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Author ID: baurdoux.erik-jan Recent zbMATH articles by "Baurdoux, Erik Jan"
Published as: Baurdoux, Erik J.; Baurdoux, E. J.; Baurdoux, Erik Jan
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

Publications by Year

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
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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
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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

Citations by Year