Fluctuaction Theory of Positive Self-Similar Markov and Levy

Project: Research council

Project Details

StatusFinished
Effective start/end date1/04/0830/06/08

Funding

  • The Royal Society

Research Output

  • 4 Article
  • 1 Other chapter contribution

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 proceedingOther chapter contribution

Open Access
File
  • 86 Citations (Scopus)
    117 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)

    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

  • 20 Citations (Scopus)