopus)
66 Downloads (Pure)

The extended hypergeometric class of Lévy processes

Kyprianou, A., Pardo Millan, J-C. & Watson, A., 2 Dec 2014, In : Journal of Applied Probability. 51A, p. 391 - 408 18 p.

Research output: Contribution to journalArticle

Open Access
File
Stable Process
Lévy Process
Wiener-Hopf Factorization
Fluctuations
Computing
17 Citations (Scopus)
81 Downloads (Pure)

The hitting time of zero for a stable process

Kuznetsov, A., Kyprianou, A. E., Pardo, J. C. & Watson, A. R., 9 Mar 2014, In : Electronic Journal of Probability. 19, p. 1-26 30.

Research output: Contribution to journalArticle

Open Access
File
Markov Additive Process
First Hitting Time
Self-similar Processes
Hitting Time
Mellin Transform
1 Citation (Scopus)
70 Downloads (Pure)

The mass of super-Brownian motion upon exiting balls and Sheu's compact support condition

Hesse, M. & Kyprianou, A. E., 1 Jun 2014, In : Stochastic Processes and their Applications. 124, 6, p. 2003-2022 20 p.

Research output: Contribution to journalArticle

Open Access
File
Super-Brownian Motion
Brownian movement
Compact Support
Branching
Ball
2013
39 Citations (Scopus)
84 Downloads (Pure)

On optimal dividends in the dual model

Bayraktar, E., Kyprianou, A. E. & Yamazaki, K., Sep 2013, In : ASTIN Bulletin. 43, 3, p. 359-372 14 p.

Research output: Contribution to journalArticle

Open Access
File
Lévy process
Optimal dividends
Payment
Barrier strategy
Time of ruin
2012
1 Citation (Scopus)

An application of the backbone decomposition to supercritical super-Brownian motion with a barrier

Kyprianou, A. E., Murillo-Salas, A. & Pérez, J. L., Sep 2012, In : Journal of Applied Probability. 49, 3, p. 671-684 14 p.

Research output: Contribution to journalArticle

Super-Brownian Motion
Backbone
Branching Brownian Motion
Decompose
Wave equation

An optimal stopping problem for fragmentation processes

Kyprianou, A. E. & Pardo, J. C., Apr 2012, In : Stochastic Processes and their Applications. 122, 4, p. 1210-1225 16 p.

Research output: Contribution to journalArticle

Optimal Stopping Problem
Fragmentation
Generalized Ornstein-Uhlenbeck Process
Lévy Process
Fragment
5 Citations (Scopus)
83 Downloads (Pure)

Backbone decomposition for continuous-state branching processes with immigration

Kyprianou, A. E. & Ren, Y. X., Jan 2012, In : Statistics & Probability Letters. 82, 1, p. 139-144 6 p.

Research output: Contribution to journalArticle

Open Access
File
Continuous-state Branching Process
Immigration
Backbone
Decompose
Galton-Watson Tree
13 Citations (Scopus)
80 Downloads (Pure)

Fluctuation theory and exit systems for positiveself-similar Markov processes

Chaumont, L., Kyprianou, A. E., Pardo, J-C. & Rivero, V., Jan 2012, In : Annals of Probability. 40, 1, p. 245-279 35 p.

Research output: Contribution to journalArticle

File
43 Citations (Scopus)
77 Downloads (Pure)

Meromorphic levy processes and their fluctuation identities

Kuznetsov, A., Kyprianou, A. E. & Pardo, J-C., Jun 2012, In : Annals of Applied Probability. 22, 3, p. 1101-1135 35 p.

Research output: Contribution to journalArticle

File
Meromorphic
Lévy Process
Fluctuations
Factorization
Applied Probability
20 Citations (Scopus)

Optimal control with absolutely continuous strategies for spectrally negative lévy processes

Kyprianou, A. E., Loeffen, R. & Pérez, J-L., Mar 2012, In : Journal of Applied Probability. 49, 1, p. 150-166 17 p.

Research output: Contribution to journalArticle

Completely Monotone
Lévy Measure
Lévy Process
Absolutely Continuous
Optimal Strategy
10 Citations (Scopus)
73 Downloads (Pure)

Supercritical super-Brownian motion with a general branching mechanism and travelling waves

Kyprianou, A. E., Liu, R. L., Murillo-Salas, A. & Ren, Y. X., Aug 2012, In : Annales de l'Institut Henri Poincaré: Probabilités et Statistiques. 48, 3, p. 661-687 27 p.

Research output: Contribution to journalArticle

File
Branching Brownian Motion
Super-Brownian Motion
Traveling Wave
Poincaré
Branching
2011
4 Citations (Scopus)
77 Downloads (Pure)
File
Self-similar Processes
Markov Process
Lévy Process
Fluctuations (theory)
Laplace
39 Citations (Scopus)
56 Downloads (Pure)

A Wiener-Hopf Monte Carlo simulation technique for Lévy process

Kuzntsov, A., Kyprianou, A. E., Pardo, J-C. & Van Schaik, K., Dec 2011, In : Annals of Applied Probability. 21, 6, p. 2171-2190 20 p.

Research output: Contribution to journalArticle

File
Lévy Process
Monte Carlo Simulation
Factorization
Exit Problem
Financial Mathematics

On the excursions of reflected local time processes and stochastic fluid queues

Konstantopoulos, T., Kyprianou, A. E. & Salminen, P., Aug 2011, In : Journal of Applied Probability. 48A, p. 79-98 20 p.

Research output: Contribution to journalArticle

Fluid Queue
Excursion
Local Time
Markov Process
Local time
53 Citations (Scopus)

Smoothness of scale functions for spectrally negative Lévy processes

Chan, T., Kyprianou, A. E. & Savov, M., 1 Aug 2011, In : Probability Theory and Related Fields. 150, 3-4, p. 691-708 18 p.

Research output: Contribution to journalArticle

Scale Function
Lévy Process
Smoothness
Renewal Function
Calculus
7 Citations (Scopus)

The Gapeev–Kühn stochastic game driven by a spectrally positive Lévy process

Baurdoux, E. J., Kyprianou, A. E. & Pardo, J-C., Jun 2011, In : Stochastic Processes and their Applications. 121, 6, p. 1266-1289 24 p.

Research output: Contribution to journalArticle

Stochastic Games
Brownian movement
Lévy Process
Boundary value problems
Dynkin Games
15 Citations (Scopus)
80 Downloads (Pure)

The prolific backbone for supercritical superprocesses

Berestycki, J., Kyprianou, A. E. & Murillo-Salas, A., Jun 2011, In : Stochastic Processes and their Applications. 121, 6, p. 1315-1331 17 p.

Research output: Contribution to journalArticle

Open Access
File
Superprocess
Backbone
Decomposition
Complement
Decompose
10 Citations (Scopus)
54 Downloads (Pure)

Travelling waves and homogeneous fragmentation

Berestycki, J., Harris, S. C. & Kyprianou, A. E., Oct 2011, In : Annals of Applied Probability. 21, 5, p. 1749-1794 46 p.

Research output: Contribution to journalArticle

File
Fragmentation
Traveling Wave
Branching Brownian Motion
Branching Random Walk
Law of large numbers
2010
42 Citations (Scopus)

A note on scale functions and the time value of ruin for Levy insurance risk processes

Biffis, E. & Kyprianou, A. E., Feb 2010, In : Insurance, Mathematics and Economics. 46, 1, p. 85-91 7 p.

Research output: Contribution to journalArticle

Gerber-Shiu Function
Scale Function
Risk Process
Dividend
Lévy Process
20 Citations (Scopus)

Convexity and smoothness of scale functions and de Finetti's control problem

Kyprianou, A. E., Rivero, V. & Song, R. M., Jun 2010, In : Journal of Theoretical Probability. 23, 2, p. 547-564 18 p.

Research output: Contribution to journalArticle

Scale Function
Convexity
Smoothness
Control Problem
Subordinator
19 Citations (Scopus)
73 Downloads (Pure)

Exact and asymptotic n-tuple laws at first and last passage

Kyprianou, A. E., Pardo, J. C. & Rivero, V., Apr 2010, In : Annals of Applied Probability. 20, 2, p. 522-564 43 p.

Research output: Contribution to journalArticle

File
Lévy Process
Self-similar Processes
Markov Process
n-tuple
Stable Process
45 Citations (Scopus)

Refracted Levy processes

Kyprianou, A. E. & Loeffen, R. L., Feb 2010, In : Annales de l'Institut Henri Poincaré: Probabilités et Statistiques. 46, 1, p. 24-44 21 p.

Research output: Contribution to journalArticle

Lévy Process
U-processes
Boundary Crossing
Exit Problem
Scale Function