Edit Profile (opens in new tab) Baurdoux, Erik Jan Co-Author Distance Author ID: baurdoux.erik-jan Published as: Baurdoux, Erik J.; Baurdoux, E. J.; Baurdoux, Erik Jan more...less External Links: MGP Documents Indexed: 21 Publications since 2004, including 1 Book and 4 Additional arXiv Preprints Co-Authors: 13 Co-Authors with 16 Joint Publications 326 Co-Co-Authors all top 5 Co-Authors 5 single-authored 4 Kyprianou, Andreas E. 4 Pedraza, José M. 3 Pardo, Juan Carlos 2 Pérez Garmendia, Jose Luis 2 Renaud, Jean-François 2 Van Schaik, Kees 2 Yamazaki, Kazutoshi 1 Chen, Nan 1 Kyrianou, A. E. 1 Ott, Curdin 1 Palmowski, Zbigniew 1 Pistorius, Martijn R. 1 Surya, Budhi Arta all top 5 Serials 3 Journal of Applied Probability 3 Stochastic Processes and their Applications 2 Advances in Applied Probability 2 Electronic Journal of Probability 1 Theory of Probability and its Applications 1 Acta Applicandae Mathematicae 1 Stochastics and Stochastics Reports 1 Stochastics 1 ALEA. Latin American Journal of Probability and Mathematical Statistics all top 5 Fields 20 Probability theory and stochastic processes (60-XX) 9 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 3 Statistics (62-XX) 2 Systems theory; control (93-XX) 1 Ordinary differential equations (34-XX) 1 Calculus of variations and optimal control; optimization (49-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 16 Publications have been cited 142 times in 101 Documents Cited by ▼ Year ▼ Gerber-Shiu distribution at Parisian ruin for Lévy insurance risk processes. Zbl 1344.60046 Baurdoux, Erik J.; Pardo, Juan Carlos; Pérez, José Luis; Renaud, Jean-François 36 2016 The McKean stochastic game driven by a spectrally negative Lévy process. Zbl 1190.60084 Baurdoux, Erik J.; Kyprianou, Andreas E. 19 2008 The Shepp-Shiryaev stochastic game driven by a spectrally negative Lévy process. Zbl 1209.91034 Baurdoux, E. J.; Kyprianou, A. E. 17 2009 Last exit before an exponential time for spectrally negative Lévy processes. Zbl 1170.60020 Baurdoux, E. J. 12 2009 The Gapeev-Kühn stochastic game driven by a spectrally positive Lévy process. Zbl 1229.91370 Baurdoux, E. J.; Kyprianou, A. E.; Pardo, J. C. 10 2011 Further calculations for Israeli options. Zbl 1062.60043 Baurdoux, E. J.; Kyrianou, A. E. 8 2004 On future drawdowns of Lévy processes. Zbl 1367.60051 Baurdoux, E. J.; Palmowski, Z.; Pistorius, M. R. 8 2017 Predicting the time at which a Lévy process attains its ultimate supremum. Zbl 1309.60039 Baurdoux, Erik J.; van Schaik, Kees 7 2014 Some excursion calculations for reflected Lévy processes. Zbl 1172.60317 Baurdoux, Erik J. 5 2009 Optimality of doubly reflected Lévy processes in singular control. Zbl 1329.49039 Baurdoux, Erik J.; Yamazaki, Kazutoshi 4 2015 Fluctuation theory and stochastic games for spectrally negative Lévy processes. Zbl 1136.60029 Baurdoux, Erik Jan 3 2007 Further calculations for the McKean stochastic game for a spectrally negative Lévi process: from a point to an interval. Zbl 1213.60079 Baurdoux, E. J.; van Schaik, K. 3 2011 Optimal prediction for positive self-similar Markov processes. Zbl 1346.60121 Baurdoux, Erik J.; Kyprianou, Andreas E.; Ott, Curdin 3 2016 Optimal double stopping of a Brownian bridge. Zbl 1333.60080 Baurdoux, Erik J.; Chen, Nan; Surya, Budhi A.; Yamazaki, Kazutoshi 3 2015 Examples of optimal stopping via measure transformation for processes with one-sided jumps. Zbl 1111.60023 Baurdoux, E. J. 2 2007 Predicting the last zero of a spectrally negative Lévy process. Zbl 1473.60076 Baurdoux, Erik J.; Pedraza, José M. 2 2020 Predicting the last zero of a spectrally negative Lévy process. Zbl 1473.60076 Baurdoux, Erik J.; Pedraza, José M. 2 2020 On future drawdowns of Lévy processes. Zbl 1367.60051 Baurdoux, E. J.; Palmowski, Z.; Pistorius, M. R. 8 2017 Gerber-Shiu distribution at Parisian ruin for Lévy insurance risk processes. Zbl 1344.60046 Baurdoux, Erik J.; Pardo, Juan Carlos; Pérez, José Luis; Renaud, Jean-François 36 2016 Optimal prediction for positive self-similar Markov processes. Zbl 1346.60121 Baurdoux, Erik J.; Kyprianou, Andreas E.; Ott, Curdin 3 2016 Optimality of doubly reflected Lévy processes in singular control. Zbl 1329.49039 Baurdoux, Erik J.; Yamazaki, Kazutoshi 4 2015 Optimal double stopping of a Brownian bridge. Zbl 1333.60080 Baurdoux, Erik J.; Chen, Nan; Surya, Budhi A.; Yamazaki, Kazutoshi 3 2015 Predicting the time at which a Lévy process attains its ultimate supremum. Zbl 1309.60039 Baurdoux, Erik J.; van Schaik, Kees 7 2014 The Gapeev-Kühn stochastic game driven by a spectrally positive Lévy process. Zbl 1229.91370 Baurdoux, E. J.; Kyprianou, A. E.; Pardo, J. C. 10 2011 Further calculations for the McKean stochastic game for a spectrally negative Lévi process: from a point to an interval. Zbl 1213.60079 Baurdoux, E. J.; van Schaik, K. 3 2011 The Shepp-Shiryaev stochastic game driven by a spectrally negative Lévy process. Zbl 1209.91034 Baurdoux, E. J.; Kyprianou, A. E. 17 2009 Last exit before an exponential time for spectrally negative Lévy processes. Zbl 1170.60020 Baurdoux, E. J. 12 2009 Some excursion calculations for reflected Lévy processes. Zbl 1172.60317 Baurdoux, Erik J. 5 2009 The McKean stochastic game driven by a spectrally negative Lévy process. Zbl 1190.60084 Baurdoux, Erik J.; Kyprianou, Andreas E. 19 2008 Fluctuation theory and stochastic games for spectrally negative Lévy processes. Zbl 1136.60029 Baurdoux, Erik Jan 3 2007 Examples of optimal stopping via measure transformation for processes with one-sided jumps. Zbl 1111.60023 Baurdoux, E. J. 2 2007 Further calculations for Israeli options. Zbl 1062.60043 Baurdoux, E. J.; Kyrianou, A. E. 8 2004 all cited Publications top 5 cited Publications all top 5 Cited by 115 Authors 12 Yamazaki, Kazutoshi 9 Lkabous, Mohamed Amine 7 Gapeev, Pavel V. 7 Landriault, David 7 Palmowski, Zbigniew 7 Wang, Wenyuan 6 Li, Bin 6 Zhou, Xiaowen 5 Baurdoux, Erik Jan 5 Kyprianou, Andreas E. 4 Avram, Florin 4 Czarna, Irmina 4 Li, Yingqiu 4 Mijatović, Aleksandar 4 Pérez Garmendia, Jose Luis 4 Renaud, Jean-François 4 Surya, Budhi Arta 3 Pardo, Juan Carlos 3 Van Schaik, Kees 3 Wang, Zijia 3 Young, Virginia R. 2 Cázares, Jorge Ignacio González 2 Chen, Ping 2 Egami, Masahiko 2 Frostig, Esther 2 Glover, Kristoffer J. 2 Guo, Peidong 2 Hernández-Hernández, Daniel 2 Keren-Pinhasik, Adva 2 Kifer, Yuri 2 Li, Libo 2 Li, Shuanming 2 Liang, Xiaoqing 2 Rodosthenous, Neofytos 2 Vardar-Acar, Ceren 2 Wei, Yushao 2 Willmot, Gordon E. 2 Wong, Jeff T. Y. 2 Zhang, Aili 2 Zhao, Xianghua 1 Al-Hadad, Jonas 1 Al Motairi, Hessah 1 Bai, Long 1 Biffis, Enrico 1 Bladt, Mogens 1 Borovkov, Konstantin A. 1 Çağlar, Mine 1 Cai, Chunhao 1 Cao, Jingyi 1 Carvajal Pinto, Mónica B. 1 Chen, Mi 1 Chen, Qihong 1 Chen, Ye 1 Cissé, Mamadou 1 De Angelis, Tiziano 1 Dong, Hua 1 Fang, Yue 1 Fotopoulos, Stergios B. 1 González Cázares, Jorge 1 Grahovac, Danijel 1 Gromoll, H. Christian 1 Guérin, Hélène 1 Guo, Xicai 1 Hu, Yangli 1 Ivanovs, Jevgeņijs 1 Jandhyala, Venkata K. 1 Jin, Zhiming 1 Kort, Peter M. 1 Kuznetsov, Alexey 1 Lavrutich, Maria N. 1 Leung, Tim 1 Li, Bo 1 Li, Shu 1 Li, Yuelei 1 Li, Zhong 1 Liang, Gechun 1 Liu, Peng 1 Loeffen, Ronnie L. 1 Luo, Yuxing 1 Milazzo, Alessandro 1 Nguyen, Duy Phat 1 Nielsen, Bo Friis 1 Oryu, Tadao 1 Ott, Curdin 1 Paroissin, Christian 1 Patie, Pierre 1 Pedraza, José M. 1 Peng, Zhaohui 1 Peralta, Oscar 1 Pistorius, Martijn R. 1 Rabehasaina, Landy 1 Ren, Dan 1 Sendova, Kristian P. 1 Song, Yulin 1 Sun, Fuyun 1 Sun, Haodong 1 Świątek, Przemysław 1 Tanré, Etienne 1 Terwilliger, Bryce 1 Thøstesen, Jakob D. ...and 15 more Authors all top 5 Cited in 40 Serials 12 Insurance Mathematics & Economics 11 Stochastic Processes and their Applications 9 Journal of Applied Probability 9 Scandinavian Actuarial Journal 6 Advances in Applied Probability 5 Statistics & Probability Letters 4 Journal of Theoretical Probability 4 The Annals of Applied Probability 3 SIAM Journal on Control and Optimization 2 Applied Mathematics and Optimization 2 Mathematics of Operations Research 2 Finance and Stochastics 2 Methodology and Computing in Applied Probability 1 Bulletin of the Australian Mathematical Society 1 Lithuanian Mathematical Journal 1 Chaos, Solitons and Fractals 1 Applied Mathematics and Computation 1 Journal of Computational and Applied Mathematics 1 Operations Research 1 Stochastic Analysis and Applications 1 Acta Applicandae Mathematicae 1 Bulletin of the Iranian Mathematical Society 1 Potential Analysis 1 Theory of Probability and Mathematical Statistics 1 Mathematical Finance 1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 1 Journal of Applied Mathematics and Decision Sciences 1 International Journal of Theoretical and Applied Finance 1 Quantitative Finance 1 Stochastic Models 1 Review of Derivatives Research 1 Advances in Difference Equations 1 Journal of Industrial and Management Optimization 1 Stochastics 1 Mathematics and Financial Economics 1 SIAM Journal on Financial Mathematics 1 Sankhyā. Series A 1 ISRN Probability and Statistics 1 AIMS Mathematics 1 Frontiers of Mathematics all top 5 Cited in 12 Fields 95 Probability theory and stochastic processes (60-XX) 65 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 11 Statistics (62-XX) 8 Systems theory; control (93-XX) 5 Numerical analysis (65-XX) 4 Partial differential equations (35-XX) 3 Calculus of variations and optimal control; optimization (49-XX) 3 Operations research, mathematical programming (90-XX) 2 Ordinary differential equations (34-XX) 2 Integral transforms, operational calculus (44-XX) 1 Integral equations (45-XX) 1 Classical thermodynamics, heat transfer (80-XX) Citations by Year