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Kyprianou, Andreas E.

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Author ID: kyprianou.andreas-e Recent zbMATH articles by "Kyprianou, Andreas E."
Published as: Kyprianou, Andreas E.; Kyprianou, A. E.; Kyprianou, Andreas; Kyprianou, A.
External Links: MGP
Documents Indexed: 115 Publications since 1996, including 5 Books
all top 5

Co-Authors

12 single-authored
13 Pardo, Juan Carlos
11 Rivero, Víctor Manuel
6 Harris, Simon C.
6 Kuznetsov, Alexey
4 Baurdoux, Erik Jan
4 Biggins, J. D.
4 Döring, Leif
4 Murillo-Salas, Antonio
4 Palmowski, Zbigniew
4 Pérez Garmendia, Jose Luis
4 Ren, Yanxia
4 Watson, Alexander R.
3 Horton, Emma L.
3 Ott, Curdin
3 Palau, Sandra
3 Şengül, Batı
3 Surya, Budhi Arta
3 Van Schaik, Kees
2 Bayraktar, Erhan
2 Berestycki, Julien
2 Chaumont, Loïc
2 Cox, Alexander Matthew Gordon
2 Eisenbaum, Nathalie
2 Engländer, János
2 Fekete, Dorottya
2 Ferreiro-Castilla, Albert
2 Fontbona, Joaquin
2 Hesse, Marion
2 Klüppelberg, Claudia
2 Knobloch, Robert
2 Konstantopoulos, Takis
2 Kuhn, Christoph
2 Loeffen, Ronnie L.
2 Pagett, Steven W.
2 Peskir, Goran
2 Pistorius, Martijn R.
2 Rogers, Tim
2 Salminen, Paavo H.
2 Satitkanitkul, Weerapat
2 Scheichl, Robert
2 Yamazaki, Kazutoshi
1 Alili, Larbi
1 Avram, Florin
1 Ballotta, Laura
1 Biffis, Enrico
1 Chan, Terence
1 Charalambous, Charalambos D.
1 Cohen, Serge
1 Dereich, Steffen
1 Doney, Ronald Arthur
1 Duistermaat, Johannes Jisse
1 Eckhoff, Maren
1 Hambly, Ben M.
1 Harris, John William
1 Jacka, Saul D.
1 Kersting, Götz-Dietrich
1 Kwaśnicki, Mateusz
1 Lane, Francis
1 Liu, Rongli
1 Maller, Ross Arthur
1 Matache, Ana-Maria
1 Mörters, Peter
1 Osojnik, Ana
1 Patie, Pierre
1 Rahimzadeh Sani, A.
1 Rezaei, Farzad
1 Saizmaa, Tsogzolmaa
1 Savov, Mladen Svetoslavov
1 Schoutens, Wim
1 Schweinsberg, Jason Ross
1 Shardlow, Tony
1 Sirviö, Marina
1 Song, Renming
1 Staszewski, Wieslaw J.
1 Vakeroudis, Stavros M.
1 Vatutin, Vladimir Alekseevich
1 Vidmar, Matija
1 Villemonais, Denis
1 Weissmann, Philip
1 Wilmott, Paul
1 Winkel, Matthias
1 Yang, Ting
1 Zhou, Xiaowen

Publications by Year

Citations contained in zbMATH Open

103 Publications have been cited 2,354 times in 1,150 Documents Cited by Year
Introductory lectures on fluctuations of Lévy processes with applications. Zbl 1104.60001
Kyprianou, Andreas E.
382
2006
Fluctuations of Lévy processes with applications. Introductory lectures. 2nd ed. Zbl 1384.60003
Kyprianou, Andreas E.
116
2014
Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options. Zbl 1042.60023
Avram, F.; Kyprianou, A. E.; Pistorius, M. R.
103
2004
The theory of scale functions for spectrally negative Lévy processes. Zbl 1261.60047
Kuznetsov, Alexey; Kyprianou, Andreas E.; Rivero, Victor
101
2012
Ruin probabilities and overshoots for general Lévy insurance risk processes. Zbl 1066.60049
Klüppelberg, Claudia; Kyprianou, Andreas E.; Maller, Ross A.
90
2004
Some remarks on first passage of Lévy processes, the American put and pasting principles. Zbl 1083.60034
Alili, L.; Kyprianou, A. E.
76
2005
Measure change in multitype branching. Zbl 1056.60082
Biggins, J. D.; Kyprianou, A. E.
72
2004
Smoothness of scale functions for spectrally negative Lévy processes. Zbl 1259.60050
Chan, T.; Kyprianou, A. E.; Savov, M.
66
2011
Overshoots and undershoots of Lévy processes. Zbl 1101.60029
Doney, R. A.; Kyprianou, A. E.
65
2006
Seneta-Heyde norming in the branching random walk. Zbl 0873.60062
Biggins, J. D.; Kyprianou, A. E.
51
1997
Distributional study of De Finetti’s dividend problem for a general Lévy insurance risk process. Zbl 1137.60047
Kyprianou, A. E.; Palmowski, Z.
51
2007
Refracted Lévy processes. Zbl 1201.60042
Kyprianou, A. E.; Loeffen, R. L.
47
2010
Perpetual options and Canadization through fluctuation theory. Zbl 1039.60044
Kyprianou, A. E.; Pistorius, M. R.
45
2003
Local extinction versus local exponential growth for spatial branching processes. Zbl 1056.60083
Engländer, János; Kyprianou, Andreas E.
39
2004
A note on scale functions and the time value of ruin for Lévy insurance risk processes. Zbl 1231.91145
Biffis, Enrico; Kyprianou, Andreas E.
38
2010
On optimal dividends in the dual model. Zbl 1283.91192
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
38
2013
Meromorphic Lévy processes and their fluctuation identities. Zbl 1252.60044
Kuznetsov, A.; Kyprianou, A. E.; Pardo, J. C.
36
2012
General tax structures and the Lévy insurance risk model. Zbl 1210.60098
Kyprianou, Andreas E.; Zhou, Xiaowen
35
2009
Fixed points of the smoothing transform: the boundary case. Zbl 1110.60081
Biggins, J. D.; Kyprianou, A. E.
34
2005
A Wiener-Hopf Monte Carlo simulation technique for Lévy processes. Zbl 1245.65005
Kuznetsov, A.; Kyprianou, A. E.; Pardo, J. C.; van Schaik, K.
33
2011
Travelling wave solutions to the K-P-P equation: alternatives to Simon Harris’ probabilistic analysis. Zbl 1042.60057
Kyprianou, A. E.
30
2004
A martingale review of some fluctuation theory for spectrally negative Lévy processes. Zbl 1063.60071
Kyprianou, Andreas E.; Palmowski, Zbigniew
29
2005
Fluctuations of spectrally negative Markov additive processes. Zbl 1156.60060
Kyprianou, Andreas E.; Palmowski, Zbigniew
29
2008
Strong law of large numbers for branching diffusions. Zbl 1196.60139
Engländer, János; Harris, Simon C.; Kyprianou, Andreas E.
29
2010
Gerber-Shiu risk theory. Zbl 1277.91003
Kyprianou, Andreas E.
27
2013
Some calculations for Israeli options. Zbl 1098.91055
Kyprianou, Andreas E.
26
2004
Special, conjugate and complete scale functions for spectrally negative Lévy processes. Zbl 1193.60064
Kyprianou, Andreas E.; Rivero, Victor
25
2008
Occupation times of refracted Lévy processes. Zbl 1306.60049
Kyprianou, A. E.; Pardo, J. C.; Pérez, J. L.
25
2014
Further probabilistic analysis of the Fisher-Kolmogorov-Petrovskii-Piscounov equation: one sided travelling-waves. Zbl 1093.60059
Harris, J. W.; Harris, S. C.; Kyprianou, A. E.
23
2006
Optimal dividends in the dual model under transaction costs. Zbl 1294.91071
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
23
2014
Some explicit identities associated with positive self-similar Markov processes. Zbl 1170.60017
Chaumont, L.; Kyprianou, A. E.; Pardo, J. C.
22
2009
Convexity and smoothness of scale functions and de Finetti’s control problem. Zbl 1188.93115
Kyprianou, Andreas E.; Rivero, Víctor; Song, Renming
22
2010
Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels. Zbl 1143.91020
Kyprianou, A. E.; Surya, B. A.
22
2007
Optimal control with absolutely continuous strategies for spectrally negative Lévy processes. Zbl 1253.93001
Kyprianou, Andreas E.; Loeffen, Ronnie; Pérez, José-Luis
21
2012
Exotic option pricing and advanced Lévy models. Zbl 1140.91050
Kyprianou, Andreas (ed.); Schoutens, Wim (ed.); Wilmott, Paul (ed.)
21
2005
The prolific backbone for supercritical superprocesses. Zbl 1225.60138
Berestycki, J.; Kyprianou, A. E.; Murillo-Salas, A.
20
2011
On extreme ruinous behaviour of Lévy insurance risk processes. Zbl 1118.60071
Klüppelberg, C.; Kyprianou, A. E.
20
2006
Exact and asymptotic \(n\)-tuple laws at first and last passage. Zbl 1200.60038
Kyprianou, A. E.; Pardo, J. C.; Rivero, V.
18
2010
Continuous-state branching processes and self-similarity. Zbl 1157.60078
Kyprianou, A. E.; Pardo, J. C.
16
2008
Hitting distributions of \(\alpha\)-stable processes via path censoring and self-similarity. Zbl 1306.60051
Kyprianou, Andreas E.; Pardo, Juan Carlos; Watson, Alexander R.
16
2014
Spines, skeletons and the strong law of large numbers for superdiffusions. Zbl 1330.60052
Eckhoff, Maren; Kyprianou, Andreas E.; Winkel, Matthias
14
2015
Deep factorisation of the stable process. Zbl 1338.60130
Kyprianou, Andreas E.
14
2016
The hitting time of zero for a stable process. Zbl 1293.60055
Kuznetsov, Alexey; Kyprianou, Andreas E.; Pardo, Juan Carlos; Watson, Alexander R.
14
2014
Callable puts as composite exotic options. Zbl 1138.91405
Kühn, Christoph; Kyprianou, Andreas E.
13
2007
The McKean stochastic game driven by a spectrally negative Lévy process. Zbl 1190.60084
Baurdoux, Erik J.; Kyprianou, Andreas E.
13
2008
Real self-similar processes started from the origin. Zbl 1372.60052
Dereich, Steffen; Döring, Leif; Kyprianou, Andreas E.
13
2017
Slow variation and uniqueness of solutions to the functional equation in the branching random walk. Zbl 0930.60066
Kyprianou, A. E.
12
1998
Fluctuation theory and exit systems for positive self-similar Markov processes. Zbl 1241.60019
Chaumont, Loïc; Kyprianou, Andreas; Pardo, Juan Carlos; Rivero, Víctor
12
2012
Supercritical super-Brownian motion with a general branching mechanism and travelling waves. Zbl 1267.60094
Kyprianou, A. E.; Liu, R.-L.; Murillo-Salas, A.; Ren, Y.-X.
12
2012
The Shepp-Shiryaev stochastic game driven by a spectrally negative Lévy process. Zbl 1209.91034
Baurdoux, E. J.; Kyprianou, A. E.
12
2009
On the Novikov-Shiryaev optimal stopping problems in continuous time. Zbl 1111.60024
Kyprianou, Andreas E.; Surya, Budhi A.
11
2005
Quasi-stationary distributions for Lévy processes. Zbl 1130.60054
Kyprianou, A. E.; Palmowski, Z.
11
2006
New families of subordinators with explicit transition probability semigroup. Zbl 1300.60068
Burridge, J.; Kuznetsov, A.; Kwaśnicki, M.; Kyprianou, A. E.
10
2014
The backbone decomposition for spatially dependent supercritical superprocesses. Zbl 1390.60304
Kyprianou, A. E.; Pérez, J-L.; Ren, Y.-X.
9
2014
Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation. Zbl 1321.65004
Ferreiro-Castilla, A.; Kyprianou, A. E.; Scheichl, R.; Suryanarayana, G.
9
2014
Stable Lévy processes, self-similarity and the unit ball. Zbl 1396.60051
Kyprianou, Andreas E.
8
2018
Martingale convergence and the stopped branching random walk. Zbl 0955.60078
Kyprianou, A. E.
8
2000
First passage of reflected strictly stable processes. Zbl 1113.60050
Kyprianou, A. E.
8
2006
Pricing Israeli options: a pathwise approach. Zbl 1284.91549
Kühn, C.; Kyprianou, A. E.; van Schaik, K.
8
2007
A note on branching Lévy processes. Zbl 0997.60090
Kyprianou, A. E.
7
1999
Martingale convergence and the functional equation in the multi-type branching random walk. Zbl 1017.60090
Kyprianou, Andreas E.; Rahimzadeh Sani, A.
7
2001
Traveling waves and homogeneous fragmentation. Zbl 1245.60069
Berestycki, J.; Harris, S. C.; Kyprianou, A. E.
7
2011
Branching random walk: Seneta-Heyde norming. Zbl 0864.60070
Biggins, J. D.; Kyprianou, A. E.
6
1996
Asymptotic radial speed of the support of supercritical branching Brownian motion and super-Brownian motion in \(R^d\). Zbl 1076.60074
Kyprianou, A. E.
6
2005
Finite expiry Russian options. Zbl 1151.91505
Duistermaat, J. J.; Kyprianou, A. E.; van Schaik, K.
6
2005
Backbone decomposition for continuous-state branching processes with immigration. Zbl 1231.60089
Kyprianou, A. E.; Ren, Y.-X.
6
2012
The Gapeev-Kühn stochastic game driven by a spectrally positive Lévy process. Zbl 1229.91370
Baurdoux, E. J.; Kyprianou, A. E.; Pardo, J. C.
6
2011
Conditioning subordinators embedded in Markov processes. Zbl 1373.60085
Kyprianou, Andreas E.; Rivero, Victor; Şengül, Batı
6
2017
Deep factorisation of the stable process. II: Potentials and applications. Zbl 1396.60040
Kyprianou, Andreas E.; Rivero, Victor; Şengül, Batı
6
2018
Extinction properties of multi-type continuous-state branching processes. Zbl 1409.60127
Kyprianou, Andreas E.; Palau, Sandra
6
2018
Conditioned real self-similar Markov processes. Zbl 1442.60047
Kyprianou, Andreas E.; Rivero, Víctor M.; Satitkanitkul, Weerapat
6
2019
Law of the iterated logarithm for oscillating random walks conditioned to stay non-negative. Zbl 1075.60525
Hambly, B. M.; Kersting, G.; Kyprianou, A. E.
5
2003
A Ciesielski-Taylor type identity for positive self-similar Markov processes. Zbl 1231.60031
Kyprianou, A. E.; Patie, P.
5
2011
On the parabolic generator of a general one-dimensional Lévy process. Zbl 1191.60063
Eisenbaum, Nathalie; Kyprianou, Andreas
5
2008
The extended hypergeometric class of Lévy processes. Zbl 1314.60097
Kyprianou, A. E.; Pardo, J. C.; Watson, A. R.
5
2014
Spectrally negative Lévy processes perturbed by functionals of their running supremum. Zbl 1260.60094
Kyprianou, Andreas E.; Ott, Curdin
5
2012
Branching Brownian motion in a strip: survival near criticality. Zbl 1342.60149
Harris, S. C.; Hesse, M.; Kyprianou, A. E.
5
2016
Perpetual integrals for Lévy processes. Zbl 1356.60073
Döring, Leif; Kyprianou, Andreas E.
5
2016
Strong law of large numbers for fragmentation processes. Zbl 1195.60046
Harris, S. C.; Knobloch, R.; Kyprianou, A. E.
4
2010
Almost sure growth of supercritical multi-type continuous-state branching process. Zbl 1390.60314
Kyprianou, Andreas E.; Palau, Sandra; Ren, Yan-Xia
4
2018
Multi-species neutron transport equation. Zbl 1420.82027
Cox, Alexander M. G.; Harris, Simon C.; Horton, Emma L.; Kyprianou, Andreas E.
4
2019
Potentials of stable processes. Zbl 1390.60174
Kyprianou, A. E.; Watson, A. R.
4
2014
Unbiased ‘walk-on-spheres’ Monte Carlo methods for the fractional Laplacian. Zbl 06983856
Kyprianou, Andreas E.; Osojnik, Ana; Shardlow, Tony
4
2018
A capped optimal stopping problem for the maximum process. Zbl 1312.60046
Kyprianou, Andreas; Ott, Curdin
4
2014
Super-Brownian motion: \(L^p\)-convergence of martingales through the pathwise spine decomposition. Zbl 1279.60111
Kyprianou, A. E.; Murillo-Salas, A.
3
2013
An application of the backbone decomposition to supercritical super-Brownian motion with a barrier. Zbl 1278.60127
Kyprianou, A. E.; Murillo-Salas, A.; Pérez, J. L.
2
2012
Analysis of stochastic fluid queues driven by local-time processes. Zbl 1164.60070
Konstantopoulos, Takis; Kyprianou, Andreas E.; Salminen, Paavo; Sirviö, Marina
2
2008
The mass of super-Brownian motion upon exiting balls and Sheu’s compact support condition. Zbl 1329.60294
Hesse, Marion; Kyprianou, Andreas E.
2
2014
A phase transition in excursions from infinity of the “fast” fragmentation-coalescence process. Zbl 1412.60112
Kyprianou, Andreas E.; Pagett, Steven W.; Rogers, Tim; Schweinsberg, Jason
2
2017
Stable windings at the origin. Zbl 1417.60030
Kyprianou, Andreas E.; Vakeroudis, Stavros M.
2
2018
Stable processes conditioned to avoid an interval. Zbl 07157642
Döring, Leif; Kyprianou, Andreas E.; Weissmann, Philip
2
2020
A note on the \(\alpha\)-quantile option. Zbl 1013.91048
Ballotta, Laura; Kyprianou, Andreas E.
1
2001
On the cross wavelet analysis of Duffing oscillator. Zbl 1235.70152
Kyprianou, A.; Staszewski, W. J.
1
1999
Branching processes in random environment die slowly. Zbl 1357.60094
Vatutin, Vladimir A.; Kyprianou, Andreas E.
1
2008
Survival of homogeneous fragmentation processes with killing. Zbl 1301.60087
Knobloch, Robert; Kyprianou, Andreas E.
1
2014
A note on a change of variable formula with local time-space for Lévy processes of bounded variation. Zbl 1126.60037
Kyprianou, Andreas E.; Surya, Budhi A.
1
2007
More on hypergeometric Lévy processes. Zbl 1426.60056
Horton, Emma L.; Kyprianou, Andreas E.
1
2016
Skeletal stochastic differential equations for continuous-state branching processes. Zbl 1427.60176
Fekete, D.; Fontbona, J.; Kyprianou, A. E.
1
2019
Entrance and exit at infinity for stable jump diffusions. Zbl 07226359
Döring, Leif; Kyprianou, Andreas E.
1
2020
An Euler-Poisson scheme for Lévy driven stochastic differential equations. Zbl 1337.60161
Ferreiro-Castilla, A.; Kyprianou, A. E.; Scheichl, R.
1
2016
Stable processes conditioned to avoid an interval. Zbl 07157642
Döring, Leif; Kyprianou, Andreas E.; Weissmann, Philip
2
2020
Entrance and exit at infinity for stable jump diffusions. Zbl 07226359
Döring, Leif; Kyprianou, Andreas E.
1
2020
Deep factorisation of the stable process III: the view from radial excursion theory and the point of closest reach. Zbl 1460.60024
Kyprianou, Andreas E.; Rivero, Victor; Satitkanitkul, Weerapat
1
2020
Conditioned real self-similar Markov processes. Zbl 1442.60047
Kyprianou, Andreas E.; Rivero, Víctor M.; Satitkanitkul, Weerapat
6
2019
Multi-species neutron transport equation. Zbl 1420.82027
Cox, Alexander M. G.; Harris, Simon C.; Horton, Emma L.; Kyprianou, Andreas E.
4
2019
Skeletal stochastic differential equations for continuous-state branching processes. Zbl 1427.60176
Fekete, D.; Fontbona, J.; Kyprianou, A. E.
1
2019
Stable Lévy processes, self-similarity and the unit ball. Zbl 1396.60051
Kyprianou, Andreas E.
8
2018
Deep factorisation of the stable process. II: Potentials and applications. Zbl 1396.60040
Kyprianou, Andreas E.; Rivero, Victor; Şengül, Batı
6
2018
Extinction properties of multi-type continuous-state branching processes. Zbl 1409.60127
Kyprianou, Andreas E.; Palau, Sandra
6
2018
Almost sure growth of supercritical multi-type continuous-state branching process. Zbl 1390.60314
Kyprianou, Andreas E.; Palau, Sandra; Ren, Yan-Xia
4
2018
Unbiased ‘walk-on-spheres’ Monte Carlo methods for the fractional Laplacian. Zbl 06983856
Kyprianou, Andreas E.; Osojnik, Ana; Shardlow, Tony
4
2018
Stable windings at the origin. Zbl 1417.60030
Kyprianou, Andreas E.; Vakeroudis, Stavros M.
2
2018
Real self-similar processes started from the origin. Zbl 1372.60052
Dereich, Steffen; Döring, Leif; Kyprianou, Andreas E.
13
2017
Conditioning subordinators embedded in Markov processes. Zbl 1373.60085
Kyprianou, Andreas E.; Rivero, Victor; Şengül, Batı
6
2017
A phase transition in excursions from infinity of the “fast” fragmentation-coalescence process. Zbl 1412.60112
Kyprianou, Andreas E.; Pagett, Steven W.; Rogers, Tim; Schweinsberg, Jason
2
2017
Deep factorisation of the stable process. Zbl 1338.60130
Kyprianou, Andreas E.
14
2016
Branching Brownian motion in a strip: survival near criticality. Zbl 1342.60149
Harris, S. C.; Hesse, M.; Kyprianou, A. E.
5
2016
Perpetual integrals for Lévy processes. Zbl 1356.60073
Döring, Leif; Kyprianou, Andreas E.
5
2016
More on hypergeometric Lévy processes. Zbl 1426.60056
Horton, Emma L.; Kyprianou, Andreas E.
1
2016
An Euler-Poisson scheme for Lévy driven stochastic differential equations. Zbl 1337.60161
Ferreiro-Castilla, A.; Kyprianou, A. E.; Scheichl, R.
1
2016
Optimal prediction for positive self-similar Markov processes. Zbl 1346.60121
Baurdoux, Erik J.; Kyprianou, Andreas E.; Ott, Curdin
1
2016
Spines, skeletons and the strong law of large numbers for superdiffusions. Zbl 1330.60052
Eckhoff, Maren; Kyprianou, Andreas E.; Winkel, Matthias
14
2015
Fluctuations of Lévy processes with applications. Introductory lectures. 2nd ed. Zbl 1384.60003
Kyprianou, Andreas E.
116
2014
Occupation times of refracted Lévy processes. Zbl 1306.60049
Kyprianou, A. E.; Pardo, J. C.; Pérez, J. L.
25
2014
Optimal dividends in the dual model under transaction costs. Zbl 1294.91071
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
23
2014
Hitting distributions of \(\alpha\)-stable processes via path censoring and self-similarity. Zbl 1306.60051
Kyprianou, Andreas E.; Pardo, Juan Carlos; Watson, Alexander R.
16
2014
The hitting time of zero for a stable process. Zbl 1293.60055
Kuznetsov, Alexey; Kyprianou, Andreas E.; Pardo, Juan Carlos; Watson, Alexander R.
14
2014
New families of subordinators with explicit transition probability semigroup. Zbl 1300.60068
Burridge, J.; Kuznetsov, A.; Kwaśnicki, M.; Kyprianou, A. E.
10
2014
The backbone decomposition for spatially dependent supercritical superprocesses. Zbl 1390.60304
Kyprianou, A. E.; Pérez, J-L.; Ren, Y.-X.
9
2014
Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation. Zbl 1321.65004
Ferreiro-Castilla, A.; Kyprianou, A. E.; Scheichl, R.; Suryanarayana, G.
9
2014
The extended hypergeometric class of Lévy processes. Zbl 1314.60097
Kyprianou, A. E.; Pardo, J. C.; Watson, A. R.
5
2014
Potentials of stable processes. Zbl 1390.60174
Kyprianou, A. E.; Watson, A. R.
4
2014
A capped optimal stopping problem for the maximum process. Zbl 1312.60046
Kyprianou, Andreas; Ott, Curdin
4
2014
The mass of super-Brownian motion upon exiting balls and Sheu’s compact support condition. Zbl 1329.60294
Hesse, Marion; Kyprianou, Andreas E.
2
2014
Survival of homogeneous fragmentation processes with killing. Zbl 1301.60087
Knobloch, Robert; Kyprianou, Andreas E.
1
2014
On optimal dividends in the dual model. Zbl 1283.91192
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
38
2013
Gerber-Shiu risk theory. Zbl 1277.91003
Kyprianou, Andreas E.
27
2013
Super-Brownian motion: \(L^p\)-convergence of martingales through the pathwise spine decomposition. Zbl 1279.60111
Kyprianou, A. E.; Murillo-Salas, A.
3
2013
The theory of scale functions for spectrally negative Lévy processes. Zbl 1261.60047
Kuznetsov, Alexey; Kyprianou, Andreas E.; Rivero, Victor
101
2012
Meromorphic Lévy processes and their fluctuation identities. Zbl 1252.60044
Kuznetsov, A.; Kyprianou, A. E.; Pardo, J. C.
36
2012
Optimal control with absolutely continuous strategies for spectrally negative Lévy processes. Zbl 1253.93001
Kyprianou, Andreas E.; Loeffen, Ronnie; Pérez, José-Luis
21
2012
Fluctuation theory and exit systems for positive self-similar Markov processes. Zbl 1241.60019
Chaumont, Loïc; Kyprianou, Andreas; Pardo, Juan Carlos; Rivero, Víctor
12
2012
Supercritical super-Brownian motion with a general branching mechanism and travelling waves. Zbl 1267.60094
Kyprianou, A. E.; Liu, R.-L.; Murillo-Salas, A.; Ren, Y.-X.
12
2012
Backbone decomposition for continuous-state branching processes with immigration. Zbl 1231.60089
Kyprianou, A. E.; Ren, Y.-X.
6
2012
Spectrally negative Lévy processes perturbed by functionals of their running supremum. Zbl 1260.60094
Kyprianou, Andreas E.; Ott, Curdin
5
2012
An application of the backbone decomposition to supercritical super-Brownian motion with a barrier. Zbl 1278.60127
Kyprianou, A. E.; Murillo-Salas, A.; Pérez, J. L.
2
2012
Lévy matters II. Recent progress in theory and applications: fractional Lévy fields, and scale functions. Zbl 1252.60001
Cohen, Serge; Kuznetsov, Alexey; Kyprianou, Andreas E.; Rivero, Victor
1
2012
Smoothness of scale functions for spectrally negative Lévy processes. Zbl 1259.60050
Chan, T.; Kyprianou, A. E.; Savov, M.
66
2011
A Wiener-Hopf Monte Carlo simulation technique for Lévy processes. Zbl 1245.65005
Kuznetsov, A.; Kyprianou, A. E.; Pardo, J. C.; van Schaik, K.
33
2011
The prolific backbone for supercritical superprocesses. Zbl 1225.60138
Berestycki, J.; Kyprianou, A. E.; Murillo-Salas, A.
20
2011
Traveling waves and homogeneous fragmentation. Zbl 1245.60069
Berestycki, J.; Harris, S. C.; Kyprianou, A. E.
7
2011
The Gapeev-Kühn stochastic game driven by a spectrally positive Lévy process. Zbl 1229.91370
Baurdoux, E. J.; Kyprianou, A. E.; Pardo, J. C.
6
2011
A Ciesielski-Taylor type identity for positive self-similar Markov processes. Zbl 1231.60031
Kyprianou, A. E.; Patie, P.
5
2011
Refracted Lévy processes. Zbl 1201.60042
Kyprianou, A. E.; Loeffen, R. L.
47
2010
A note on scale functions and the time value of ruin for Lévy insurance risk processes. Zbl 1231.91145
Biffis, Enrico; Kyprianou, Andreas E.
38
2010
Strong law of large numbers for branching diffusions. Zbl 1196.60139
Engländer, János; Harris, Simon C.; Kyprianou, Andreas E.
29
2010
Convexity and smoothness of scale functions and de Finetti’s control problem. Zbl 1188.93115
Kyprianou, Andreas E.; Rivero, Víctor; Song, Renming
22
2010
Exact and asymptotic \(n\)-tuple laws at first and last passage. Zbl 1200.60038
Kyprianou, A. E.; Pardo, J. C.; Rivero, V.
18
2010
Strong law of large numbers for fragmentation processes. Zbl 1195.60046
Harris, S. C.; Knobloch, R.; Kyprianou, A. E.
4
2010
General tax structures and the Lévy insurance risk model. Zbl 1210.60098
Kyprianou, Andreas E.; Zhou, Xiaowen
35
2009
Some explicit identities associated with positive self-similar Markov processes. Zbl 1170.60017
Chaumont, L.; Kyprianou, A. E.; Pardo, J. C.
22
2009
The Shepp-Shiryaev stochastic game driven by a spectrally negative Lévy process. Zbl 1209.91034
Baurdoux, E. J.; Kyprianou, A. E.
12
2009
Fluctuations of spectrally negative Markov additive processes. Zbl 1156.60060
Kyprianou, Andreas E.; Palmowski, Zbigniew
29
2008
Special, conjugate and complete scale functions for spectrally negative Lévy processes. Zbl 1193.60064
Kyprianou, Andreas E.; Rivero, Victor
25
2008
Continuous-state branching processes and self-similarity. Zbl 1157.60078
Kyprianou, A. E.; Pardo, J. C.
16
2008
The McKean stochastic game driven by a spectrally negative Lévy process. Zbl 1190.60084
Baurdoux, Erik J.; Kyprianou, Andreas E.
13
2008
On the parabolic generator of a general one-dimensional Lévy process. Zbl 1191.60063
Eisenbaum, Nathalie; Kyprianou, Andreas
5
2008
Analysis of stochastic fluid queues driven by local-time processes. Zbl 1164.60070
Konstantopoulos, Takis; Kyprianou, Andreas E.; Salminen, Paavo; Sirviö, Marina
2
2008
Branching processes in random environment die slowly. Zbl 1357.60094
Vatutin, Vladimir A.; Kyprianou, Andreas E.
1
2008
Distributional study of De Finetti’s dividend problem for a general Lévy insurance risk process. Zbl 1137.60047
Kyprianou, A. E.; Palmowski, Z.
51
2007
Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels. Zbl 1143.91020
Kyprianou, A. E.; Surya, B. A.
22
2007
Callable puts as composite exotic options. Zbl 1138.91405
Kühn, Christoph; Kyprianou, Andreas E.
13
2007
Pricing Israeli options: a pathwise approach. Zbl 1284.91549
Kühn, C.; Kyprianou, A. E.; van Schaik, K.
8
2007
A note on a change of variable formula with local time-space for Lévy processes of bounded variation. Zbl 1126.60037
Kyprianou, Andreas E.; Surya, Budhi A.
1
2007
Introductory lectures on fluctuations of Lévy processes with applications. Zbl 1104.60001
Kyprianou, Andreas E.
382
2006
Overshoots and undershoots of Lévy processes. Zbl 1101.60029
Doney, R. A.; Kyprianou, A. E.
65
2006
Further probabilistic analysis of the Fisher-Kolmogorov-Petrovskii-Piscounov equation: one sided travelling-waves. Zbl 1093.60059
Harris, J. W.; Harris, S. C.; Kyprianou, A. E.
23
2006
On extreme ruinous behaviour of Lévy insurance risk processes. Zbl 1118.60071
Klüppelberg, C.; Kyprianou, A. E.
20
2006
Quasi-stationary distributions for Lévy processes. Zbl 1130.60054
Kyprianou, A. E.; Palmowski, Z.
11
2006
First passage of reflected strictly stable processes. Zbl 1113.60050
Kyprianou, A. E.
8
2006
Some remarks on first passage of Lévy processes, the American put and pasting principles. Zbl 1083.60034
Alili, L.; Kyprianou, A. E.
76
2005
Fixed points of the smoothing transform: the boundary case. Zbl 1110.60081
Biggins, J. D.; Kyprianou, A. E.
34
2005
A martingale review of some fluctuation theory for spectrally negative Lévy processes. Zbl 1063.60071
Kyprianou, Andreas E.; Palmowski, Zbigniew
29
2005
Exotic option pricing and advanced Lévy models. Zbl 1140.91050
Kyprianou, Andreas; Schoutens, Wim; Wilmott, Paul
21
2005
On the Novikov-Shiryaev optimal stopping problems in continuous time. Zbl 1111.60024
Kyprianou, Andreas E.; Surya, Budhi A.
11
2005
Asymptotic radial speed of the support of supercritical branching Brownian motion and super-Brownian motion in \(R^d\). Zbl 1076.60074
Kyprianou, A. E.
6
2005
Finite expiry Russian options. Zbl 1151.91505
Duistermaat, J. J.; Kyprianou, A. E.; van Schaik, K.
6
2005
Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options. Zbl 1042.60023
Avram, F.; Kyprianou, A. E.; Pistorius, M. R.
103
2004
Ruin probabilities and overshoots for general Lévy insurance risk processes. Zbl 1066.60049
Klüppelberg, Claudia; Kyprianou, Andreas E.; Maller, Ross A.
90
2004
Measure change in multitype branching. Zbl 1056.60082
Biggins, J. D.; Kyprianou, A. E.
72
2004
Local extinction versus local exponential growth for spatial branching processes. Zbl 1056.60083
Engländer, János; Kyprianou, Andreas E.
39
2004
Travelling wave solutions to the K-P-P equation: alternatives to Simon Harris’ probabilistic analysis. Zbl 1042.60057
Kyprianou, A. E.
30
2004
Some calculations for Israeli options. Zbl 1098.91055
Kyprianou, Andreas E.
26
2004
Perpetual options and Canadization through fluctuation theory. Zbl 1039.60044
Kyprianou, A. E.; Pistorius, M. R.
45
2003
Law of the iterated logarithm for oscillating random walks conditioned to stay non-negative. Zbl 1075.60525
Hambly, B. M.; Kersting, G.; Kyprianou, A. E.
5
2003
Martingale convergence and the functional equation in the multi-type branching random walk. Zbl 1017.60090
Kyprianou, Andreas E.; Rahimzadeh Sani, A.
7
2001
A note on the \(\alpha\)-quantile option. Zbl 1013.91048
Ballotta, Laura; Kyprianou, Andreas E.
1
2001
Martingale convergence and the stopped branching random walk. Zbl 0955.60078
Kyprianou, A. E.
8
2000
A note on branching Lévy processes. Zbl 0997.60090
Kyprianou, A. E.
7
1999
On the cross wavelet analysis of Duffing oscillator. Zbl 1235.70152
Kyprianou, A.; Staszewski, W. J.
1
1999
...and 3 more Documents
all top 5

Cited by 1,074 Authors

70 Kyprianou, Andreas E.
35 Palmowski, Zbigniew
28 Mandjes, Michel Robertus Hendrikus
28 Yamazaki, Kazutoshi
26 Ren, Yanxia
26 Zhou, Xiaowen
25 Pérez Garmendia, Jose Luis
24 Pardo, Juan Carlos
23 Ivanovs, Jevgeņijs
20 Song, Renming
18 Landriault, David
15 Boxma, Onno Johan
15 Dshalalow, Jewgeni H.
15 Rivero, Víctor Manuel
15 Yin, Chuancun
14 Avram, Florin
14 Bertoin, Jean
14 Czarna, Irmina
14 Harris, Simon C.
14 Pistorius, Martijn R.
14 Renaud, Jean-François
14 Zhang, Zhimin
13 Li, Bin
13 Wang, Wenyuan
12 Albrecher, Hansjörg
12 Berestycki, Julien
12 Kuznetsov, Alexey
12 Patie, Pierre
11 Cheung, Eric C. K.
11 Kella, Offer
11 Loeffen, Ronnie L.
11 Mallein, Bastien
11 Maller, Ross Arthur
11 Meiners, Matthias
11 Zwart, Bert P.
10 Griffin, Philip S.
9 Chaumont, Loïc
9 Iksanov, Aleksander M.
9 Levendorskiĭ, Sergeĭ Zakharovich
9 Palau, Sandra
8 Asmussen, Søren
8 Döring, Leif
8 Frostig, Esther
8 Hu, Yueyun
8 Liu, Quansheng
8 Van Schaik, Kees
8 Vidmar, Matija
8 Watson, Alexander R.
8 Yang, Hailiang
7 Aidekon, Elie E. F.
7 Baurdoux, Erik Jan
7 Biggins, J. D.
7 Shi, Zhan
7 Surya, Budhi Arta
7 Tang, Qihe
7 Willmot, Gordon E.
7 Yang, Ting
7 Yuen, Kam Chuen
6 Buraczewski, Dariusz
6 Egami, Masahiko
6 Foucart, Clément
6 Gapeev, Pavel V.
6 Hu, Yijun
6 Lambert, Amaury
6 Li, Shu
6 Li, Yingqiu
6 Noba, Kei
6 Salminen, Paavo H.
6 Simon, Thomas
6 Zhang, Hongzhong
6 Zhang, Rui
5 Bekker, René
5 Berestycki, Henri
5 Boyarchenko, Svetlana I.
5 Chen, Zhen-Qing
5 Curien, Nicolas
5 Dębicki, Krzysztof
5 Dong, Hua
5 Ekström, Erik
5 Engländer, János
5 Feng, Runhuan
5 Fontbona, Joaquin
5 Huang, Chunmao
5 Klüppelberg, Claudia
5 Knobloch, Robert
5 Li, Bo
5 Li, Shuanming
5 Liu, Rongli
5 Mijatović, Aleksandar
5 Ming, Ruixing
5 Morales, Manuel
5 Roberts, Matthew Iain
5 Samorodnitsky, Gennady Pinkhosovich
5 Savov, Mladen Svetoslavov
5 Sheu, Yuan-Chung
5 Vlasiou, Maria
5 Vondraček, Zoran
5 Woo, Jae-Kyung
5 Wu, Lan
5 Zhao, Xianghua
...and 974 more Authors
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Cited in 162 Serials

124 Stochastic Processes and their Applications
93 Journal of Applied Probability
76 Insurance Mathematics & Economics
48 Advances in Applied Probability
43 The Annals of Probability
42 Statistics & Probability Letters
39 The Annals of Applied Probability
37 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
36 Journal of Theoretical Probability
31 Bernoulli
26 Electronic Journal of Probability
22 Scandinavian Actuarial Journal
21 Probability Theory and Related Fields
18 Queueing Systems
18 Finance and Stochastics
18 Stochastics
17 Methodology and Computing in Applied Probability
17 Stochastic Models
16 Acta Applicandae Mathematicae
13 Journal of Mathematical Analysis and Applications
11 Journal of Computational and Applied Mathematics
11 European Journal of Operational Research
11 Frontiers of Mathematics in China
10 Science China. Mathematics
9 Stochastic Analysis and Applications
9 International Journal of Theoretical and Applied Finance
9 ALEA. Latin American Journal of Probability and Mathematical Statistics
8 Journal of Statistical Physics
8 Applied Mathematics and Optimization
8 Electronic Communications in Probability
8 Quantitative Finance
7 Applied Mathematics and Computation
7 Journal of Optimization Theory and Applications
7 SIAM Journal on Control and Optimization
7 Mathematical Methods of Operations Research
7 Journal of Industrial and Management Optimization
6 Theory of Probability and its Applications
6 Journal of Functional Analysis
6 Transactions of the American Mathematical Society
6 Mathematical Finance
6 ASTIN Bulletin
5 Probability and Mathematical Statistics
5 Potential Analysis
5 SIAM Journal on Financial Mathematics
5 European Actuarial Journal
4 Communications in Mathematical Physics
4 Journal of Mathematical Biology
4 Mathematics of Operations Research
4 Operations Research Letters
4 Acta Mathematicae Applicatae Sinica. English Series
4 Communications in Statistics. Theory and Methods
4 Applied Mathematical Finance
4 Mathematics and Financial Economics
4 Stochastic Systems
3 Lithuanian Mathematical Journal
3 Journal of Mathematical Economics
3 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
3 Sequential Analysis
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3 Applied Mathematics. Series B (English Edition)
3 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
3 Abstract and Applied Analysis
3 Fractional Calculus & Applied Analysis
3 Review of Derivatives Research
3 Advances in Difference Equations
3 Probability Surveys
3 Journal de l’École Polytechnique – Mathématiques
2 Computers & Mathematics with Applications
2 Journal of the Mathematical Society of Japan
2 Journal of Statistical Planning and Inference
2 SIAM Journal on Numerical Analysis
2 Journal of Economic Dynamics & Control
2 SIAM Journal on Applied Mathematics
2 Expositiones Mathematicae
2 Theory of Probability and Mathematical Statistics
2 Mathematical Methods of Statistics
2 Journal of Difference Equations and Applications
2 Mathematical Problems in Engineering
2 Journal of Applied Mathematics and Decision Sciences
2 Extremes
2 Statistical Inference for Stochastic Processes
2 Journal of Systems Science and Complexity
2 Comptes Rendus. Mathématique. Académie des Sciences, Paris
2 Stochastics and Dynamics
2 Journal of Applied Mathematics and Computing
2 Asia-Pacific Financial Markets
2 Annals of Finance
2 ISRN Probability and Statistics
2 Annales Henri Lebesgue
1 Computer Methods in Applied Mechanics and Engineering
1 Communications on Pure and Applied Mathematics
1 Indian Journal of Pure & Applied Mathematics
1 Journal of Computational Physics
1 Journal of Mathematical Physics
1 Metrika
1 Moscow University Mathematics Bulletin
1 Nonlinearity
1 Periodica Mathematica Hungarica
1 Physica A
1 Rocky Mountain Journal of Mathematics
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Cited in 36 Fields

1,039 Probability theory and stochastic processes (60-XX)
427 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
98 Statistics (62-XX)
81 Systems theory; control (93-XX)
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51 Numerical analysis (65-XX)
49 Partial differential equations (35-XX)
32 Biology and other natural sciences (92-XX)
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19 Statistical mechanics, structure of matter (82-XX)
13 Combinatorics (05-XX)
13 Dynamical systems and ergodic theory (37-XX)
12 Measure and integration (28-XX)
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