1996 …2023

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2020

Skeletal stochastic differential equations for superprocesses

Kyprianou, A., Fekete, D. & Fontbona, J., 10 Apr 2020, (Accepted/In press) In : Journal of Applied Probability.

Research output: Contribution to journalArticle

Open Access

Stochastic Methods for the Neutron Transport Equation I: Linear Semigroup asymptotics.

Horton, E., Kyprianou, A. & Villemonais, D., 8 Feb 2020, (Accepted/In press) In : Annals of Applied Probability.

Research output: Contribution to journalArticle

Stochastic Methods for the Neutron Transport Equation II: Almost sure growth.

Horton, E., Kyprianou, A. & Harris, S., 4 Mar 2020, (Accepted/In press) In : Annals of Applied Probability.

Research output: Contribution to journalArticle

Open Access
2019

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
4 Citations (Scopus)
18 Downloads (Pure)

Entrance and exit at infinity for stable jump diffusions

Kyprianou, A. & Doering, L., 7 Jul 2019, (Accepted/In press) In : Annals of Probability. 55 p.

Research output: Contribution to journalArticle

Open Access

Entrance laws at the origin of self-similar Markov processes in high dimensions

Kyprianou, A., Rivero Mercado, V., Sengul, B. & Yang, T., 2019, In : Transactions of the American Mathematical Society. 57 p.

Research output: Contribution to journalArticle

Open Access
File
8 Downloads (Pure)

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

Skeletal stochastic differential equations for continuous-state branching process

Fekete, D., Fontbona, J. & Kyprianou, A., 31 Dec 2019, In : Journal of Applied Probability. 56, 4, p. 1122-1150 29 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

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

6 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
3 Citations (Scopus)
27 Downloads (Pure)

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

2 Citations (Scopus)

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
1 Citation (Scopus)
22 Downloads (Pure)

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
6 Citations (Scopus)

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
1 Citation (Scopus)
33 Downloads (Pure)
2017

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

Kyprianou, A., Rogers, T., Pagett, S. & Schweinsberg, J., 30 Nov 2017, In : Annals of Probablitiy. 45, 6A, p. 3829-3849 21 p.

Research output: Contribution to journalArticle

Open Access
2 Citations (Scopus)

Real self-similar processes started from the origin

Dereich, S., Döring, L. & Kyprianou, A. E., 31 May 2017, In : Annals of Probability. 45, 3, p. 1952-2003 52 p.

Research output: Contribution to journalArticle

9 Citations (Scopus)

Stable processes, self-similarity and the unit ball

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

Research output: Contribution to journalArticle

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
1 Citation (Scopus)
118 Downloads (Pure)
2016

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
2 Citations (Scopus)
31 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
5 Citations (Scopus)
121 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
12 Citations (Scopus)
118 Downloads (Pure)

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

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

3 Citations (Scopus)
2015

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

Eckhoff, M., Kyprianou, A. E. & Winkel, M., 30 Sep 2015, In : Annals of Probability. 43, 5, p. 2545-2610 66 p.

Research output: Contribution to journalArticle

Open Access
File
8 Citations (Scopus)
106 Downloads (Pure)

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
2014

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
5 Citations (Scopus)
123 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
14 Citations (Scopus)
84 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
13 Citations (Scopus)
119 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
8 Citations (Scopus)
121 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
23 Citations (Scopus)
123 Downloads (Pure)

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

27 Citations (Scopus)

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
1 Citation (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
3 Citations (Scopus)
96 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
18 Citations (Scopus)
117 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
1 Citation (Scopus)
105 Downloads (Pure)
2013

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
41 Citations (Scopus)
121 Downloads (Pure)
2012

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

2 Citations (Scopus)

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

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
6 Citations (Scopus)
118 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
14 Citations (Scopus)
118 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
44 Citations (Scopus)
114 Downloads (Pure)

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

22 Citations (Scopus)

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
10 Citations (Scopus)
111 Downloads (Pure)
2011
File
5 Citations (Scopus)
114 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
39 Citations (Scopus)
86 Downloads (Pure)

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

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

55 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

8 Citations (Scopus)