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Kyprianou, Andreas E.

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
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Co-Authors

14 single-authored
14 Pardo, Juan Carlos
14 Rivero, Víctor Manuel
11 Harris, Simon C.
11 Horton, Emma L.
6 Kuznetsov, Alexey
5 Döring, Leif
4 Baurdoux, Erik Jan
4 Biggins, J. D.
4 Chaumont, Loïc
4 Murillo-Salas, Antonio
4 Palau, Sandra
4 Palmowski, Zbigniew
4 Pérez Garmendia, Jose Luis
4 Ren, Yanxia
4 Rogers, Tim
4 Satitkanitkul, Weerapat
4 Watson, Alexander R.
3 Berestycki, Julien
3 Cox, Alexander Matthew Gordon
3 Ferreiro-Castilla, Albert
3 Ott, Curdin
3 Patie, Pierre
3 Scheichl, Robert
3 Şengül, Batı
3 Surya, Budhi Arta
3 Van Schaik, Kees
3 Wang, Minmin
2 Bayraktar, Erhan
2 Chazal, Marie
2 Eisenbaum, Nathalie
2 Engländer, János
2 Fekete, Dorottya
2 Fontbona, Joaquin
2 Gonzalez, Isaac
2 Hesse, Marion
2 Klüppelberg, Claudia
2 Knobloch, Robert
2 Konstantopoulos, Takis
2 Kuhn, Christoph
2 Kwaśnicki, Mateusz
2 Loeffen, Ronnie L.
2 Pagett, Steven W.
2 Peskir, Goran
2 Pistorius, Martijn R.
2 Saizmaa, Tsogzolmaa
2 Salminen, Paavo H.
2 Villemonais, Denis
2 Yamazaki, Kazutoshi
1 Alili, Larbi
1 Avram, Florin
1 Baguley, Sam
1 Ballotta, Laura
1 Biffis, Enrico
1 Burridge, James
1 Çağlar, Mine
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 Johnston, Samuel G. G.
1 Kersting, Götz-Dietrich
1 Lane, Francis
1 Liu, Rongli
1 Madaule, Thomas
1 Maller, Ross Arthur
1 Matache, Ana-Maria
1 Mörters, Peter
1 Motala, Mehar
1 Murillo, Antonio
1 O’Connell, Neil
1 Osojnik, Ana
1 Peñaloza, Lizbeth
1 Powell, Ellen
1 Rahimzadeh Sani, A.
1 Rezaei, Farzad
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 Suryanarayana, Gowri
1 Vakeroudis, Stavros M.
1 Vardar-Acar, Ceren
1 Vatutin, Vladimir Alekseevich
1 Vidmar, Matija
1 Weissmann, Philip
1 Wilmott, Paul
1 Winkel, Matthias
1 Yang, Ting
1 Zhou, Xiaowen

Publications by Year

Citations contained in zbMATH Open

121 Publications have been cited 3,188 times in 1,557 Documents Cited by Year
Introductory lectures on fluctuations of Lévy processes with applications. Zbl 1104.60001
Kyprianou, Andreas E.
481
2006
Fluctuations of Lévy processes with applications. Introductory lectures. 2nd ed. Zbl 1384.60003
Kyprianou, Andreas E.
252
2014
The theory of scale functions for spectrally negative Lévy processes. Zbl 1261.60047
Kuznetsov, Alexey; Kyprianou, Andreas E.; Rivero, Victor
149
2012
Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options. Zbl 1042.60023
Avram, F.; Kyprianou, A. E.; Pistorius, M. R.
129
2004
Ruin probabilities and overshoots for general Lévy insurance risk processes. Zbl 1066.60049
Klüppelberg, Claudia; Kyprianou, Andreas E.; Maller, Ross A.
101
2004
Measure change in multitype branching. Zbl 1056.60082
Biggins, J. D.; Kyprianou, A. E.
96
2004
Some remarks on first passage of Lévy processes, the American put and pasting principles. Zbl 1083.60034
Alili, L.; Kyprianou, A. E.
86
2005
Smoothness of scale functions for spectrally negative Lévy processes. Zbl 1259.60050
Chan, T.; Kyprianou, A. E.; Savov, M.
83
2011
Overshoots and undershoots of Lévy processes. Zbl 1101.60029
Doney, R. A.; Kyprianou, A. E.
73
2006
Distributional study of De Finetti’s dividend problem for a general Lévy insurance risk process. Zbl 1137.60047
Kyprianou, A. E.; Palmowski, Z.
62
2007
Seneta-Heyde norming in the branching random walk. Zbl 0873.60062
Biggins, J. D.; Kyprianou, A. E.
58
1997
Refracted Lévy processes. Zbl 1201.60042
Kyprianou, A. E.; Loeffen, R. L.
57
2010
Perpetual options and Canadization through fluctuation theory. Zbl 1039.60044
Kyprianou, A. E.; Pistorius, M. R.
50
2003
On optimal dividends in the dual model. Zbl 1283.91192
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
49
2013
Local extinction versus local exponential growth for spatial branching processes. Zbl 1056.60083
Engländer, János; Kyprianou, Andreas E.
47
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.
45
2010
Meromorphic Lévy processes and their fluctuation identities. Zbl 1252.60044
Kuznetsov, A.; Kyprianou, A. E.; Pardo, J. C.
44
2012
Fixed points of the smoothing transform: the boundary case. Zbl 1110.60081
Biggins, J. D.; Kyprianou, A. E.
43
2005
General tax structures and the Lévy insurance risk model. Zbl 1210.60098
Kyprianou, Andreas E.; Zhou, Xiaowen
41
2009
Strong law of large numbers for branching diffusions. Zbl 1196.60139
Engländer, János; Harris, Simon C.; Kyprianou, Andreas E.
40
2010
A Wiener-Hopf Monte Carlo simulation technique for Lévy processes. Zbl 1245.65005
Kuznetsov, A.; Kyprianou, A. E.; Pardo, J. C.; van Schaik, K.
40
2011
Gerber-Shiu risk theory. Zbl 1277.91003
Kyprianou, Andreas E.
40
2013
Travelling wave solutions to the K-P-P equation: alternatives to Simon Harris’ probabilistic analysis. Zbl 1042.60057
Kyprianou, A. E.
38
2004
Fluctuations of spectrally negative Markov additive processes. Zbl 1156.60060
Kyprianou, Andreas E.; Palmowski, Zbigniew
36
2008
Some calculations for Israeli options. Zbl 1098.91055
Kyprianou, Andreas E.
34
2004
Exotic option pricing and advanced Lévy models. Zbl 1140.91050
33
2005
A martingale review of some fluctuation theory for spectrally negative Lévy processes. Zbl 1063.60071
Kyprianou, Andreas E.; Palmowski, Zbigniew
33
2005
Optimal dividends in the dual model under transaction costs. Zbl 1294.91071
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
33
2014
Special, conjugate and complete scale functions for spectrally negative Lévy processes. Zbl 1193.60064
Kyprianou, Andreas E.; Rivero, Victor
31
2008
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.
29
2006
Convexity and smoothness of scale functions and de Finetti’s control problem. Zbl 1188.93115
Kyprianou, Andreas E.; Rivero, Víctor; Song, Renming
28
2010
Optimal control with absolutely continuous strategies for spectrally negative Lévy processes. Zbl 1253.93001
Kyprianou, Andreas E.; Loeffen, Ronnie; Pérez, José-Luis
28
2012
Some explicit identities associated with positive self-similar Markov processes. Zbl 1170.60017
Chaumont, L.; Kyprianou, A. E.; Pardo, J. C.
27
2009
Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels. Zbl 1143.91020
Kyprianou, A. E.; Surya, B. A.
27
2007
Occupation times of refracted Lévy processes. Zbl 1306.60049
Kyprianou, A. E.; Pardo, J. C.; Pérez, J. L.
27
2014
The prolific backbone for supercritical superprocesses. Zbl 1225.60138
Berestycki, J.; Kyprianou, A. E.; Murillo-Salas, A.
26
2011
Hitting distributions of \(\alpha\)-stable processes via path censoring and self-similarity. Zbl 1306.60051
Kyprianou, Andreas E.; Pardo, Juan Carlos; Watson, Alexander R.
23
2014
Callable puts as composite exotic options. Zbl 1138.91405
Kühn, Christoph; Kyprianou, Andreas E.
21
2007
On extreme ruinous behaviour of Lévy insurance risk processes. Zbl 1118.60071
Klüppelberg, C.; Kyprianou, A. E.
21
2006
Spines, skeletons and the strong law of large numbers for superdiffusions. Zbl 1330.60052
Eckhoff, Maren; Kyprianou, Andreas E.; Winkel, Matthias
21
2015
Real self-similar processes started from the origin. Zbl 1372.60052
Dereich, Steffen; Döring, Leif; Kyprianou, Andreas E.
21
2017
Exact and asymptotic \(n\)-tuple laws at first and last passage. Zbl 1200.60038
Kyprianou, A. E.; Pardo, J. C.; Rivero, V.
20
2010
Continuous-state branching processes and self-similarity. Zbl 1157.60078
Kyprianou, A. E.; Pardo, J. C.
20
2008
The hitting time of zero for a stable process. Zbl 1293.60055
Kuznetsov, Alexey; Kyprianou, Andreas E.; Pardo, Juan Carlos; Watson, Alexander R.
20
2014
The McKean stochastic game driven by a spectrally negative Lévy process. Zbl 1190.60084
Baurdoux, Erik J.; Kyprianou, Andreas E.
19
2008
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.
18
2012
Fluctuation theory and exit systems for positive self-similar Markov processes. Zbl 1241.60019
Chaumont, Loïc; Kyprianou, Andreas; Pardo, Juan Carlos; Rivero, Víctor
17
2012
The Shepp-Shiryaev stochastic game driven by a spectrally negative Lévy process. Zbl 1209.91034
Baurdoux, E. J.; Kyprianou, A. E.
17
2009
Quasi-stationary distributions for Lévy processes. Zbl 1130.60054
Kyprianou, A. E.; Palmowski, Z.
17
2006
Stable Lévy processes, self-similarity and the unit ball. Zbl 1396.60051
Kyprianou, Andreas E.
16
2018
Deep factorisation of the stable process. Zbl 1338.60130
Kyprianou, Andreas E.
16
2016
On the Novikov-Shiryaev optimal stopping problems in continuous time. Zbl 1111.60024
Kyprianou, Andreas E.; Surya, Budhi A.
14
2005
New families of subordinators with explicit transition probability semigroup. Zbl 1300.60068
Burridge, J.; Kuznetsov, A.; Kwaśnicki, M.; Kyprianou, A. E.
14
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.
14
2014
Unbiased ‘walk-on-spheres’ Monte Carlo methods for the fractional Laplacian. Zbl 1477.65016
Kyprianou, Andreas E.; Osojnik, Ana; Shardlow, Tony
14
2018
Slow variation and uniqueness of solutions to the functional equation in the branching random walk. Zbl 0930.60066
Kyprianou, A. E.
13
1998
Conditioned real self-similar Markov processes. Zbl 1442.60047
Kyprianou, Andreas E.; Rivero, Víctor M.; Satitkanitkul, Weerapat
12
2019
A capped optimal stopping problem for the maximum process. Zbl 1312.60046
Kyprianou, Andreas; Ott, Curdin
12
2014
Extinction properties of multi-type continuous-state branching processes. Zbl 1409.60127
Kyprianou, Andreas E.; Palau, Sandra
12
2018
Martingale convergence and the stopped branching random walk. Zbl 0955.60078
Kyprianou, A. E.
11
2000
Multi-species neutron transport equation. Zbl 1420.82027
Cox, Alexander M. G.; Harris, Simon C.; Horton, Emma L.; Kyprianou, Andreas E.
11
2019
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
Asymptotic radial speed of the support of supercritical branching Brownian motion and super-Brownian motion in \(R^d\). Zbl 1076.60074
Kyprianou, A. E.
10
2005
A note on branching Lévy processes. Zbl 0997.60090
Kyprianou, A. E.
10
1999
The backbone decomposition for spatially dependent supercritical superprocesses. Zbl 1390.60304
Kyprianou, A. E.; Pérez, J-L.; Ren, Y.-X.
10
2014
Finite expiry Russian options. Zbl 1151.91505
Duistermaat, J. J.; Kyprianou, A. E.; van Schaik, K.
9
2005
Conditioning subordinators embedded in Markov processes. Zbl 1373.60085
Kyprianou, Andreas E.; Rivero, Victor; Şengül, Batı
9
2017
Entrance and exit at infinity for stable jump diffusions. Zbl 1469.60211
Döring, Leif; Kyprianou, Andreas E.
9
2020
Perpetual integrals for Lévy processes. Zbl 1356.60073
Döring, Leif; Kyprianou, Andreas E.
9
2016
Pricing Israeli options: a pathwise approach. Zbl 1284.91549
Kühn, C.; Kyprianou, A. E.; van Schaik, K.
8
2007
Almost sure growth of supercritical multi-type continuous-state branching process. Zbl 1390.60314
Kyprianou, Andreas E.; Palau, Sandra; Ren, Yan-Xia
8
2018
First passage of reflected strictly stable processes. Zbl 1113.60050
Kyprianou, A. E.
8
2006
Stochastic methods for the neutron transport equation. II: Almost sure growth. Zbl 1479.82115
Harris, Simon C.; Horton, Emma; Kyprianou, Andreas E.
8
2020
Strong law of large numbers for fragmentation processes. Zbl 1195.60046
Harris, S. C.; Knobloch, R.; Kyprianou, A. E.
7
2010
Traveling waves and homogeneous fragmentation. Zbl 1245.60069
Berestycki, J.; Harris, S. C.; Kyprianou, A. E.
7
2011
A Ciesielski-Taylor type identity for positive self-similar Markov processes. Zbl 1231.60031
Kyprianou, A. E.; Patie, P.
7
2011
Deep factorisation of the stable process. II: Potentials and applications. Zbl 1396.60040
Kyprianou, Andreas E.; Rivero, Victor; Şengül, Batı
7
2018
Martingale convergence and the functional equation in the multi-type branching random walk. Zbl 1017.60090
Kyprianou, Andreas E.; Rahimzadeh Sani, A.
7
2001
Branching random walk: Seneta-Heyde norming. Zbl 0864.60070
Biggins, J. D.; Kyprianou, A. E.
7
1996
Stochastic methods for the neutron transport equation. I: Linear semigroup asymptotics. Zbl 1479.82116
Horton, Emma; Kyprianou, Andreas E.; Villemonais, Denis
7
2020
Stable processes conditioned to avoid an interval. Zbl 1471.60049
Döring, Leif; Kyprianou, Andreas E.; Weissmann, Philip
7
2020
Backbone decomposition for continuous-state branching processes with immigration. Zbl 1231.60089
Kyprianou, A. E.; Ren, Y.-X.
6
2012
On the parabolic generator of a general one-dimensional Lévy process. Zbl 1191.60063
Eisenbaum, Nathalie; Kyprianou, Andreas
6
2008
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.
6
2003
Branching Brownian motion in a strip: survival near criticality. Zbl 1342.60149
Harris, S. C.; Hesse, M.; Kyprianou, A. E.
6
2016
Spectrally negative Lévy processes perturbed by functionals of their running supremum. Zbl 1260.60094
Kyprianou, Andreas E.; Ott, Curdin
6
2012
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
5
2017
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
5
2012
The extended hypergeometric class of Lévy processes. Zbl 1314.60097
Kyprianou, A. E.; Pardo, J. C.; Watson, A. R.
5
2014
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
5
2020
Super-Brownian motion: \(L^p\)-convergence of martingales through the pathwise spine decomposition. Zbl 1279.60111
Kyprianou, A. E.; Murillo-Salas, A.
5
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.
5
2012
Stable Lévy processes via Lamperti-type representations. Zbl 07504322
Kyprianou, Andreas E.; Pardo, Juan Carlos
4
2022
Potentials of stable processes. Zbl 1390.60174
Kyprianou, A. E.; Watson, A. R.
4
2014
Optimal prediction for positive self-similar Markov processes. Zbl 1346.60121
Baurdoux, Erik J.; Kyprianou, Andreas E.; Ott, Curdin
3
2016
Skeletal stochastic differential equations for continuous-state branching processes. Zbl 1427.60176
Fekete, D.; Fontbona, J.; Kyprianou, A. E.
3
2019
Stochastic methods for neutron transport equation. III: Generational many-to-one and \(k_{\text{\texttt{eff}}}\). Zbl 1467.82108
Cox, Alexander M.; Horton, Emma; Kyprianou, Andreas E.; Villemonais, Denis
3
2021
Asymptotic moments of spatial branching processes. Zbl 1501.60048
Gonzalez, Isaac; Horton, Emma; Kyprianou, Andreas E.
3
2022
Stable windings at the origin. Zbl 1417.60030
Kyprianou, Andreas E.; Vakeroudis, Stavros M.
3
2018
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.
2
2007
Stable Lévy processes via Lamperti-type representations. Zbl 07504322
Kyprianou, Andreas E.; Pardo, Juan Carlos
4
2022
Asymptotic moments of spatial branching processes. Zbl 1501.60048
Gonzalez, Isaac; Horton, Emma; Kyprianou, Andreas E.
3
2022
Yaglom limit for critical nonlocal branching Markov processes. Zbl 1505.82063
Harris, Simon C.; Horton, Emma; Kyprianou, Andreas E.; Wang, Minmin
2
2022
An optimal stopping problem for spectrally negative Markov additive processes. Zbl 1490.60096
Çağlar, M.; Kyprianou, A.; Vardar-Acar, C.
1
2022
Stochastic methods for neutron transport equation. III: Generational many-to-one and \(k_{\text{\texttt{eff}}}\). Zbl 1467.82108
Cox, Alexander M.; Horton, Emma; Kyprianou, Andreas E.; Villemonais, Denis
3
2021
The Doob-McKean identity for stable Lévy processes. Zbl 1496.60050
Kyprianou, Andreas E.; O’Connell, Neil
2
2021
Double hypergeometric Lévy processes and self-similarity. Zbl 1470.60128
Kyprianou, Andreas E.; Pardo, Juan Carlos; Vidmar, Matija
2
2021
Attraction to and repulsion from a subset of the unit sphere for isotropic stable Lévy processes. Zbl 1469.60149
Kyprianou, Andreas E.; Palau, Sandra; Saizmaa, Tsogzolmaa
1
2021
A lifetime of excursions through random walks and Lévy processes. Zbl 1496.01009
Chaumont, Loïc; Kyprianou, Andreas E.
1
2021
Stable Lévy processes in a cone. Zbl 1489.60080
Kyprianou, Andreas E.; Rivero, Victor; Satitkanitkul, Weerapat
1
2021
A lifetime of excursions through random walks and Lévy processes. A volume in honour of Ron Doney’s 80th birthday. Zbl 1478.60005
1
2021
Entrance and exit at infinity for stable jump diffusions. Zbl 1469.60211
Döring, Leif; Kyprianou, Andreas E.
9
2020
Stochastic methods for the neutron transport equation. II: Almost sure growth. Zbl 1479.82115
Harris, Simon C.; Horton, Emma; Kyprianou, Andreas E.
8
2020
Stochastic methods for the neutron transport equation. I: Linear semigroup asymptotics. Zbl 1479.82116
Horton, Emma; Kyprianou, Andreas E.; Villemonais, Denis
7
2020
Stable processes conditioned to avoid an interval. Zbl 1471.60049
Döring, Leif; Kyprianou, Andreas E.; Weissmann, Philip
7
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
5
2020
Skeletal stochastic differential equations for superprocesses. Zbl 1457.60128
Fekete, Dorottya; Fontbona, Joaquin; Kyprianou, Andreas E.
2
2020
Entrance laws at the origin of self-similar Markov processes in high dimensions. Zbl 1469.60111
Kyprianou, Andreas E.; Rivero, Victor; Şengül, Batı; Yang, Ting
2
2020
Conditioned real self-similar Markov processes. Zbl 1442.60047
Kyprianou, Andreas E.; Rivero, Víctor M.; Satitkanitkul, Weerapat
12
2019
Multi-species neutron transport equation. Zbl 1420.82027
Cox, Alexander M. G.; Harris, Simon C.; Horton, Emma L.; Kyprianou, Andreas E.
11
2019
Skeletal stochastic differential equations for continuous-state branching processes. Zbl 1427.60176
Fekete, D.; Fontbona, J.; Kyprianou, A. E.
3
2019
Stable Lévy processes, self-similarity and the unit ball. Zbl 1396.60051
Kyprianou, Andreas E.
16
2018
Unbiased ‘walk-on-spheres’ Monte Carlo methods for the fractional Laplacian. Zbl 1477.65016
Kyprianou, Andreas E.; Osojnik, Ana; Shardlow, Tony
14
2018
Extinction properties of multi-type continuous-state branching processes. Zbl 1409.60127
Kyprianou, Andreas E.; Palau, Sandra
12
2018
Almost sure growth of supercritical multi-type continuous-state branching process. Zbl 1390.60314
Kyprianou, Andreas E.; Palau, Sandra; Ren, Yan-Xia
8
2018
Deep factorisation of the stable process. II: Potentials and applications. Zbl 1396.60040
Kyprianou, Andreas E.; Rivero, Victor; Şengül, Batı
7
2018
Stable windings at the origin. Zbl 1417.60030
Kyprianou, Andreas E.; Vakeroudis, Stavros M.
3
2018
Universality in a class of fragmentation-coalescence processes. Zbl 1391.60237
Kyprianou, A. E.; Pagett, S. W.; Rogers, T.
1
2018
Real self-similar processes started from the origin. Zbl 1372.60052
Dereich, Steffen; Döring, Leif; Kyprianou, Andreas E.
21
2017
Conditioning subordinators embedded in Markov processes. Zbl 1373.60085
Kyprianou, Andreas E.; Rivero, Victor; Şengül, Batı
9
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
5
2017
The largest fragment of a homogeneous fragmentation process. Zbl 1372.82021
Kyprianou, Andreas; Lane, Francis; Mörters, Peter
1
2017
Deep factorisation of the stable process. Zbl 1338.60130
Kyprianou, Andreas E.
16
2016
Perpetual integrals for Lévy processes. Zbl 1356.60073
Döring, Leif; Kyprianou, Andreas E.
9
2016
Branching Brownian motion in a strip: survival near criticality. Zbl 1342.60149
Harris, S. C.; Hesse, M.; Kyprianou, A. E.
6
2016
Optimal prediction for positive self-similar Markov processes. Zbl 1346.60121
Baurdoux, Erik J.; Kyprianou, Andreas E.; Ott, Curdin
3
2016
More on hypergeometric Lévy processes. Zbl 1426.60056
Horton, Emma L.; Kyprianou, Andreas E.
2
2016
An Euler-Poisson scheme for Lévy driven stochastic differential equations. Zbl 1337.60161
Ferreiro-Castilla, A.; Kyprianou, A. E.; Scheichl, R.
1
2016
Spines, skeletons and the strong law of large numbers for superdiffusions. Zbl 1330.60052
Eckhoff, Maren; Kyprianou, Andreas E.; Winkel, Matthias
21
2015
Fluctuations of Lévy processes with applications. Introductory lectures. 2nd ed. Zbl 1384.60003
Kyprianou, Andreas E.
252
2014
Optimal dividends in the dual model under transaction costs. Zbl 1294.91071
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
33
2014
Occupation times of refracted Lévy processes. Zbl 1306.60049
Kyprianou, A. E.; Pardo, J. C.; Pérez, J. L.
27
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.
23
2014
The hitting time of zero for a stable process. Zbl 1293.60055
Kuznetsov, Alexey; Kyprianou, Andreas E.; Pardo, Juan Carlos; Watson, Alexander R.
20
2014
New families of subordinators with explicit transition probability semigroup. Zbl 1300.60068
Burridge, J.; Kuznetsov, A.; Kwaśnicki, M.; Kyprianou, A. E.
14
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.
14
2014
A capped optimal stopping problem for the maximum process. Zbl 1312.60046
Kyprianou, Andreas; Ott, Curdin
12
2014
The backbone decomposition for spatially dependent supercritical superprocesses. Zbl 1390.60304
Kyprianou, A. E.; Pérez, J-L.; Ren, Y.-X.
10
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
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
49
2013
Gerber-Shiu risk theory. Zbl 1277.91003
Kyprianou, Andreas E.
40
2013
Super-Brownian motion: \(L^p\)-convergence of martingales through the pathwise spine decomposition. Zbl 1279.60111
Kyprianou, A. E.; Murillo-Salas, A.
5
2013
The theory of scale functions for spectrally negative Lévy processes. Zbl 1261.60047
Kuznetsov, Alexey; Kyprianou, Andreas E.; Rivero, Victor
149
2012
Meromorphic Lévy processes and their fluctuation identities. Zbl 1252.60044
Kuznetsov, A.; Kyprianou, A. E.; Pardo, J. C.
44
2012
Optimal control with absolutely continuous strategies for spectrally negative Lévy processes. Zbl 1253.93001
Kyprianou, Andreas E.; Loeffen, Ronnie; Pérez, José-Luis
28
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.
18
2012
Fluctuation theory and exit systems for positive self-similar Markov processes. Zbl 1241.60019
Chaumont, Loïc; Kyprianou, Andreas; Pardo, Juan Carlos; Rivero, Víctor
17
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
6
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
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.
5
2012
Smoothness of scale functions for spectrally negative Lévy processes. Zbl 1259.60050
Chan, T.; Kyprianou, A. E.; Savov, M.
83
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.
40
2011
The prolific backbone for supercritical superprocesses. Zbl 1225.60138
Berestycki, J.; Kyprianou, A. E.; Murillo-Salas, A.
26
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.
10
2011
Traveling waves and homogeneous fragmentation. Zbl 1245.60069
Berestycki, J.; Harris, S. C.; Kyprianou, A. E.
7
2011
A Ciesielski-Taylor type identity for positive self-similar Markov processes. Zbl 1231.60031
Kyprianou, A. E.; Patie, P.
7
2011
On the excursions of reflected local-time processes and stochastic fluid queues. Zbl 1259.60053
Konstantopoulos, Takis; Kyprianou, Andreas E.; Salminen, Paavo
1
2011
Refracted Lévy processes. Zbl 1201.60042
Kyprianou, A. E.; Loeffen, R. L.
57
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.
45
2010
Strong law of large numbers for branching diffusions. Zbl 1196.60139
Engländer, János; Harris, Simon C.; Kyprianou, Andreas E.
40
2010
Convexity and smoothness of scale functions and de Finetti’s control problem. Zbl 1188.93115
Kyprianou, Andreas E.; Rivero, Víctor; Song, Renming
28
2010
Exact and asymptotic \(n\)-tuple laws at first and last passage. Zbl 1200.60038
Kyprianou, A. E.; Pardo, J. C.; Rivero, V.
20
2010
Strong law of large numbers for fragmentation processes. Zbl 1195.60046
Harris, S. C.; Knobloch, R.; Kyprianou, A. E.
7
2010
General tax structures and the Lévy insurance risk model. Zbl 1210.60098
Kyprianou, Andreas E.; Zhou, Xiaowen
41
2009
Some explicit identities associated with positive self-similar Markov processes. Zbl 1170.60017
Chaumont, L.; Kyprianou, A. E.; Pardo, J. C.
27
2009
The Shepp-Shiryaev stochastic game driven by a spectrally negative Lévy process. Zbl 1209.91034
Baurdoux, E. J.; Kyprianou, A. E.
17
2009
Fluctuations of spectrally negative Markov additive processes. Zbl 1156.60060
Kyprianou, Andreas E.; Palmowski, Zbigniew
36
2008
Special, conjugate and complete scale functions for spectrally negative Lévy processes. Zbl 1193.60064
Kyprianou, Andreas E.; Rivero, Victor
31
2008
Continuous-state branching processes and self-similarity. Zbl 1157.60078
Kyprianou, A. E.; Pardo, J. C.
20
2008
The McKean stochastic game driven by a spectrally negative Lévy process. Zbl 1190.60084
Baurdoux, Erik J.; Kyprianou, Andreas E.
19
2008
On the parabolic generator of a general one-dimensional Lévy process. Zbl 1191.60063
Eisenbaum, Nathalie; Kyprianou, Andreas
6
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.
62
2007
Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels. Zbl 1143.91020
Kyprianou, A. E.; Surya, B. A.
27
2007
Callable puts as composite exotic options. Zbl 1138.91405
Kühn, Christoph; Kyprianou, Andreas E.
21
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.
2
2007
Introductory lectures on fluctuations of Lévy processes with applications. Zbl 1104.60001
Kyprianou, Andreas E.
481
2006
Overshoots and undershoots of Lévy processes. Zbl 1101.60029
Doney, R. A.; Kyprianou, A. E.
73
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.
29
2006
On extreme ruinous behaviour of Lévy insurance risk processes. Zbl 1118.60071
Klüppelberg, C.; Kyprianou, A. E.
21
2006
Quasi-stationary distributions for Lévy processes. Zbl 1130.60054
Kyprianou, A. E.; Palmowski, Z.
17
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.
86
2005
Fixed points of the smoothing transform: the boundary case. Zbl 1110.60081
Biggins, J. D.; Kyprianou, A. E.
43
2005
...and 21 more Documents
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Cited by 1,437 Authors

83 Kyprianou, Andreas E.
46 Palmowski, Zbigniew
38 Zhou, Xiaowen
37 Mandjes, Michel Robertus Hendrikus
34 Ren, Yanxia
34 Yamazaki, Kazutoshi
31 Song, Renming
29 Pérez Garmendia, Jose Luis
28 Ivanovs, Jevgeņijs
25 Pardo, Juan Carlos
23 Landriault, David
23 Wang, Wenyuan
21 Boxma, Onno Johan
20 Zhang, Zhimin
19 Bertoin, Jean
19 Patie, Pierre
18 Harris, Simon C.
18 Li, Bin
18 Mallein, Bastien
18 Rivero, Víctor Manuel
17 Yin, Chuancun
16 Avram, Florin
16 Kella, Offer
16 Renaud, Jean-François
15 Albrecher, Hansjörg
15 Dshalalow, Jewgeni H.
14 Berestycki, Julien
14 Chaumont, Loïc
14 Czarna, Irmina
14 Pistorius, Martijn R.
14 Vidmar, Matija
13 Gapeev, Pavel V.
12 Kuznetsov, Alexey
12 Loeffen, Ronnie L.
12 Meiners, Matthias
12 Zwart, Bert P.
11 Foucart, Clément
11 Frostig, Esther
11 Griffin, Philip S.
11 Iksanov, Aleksander M.
11 Maller, Ross Arthur
11 Palau, Sandra
11 Watson, Alexander R.
10 Asmussen, Søren
10 Döring, Leif
10 Horton, Emma L.
10 Levendorskiĭ, Sergeĭ Zakharovich
10 Li, Zenghu
10 Mijatović, Aleksandar
9 Cheung, Eric C. K.
9 Li, Yingqiu
9 Liu, Quansheng
9 Van Schaik, Kees
8 Aidekon, Elie E. F.
8 Avanzi, Benjamin
8 Baurdoux, Erik Jan
8 Chen, Ping
8 De Angelis, Tiziano
8 Doney, Ronald Arthur
8 Hu, Yueyun
8 Huang, Chunmao
8 Li, Bo
8 Li, Shu
8 Lkabous, Mohamed Amine
8 Noba, Kei
8 Salminen, Paavo H.
8 Surya, Budhi Arta
8 Yang, Hailiang
8 Yang, Ting
7 Behme, Anita Diana
7 Biggins, J. D.
7 Chen, Xinxin
7 Hu, Yijun
7 Lambert, Amaury
7 Li, Shuanming
7 Liu, Rongli
7 Maillard, Pascal
7 Murillo-Salas, Antonio
7 Shi, Zhan
7 Tang, Qihe
7 Vondraček, Zoran
7 Willmot, Gordon E.
7 Yuen, Kam Chuen
6 Alsmeyer, Gerold
6 Boyarchenko, Svetlana I.
6 Buraczewski, Dariusz
6 Cox, Alexander Matthew Gordon
6 Curien, Nicolas
6 Dong, Hua
6 Egami, Masahiko
6 Kwaśnicki, Mateusz
6 Ming, Ruixing
6 Morales, Manuel
6 Savov, Mladen Svetoslavov
6 Simon, Thomas
6 Uribe Bravo, Gerónimo
6 Wong, Bernard
6 Woo, Jae-Kyung
6 Zhang, Hongzhong
6 Zhang, Rui
...and 1,337 more Authors
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Cited in 207 Serials

152 Stochastic Processes and their Applications
108 Journal of Applied Probability
85 Insurance Mathematics & Economics
61 Advances in Applied Probability
52 The Annals of Applied Probability
51 Statistics & Probability Letters
50 The Annals of Probability
49 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
47 Electronic Journal of Probability
43 Journal of Theoretical Probability
38 Bernoulli
33 Scandinavian Actuarial Journal
31 Methodology and Computing in Applied Probability
31 Stochastics
29 Probability Theory and Related Fields
23 Queueing Systems
21 Stochastic Models
21 ALEA. Latin American Journal of Probability and Mathematical Statistics
20 Finance and Stochastics
16 Journal of Mathematical Analysis and Applications
16 Acta Applicandae Mathematicae
15 European Journal of Operational Research
14 Journal of Computational and Applied Mathematics
13 Applied Mathematics and Computation
13 International Journal of Theoretical and Applied Finance
13 Quantitative Finance
12 Applied Mathematics and Optimization
12 Electronic Communications in Probability
12 Frontiers of Mathematics in China
11 Stochastic Analysis and Applications
11 Communications in Statistics. Theory and Methods
11 Journal of Industrial and Management Optimization
11 Science China. Mathematics
10 Mathematical Finance
9 Journal of Statistical Physics
9 Journal of Optimization Theory and Applications
9 SIAM Journal on Financial Mathematics
8 SIAM Journal on Control and Optimization
8 Transactions of the American Mathematical Society
7 Journal of Functional Analysis
7 Potential Analysis
7 Mathematical Methods of Operations Research
7 European Actuarial Journal
6 Theory of Probability and its Applications
6 Mathematics of Operations Research
6 Probability and Mathematical Statistics
6 Fractional Calculus & Applied Analysis
6 ASTIN Bulletin
6 North American Actuarial Journal
5 Lithuanian Mathematical Journal
5 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
5 Probability Surveys
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5 Annales Henri Lebesgue
4 Communications in Mathematical Physics
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4 Operations Research Letters
4 Acta Mathematicae Applicatae Sinica. English Series
4 SIAM Journal on Applied Mathematics
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4 Journal of Physics A: Mathematical and Theoretical
3 Metrika
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3 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
3 SIAM Journal on Numerical Analysis
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3 Communications in Statistics. Simulation and Computation
3 Indagationes Mathematicae. New Series
3 Applied Mathematics. Series B (English Edition)
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3 Abstract and Applied Analysis
3 Extremes
3 Acta Mathematica Scientia. Series B. (English Edition)
3 Stochastics and Dynamics
3 Review of Derivatives Research
3 Advances in Difference Equations
3 Journal de l’École Polytechnique – Mathématiques
2 Computers & Mathematics with Applications
2 Periodica Mathematica Hungarica
2 Chaos, Solitons and Fractals
2 Advances in Mathematics
2 Journal of Differential Equations
2 Journal of Statistical Planning and Inference
2 Proceedings of the American Mathematical Society
2 Bulletin of the Iranian Mathematical Society
2 Applied Mathematics Letters
2 International Journal of Computer Mathematics
2 Expositiones Mathematicae
2 Theory of Probability and Mathematical Statistics
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2 Journal of Difference Equations and Applications
2 Mathematical Problems in Engineering
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...and 107 more Serials
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Cited in 40 Fields

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