Fluctuaction Theory of Positive Self-Similar Markov and Levy

Project: Research council

Project Details

Status	Finished
Effective start/end date	1/04/08 → 30/06/08

The theory of scale functions for spectrally negative lévy processes
Kuznetsov, A., Kyprianou, A. E. & Rivero, V., 2013, Lévy Matters II: Recent Progress in Theory and Applications: Fractional Lévy Fields, and Scale Functions. Berlin: Springer, p. 97-186 90 p. (Lecture Notes in Mathematics; vol. 2061).
Research output: Chapter in Book/Report/Conference proceeding › Other chapter contribution

Open Access
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95 Citations (Scopus)

163 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 journal › Article

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16 Citations (Scopus)

135 Downloads (Pure)
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 journal › Article
22 Citations (Scopus)