Edit Profile (opens in new tab) Kyprianou, Andreas E. Compute Distance To: Compute Author ID: kyprianou.andreas-e Published as: Kyprianou, Andreas E.; Kyprianou, A. E.; Kyprianou, Andreas; Kyprianou, A. External Links: MGP Documents Indexed: 117 Publications since 1996, including 5 Books 3 Contributions as Editor Co-Authors: 83 Co-Authors with 108 Joint Publications 1,404 Co-Co-Authors all top 5 Co-Authors 12 single-authored 14 Pardo, Juan Carlos 12 Rivero, Víctor Manuel 7 Harris, Simon C. 6 Kuznetsov, Alexey 5 Horton, Emma L. 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 Chaumont, Loïc 3 Ott, Curdin 3 Palau, Sandra 3 Satitkanitkul, Weerapat 3 Şengül, Batı 3 Surya, Budhi Arta 3 Van Schaik, Kees 2 Bayraktar, Erhan 2 Berestycki, Julien 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 Scheichl, Robert 2 Villemonais, Denis 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 Weissmann, Philip 1 Wilmott, Paul 1 Winkel, Matthias 1 Yang, Ting 1 Zhou, Xiaowen all top 5 Serials 16 Stochastic Processes and their Applications 14 Journal of Applied Probability 11 The Annals of Applied Probability 11 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 9 The Annals of Probability 6 Electronic Journal of Probability 3 Advances in Applied Probability 3 Journal of Theoretical Probability 3 ALEA. Latin American Journal of Probability and Mathematical Statistics 2 Journal of Statistical Physics 2 Insurance Mathematics & Economics 2 Probability Theory and Related Fields 2 Electronic Communications in Probability 2 Bernoulli 2 Finance and Stochastics 2 Stochastics 2 Universitext 1 IMA Journal of Numerical Analysis 1 Journal of Sound and Vibration 1 Theory of Probability and its Applications 1 Transactions of the American Mathematical Society 1 Statistics & Probability Letters 1 Acta Applicandae Mathematicae 1 SIAM Journal on Applied Mathematics 1 Potential Analysis 1 Applied Mathematical Finance 1 Mathematical Finance 1 Markov Processes and Related Fields 1 ASTIN Bulletin 1 Oberwolfach Reports 1 Lecture Notes in Mathematics 1 Progress in Probability 1 Institute of Mathematical Statistics Monographs 1 EAA Series all top 5 Fields 113 Probability theory and stochastic processes (60-XX) 31 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 6 Statistical mechanics, structure of matter (82-XX) 5 Partial differential equations (35-XX) 5 Systems theory; control (93-XX) 4 Numerical analysis (65-XX) 3 General and overarching topics; collections (00-XX) 2 Quantum theory (81-XX) 1 Ordinary differential equations (34-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Integral transforms, operational calculus (44-XX) 1 Integral equations (45-XX) 1 Operator theory (47-XX) 1 Statistics (62-XX) 1 Mechanics of particles and systems (70-XX) 1 Operations research, mathematical programming (90-XX) 1 Information and communication theory, circuits (94-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 105 Publications have been cited 2,505 times in 1,234 Documents Cited by ▼ Year ▼ Introductory lectures on fluctuations of Lévy processes with applications. Zbl 1104.60001Kyprianou, Andreas E. 402 2006 Fluctuations of Lévy processes with applications. Introductory lectures. 2nd ed. Zbl 1384.60003Kyprianou, Andreas E. 131 2014 The theory of scale functions for spectrally negative Lévy processes. Zbl 1261.60047Kuznetsov, Alexey; Kyprianou, Andreas E.; Rivero, Victor 110 2012 Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options. Zbl 1042.60023Avram, F.; Kyprianou, A. E.; Pistorius, M. R. 108 2004 Ruin probabilities and overshoots for general Lévy insurance risk processes. Zbl 1066.60049Klüppelberg, Claudia; Kyprianou, Andreas E.; Maller, Ross A. 92 2004 Measure change in multitype branching. Zbl 1056.60082Biggins, J. D.; Kyprianou, A. E. 78 2004 Some remarks on first passage of Lévy processes, the American put and pasting principles. Zbl 1083.60034Alili, L.; Kyprianou, A. E. 78 2005 Smoothness of scale functions for spectrally negative Lévy processes. Zbl 1259.60050Chan, T.; Kyprianou, A. E.; Savov, M. 68 2011 Overshoots and undershoots of Lévy processes. Zbl 1101.60029Doney, R. A.; Kyprianou, A. E. 67 2006 Distributional study of De Finetti’s dividend problem for a general Lévy insurance risk process. Zbl 1137.60047Kyprianou, A. E.; Palmowski, Z. 54 2007 Seneta-Heyde norming in the branching random walk. Zbl 0873.60062Biggins, J. D.; Kyprianou, A. E. 52 1997 Refracted Lévy processes. Zbl 1201.60042Kyprianou, A. E.; Loeffen, R. L. 48 2010 Perpetual options and Canadization through fluctuation theory. Zbl 1039.60044Kyprianou, A. E.; Pistorius, M. R. 45 2003 A note on scale functions and the time value of ruin for Lévy insurance risk processes. Zbl 1231.91145Biffis, Enrico; Kyprianou, Andreas E. 40 2010 Local extinction versus local exponential growth for spatial branching processes. Zbl 1056.60083Engländer, János; Kyprianou, Andreas E. 40 2004 On optimal dividends in the dual model. Zbl 1283.91192Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi 39 2013 Meromorphic Lévy processes and their fluctuation identities. Zbl 1252.60044Kuznetsov, A.; Kyprianou, A. E.; Pardo, J. C. 39 2012 General tax structures and the Lévy insurance risk model. Zbl 1210.60098Kyprianou, Andreas E.; Zhou, Xiaowen 38 2009 Fixed points of the smoothing transform: the boundary case. Zbl 1110.60081Biggins, J. D.; Kyprianou, A. E. 35 2005 A Wiener-Hopf Monte Carlo simulation technique for Lévy processes. Zbl 1245.65005Kuznetsov, A.; Kyprianou, A. E.; Pardo, J. C.; van Schaik, K. 34 2011 Travelling wave solutions to the K-P-P equation: alternatives to Simon Harris’ probabilistic analysis. Zbl 1042.60057Kyprianou, A. E. 31 2004 Some calculations for Israeli options. Zbl 1098.91055Kyprianou, Andreas E. 31 2004 Strong law of large numbers for branching diffusions. Zbl 1196.60139Engländer, János; Harris, Simon C.; Kyprianou, Andreas E. 31 2010 A martingale review of some fluctuation theory for spectrally negative Lévy processes. Zbl 1063.60071Kyprianou, Andreas E.; Palmowski, Zbigniew 29 2005 Fluctuations of spectrally negative Markov additive processes. Zbl 1156.60060Kyprianou, Andreas E.; Palmowski, Zbigniew 29 2008 Gerber-Shiu risk theory. Zbl 1277.91003Kyprianou, Andreas E. 29 2013 Special, conjugate and complete scale functions for spectrally negative Lévy processes. Zbl 1193.60064Kyprianou, Andreas E.; Rivero, Victor 25 2008 Optimal dividends in the dual model under transaction costs. Zbl 1294.91071Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi 25 2014 Occupation times of refracted Lévy processes. Zbl 1306.60049Kyprianou, 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 1093.60059Harris, J. W.; Harris, S. C.; Kyprianou, A. E. 24 2006 Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels. Zbl 1143.91020Kyprianou, A. E.; Surya, B. A. 23 2007 Some explicit identities associated with positive self-similar Markov processes. Zbl 1170.60017Chaumont, L.; Kyprianou, A. E.; Pardo, J. C. 22 2009 Exotic option pricing and advanced Lévy models. Zbl 1140.91050 22 2005 Optimal control with absolutely continuous strategies for spectrally negative Lévy processes. Zbl 1253.93001Kyprianou, Andreas E.; Loeffen, Ronnie; Pérez, José-Luis 22 2012 Convexity and smoothness of scale functions and de Finetti’s control problem. Zbl 1188.93115Kyprianou, Andreas E.; Rivero, Víctor; Song, Renming 22 2010 The prolific backbone for supercritical superprocesses. Zbl 1225.60138Berestycki, J.; Kyprianou, A. E.; Murillo-Salas, A. 21 2011 On extreme ruinous behaviour of Lévy insurance risk processes. Zbl 1118.60071Klüppelberg, C.; Kyprianou, A. E. 20 2006 Hitting distributions of \(\alpha\)-stable processes via path censoring and self-similarity. Zbl 1306.60051Kyprianou, Andreas E.; Pardo, Juan Carlos; Watson, Alexander R. 18 2014 Exact and asymptotic \(n\)-tuple laws at first and last passage. Zbl 1200.60038Kyprianou, A. E.; Pardo, J. C.; Rivero, V. 18 2010 Continuous-state branching processes and self-similarity. Zbl 1157.60078Kyprianou, A. E.; Pardo, J. C. 18 2008 Spines, skeletons and the strong law of large numbers for superdiffusions. Zbl 1330.60052Eckhoff, Maren; Kyprianou, Andreas E.; Winkel, Matthias 16 2015 The hitting time of zero for a stable process. Zbl 1293.60055Kuznetsov, Alexey; Kyprianou, Andreas E.; Pardo, Juan Carlos; Watson, Alexander R. 16 2014 Callable puts as composite exotic options. Zbl 1138.91405Kühn, Christoph; Kyprianou, Andreas E. 16 2007 Real self-similar processes started from the origin. Zbl 1372.60052Dereich, Steffen; Döring, Leif; Kyprianou, Andreas E. 15 2017 Deep factorisation of the stable process. Zbl 1338.60130Kyprianou, Andreas E. 15 2016 The McKean stochastic game driven by a spectrally negative Lévy process. Zbl 1190.60084Baurdoux, Erik J.; Kyprianou, Andreas E. 14 2008 The Shepp-Shiryaev stochastic game driven by a spectrally negative Lévy process. Zbl 1209.91034Baurdoux, E. J.; Kyprianou, A. E. 14 2009 Quasi-stationary distributions for Lévy processes. Zbl 1130.60054Kyprianou, A. E.; Palmowski, Z. 13 2006 Fluctuation theory and exit systems for positive self-similar Markov processes. Zbl 1241.60019Chaumont, Loïc; Kyprianou, Andreas; Pardo, Juan Carlos; Rivero, Víctor 13 2012 Supercritical super-Brownian motion with a general branching mechanism and travelling waves. Zbl 1267.60094Kyprianou, A. E.; Liu, R.-L.; Murillo-Salas, A.; Ren, Y.-X. 13 2012 Slow variation and uniqueness of solutions to the functional equation in the branching random walk. Zbl 0930.60066Kyprianou, A. E. 12 1998 Stable Lévy processes, self-similarity and the unit ball. Zbl 1396.60051Kyprianou, Andreas E. 11 2018 On the Novikov-Shiryaev optimal stopping problems in continuous time. Zbl 1111.60024Kyprianou, Andreas E.; Surya, Budhi A. 11 2005 New families of subordinators with explicit transition probability semigroup. Zbl 1300.60068Burridge, J.; Kuznetsov, A.; Kwaśnicki, M.; Kyprianou, A. E. 10 2014 Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation. Zbl 1321.65004Ferreiro-Castilla, A.; Kyprianou, A. E.; Scheichl, R.; Suryanarayana, G. 10 2014 The backbone decomposition for spatially dependent supercritical superprocesses. Zbl 1390.60304Kyprianou, A. E.; Pérez, J-L.; Ren, Y.-X. 9 2014 Martingale convergence and the stopped branching random walk. Zbl 0955.60078Kyprianou, A. E. 9 2000 Pricing Israeli options: a pathwise approach. Zbl 1284.91549Kühn, C.; Kyprianou, A. E.; van Schaik, K. 9 2007 First passage of reflected strictly stable processes. Zbl 1113.60050Kyprianou, A. E. 8 2006 Deep factorisation of the stable process. II: Potentials and applications. Zbl 1396.60040Kyprianou, Andreas E.; Rivero, Victor; Şengül, Batı 7 2018 The Gapeev-Kühn stochastic game driven by a spectrally positive Lévy process. Zbl 1229.91370Baurdoux, E. J.; Kyprianou, A. E.; Pardo, J. C. 7 2011 Martingale convergence and the functional equation in the multi-type branching random walk. Zbl 1017.60090Kyprianou, Andreas E.; Rahimzadeh Sani, A. 7 2001 Traveling waves and homogeneous fragmentation. Zbl 1245.60069Berestycki, J.; Harris, S. C.; Kyprianou, A. E. 7 2011 A note on branching Lévy processes. Zbl 0997.60090Kyprianou, A. E. 7 1999 Perpetual integrals for Lévy processes. Zbl 1356.60073Döring, Leif; Kyprianou, Andreas E. 7 2016 Conditioned real self-similar Markov processes. Zbl 1442.60047Kyprianou, Andreas E.; Rivero, Víctor M.; Satitkanitkul, Weerapat 7 2019 Conditioning subordinators embedded in Markov processes. Zbl 1373.60085Kyprianou, Andreas E.; Rivero, Victor; Şengül, Batı 7 2017 Asymptotic radial speed of the support of supercritical branching Brownian motion and super-Brownian motion in \(R^d\). Zbl 1076.60074Kyprianou, A. E. 7 2005 Branching random walk: Seneta-Heyde norming. Zbl 0864.60070Biggins, J. D.; Kyprianou, A. E. 6 1996 Spectrally negative Lévy processes perturbed by functionals of their running supremum. Zbl 1260.60094Kyprianou, Andreas E.; Ott, Curdin 6 2012 A Ciesielski-Taylor type identity for positive self-similar Markov processes. Zbl 1231.60031Kyprianou, A. E.; Patie, P. 6 2011 Backbone decomposition for continuous-state branching processes with immigration. Zbl 1231.60089Kyprianou, A. E.; Ren, Y.-X. 6 2012 Multi-species neutron transport equation. Zbl 1420.82027Cox, Alexander M. G.; Harris, Simon C.; Horton, Emma L.; Kyprianou, Andreas E. 6 2019 Branching Brownian motion in a strip: survival near criticality. Zbl 1342.60149Harris, S. C.; Hesse, M.; Kyprianou, A. E. 6 2016 Unbiased ‘walk-on-spheres’ Monte Carlo methods for the fractional Laplacian. Zbl 1477.65016Kyprianou, Andreas E.; Osojnik, Ana; Shardlow, Tony 6 2018 Finite expiry Russian options. Zbl 1151.91505Duistermaat, J. J.; Kyprianou, A. E.; van Schaik, K. 6 2005 Extinction properties of multi-type continuous-state branching processes. Zbl 1409.60127Kyprianou, Andreas E.; Palau, Sandra 6 2018 On the parabolic generator of a general one-dimensional Lévy process. Zbl 1191.60063Eisenbaum, Nathalie; Kyprianou, Andreas 5 2008 Almost sure growth of supercritical multi-type continuous-state branching process. Zbl 1390.60314Kyprianou, Andreas E.; Palau, Sandra; Ren, Yan-Xia 5 2018 A capped optimal stopping problem for the maximum process. Zbl 1312.60046Kyprianou, Andreas; Ott, Curdin 5 2014 The extended hypergeometric class of Lévy processes. Zbl 1314.60097Kyprianou, A. E.; Pardo, J. C.; Watson, A. R. 5 2014 Law of the iterated logarithm for oscillating random walks conditioned to stay non-negative. Zbl 1075.60525Hambly, B. M.; Kersting, G.; Kyprianou, A. E. 5 2003 Super-Brownian motion: \(L^p\)-convergence of martingales through the pathwise spine decomposition. Zbl 1279.60111Kyprianou, A. E.; Murillo-Salas, A. 5 2013 Potentials of stable processes. Zbl 1390.60174Kyprianou, A. E.; Watson, A. R. 4 2014 Strong law of large numbers for fragmentation processes. Zbl 1195.60046Harris, S. C.; Knobloch, R.; Kyprianou, A. E. 4 2010 A phase transition in excursions from infinity of the “fast” fragmentation-coalescence process. Zbl 1412.60112Kyprianou, Andreas E.; Pagett, Steven W.; Rogers, Tim; Schweinsberg, Jason 3 2017 Stable windings at the origin. Zbl 1417.60030Kyprianou, Andreas E.; Vakeroudis, Stavros M. 3 2018 Stable processes conditioned to avoid an interval. Zbl 1471.60049Döring, Leif; Kyprianou, Andreas E.; Weissmann, Philip 3 2020 Optimal prediction for positive self-similar Markov processes. Zbl 1346.60121Baurdoux, Erik J.; Kyprianou, Andreas E.; Ott, Curdin 2 2016 Entrance and exit at infinity for stable jump diffusions. Zbl 1469.60211Döring, Leif; Kyprianou, Andreas E. 2 2020 Deep factorisation of the stable process III: the view from radial excursion theory and the point of closest reach. Zbl 1460.60024Kyprianou, Andreas E.; Rivero, Victor; Satitkanitkul, Weerapat 2 2020 The mass of super-Brownian motion upon exiting balls and Sheu’s compact support condition. Zbl 1329.60294Hesse, Marion; Kyprianou, Andreas E. 2 2014 Analysis of stochastic fluid queues driven by local-time processes. Zbl 1164.60070Konstantopoulos, Takis; Kyprianou, Andreas E.; Salminen, Paavo; Sirviö, Marina 2 2008 Lévy matters II. Recent progress in theory and applications: fractional Lévy fields, and scale functions. Zbl 1252.60001Cohen, Serge; Kuznetsov, Alexey; Kyprianou, Andreas E.; Rivero, Victor 2 2012 An application of the backbone decomposition to supercritical super-Brownian motion with a barrier. Zbl 1278.60127Kyprianou, A. E.; Murillo-Salas, A.; Pérez, J. L. 2 2012 A note on a change of variable formula with local time-space for Lévy processes of bounded variation. Zbl 1126.60037Kyprianou, Andreas E.; Surya, Budhi A. 1 2007 A note on the \(\alpha\)-quantile option. Zbl 1013.91048Ballotta, Laura; Kyprianou, Andreas E. 1 2001 An Euler-Poisson scheme for Lévy driven stochastic differential equations. Zbl 1337.60161Ferreiro-Castilla, A.; Kyprianou, A. E.; Scheichl, R. 1 2016 More on hypergeometric Lévy processes. Zbl 1426.60056Horton, Emma L.; Kyprianou, Andreas E. 1 2016 Branching processes in random environment die slowly. Zbl 1357.60094Vatutin, Vladimir A.; Kyprianou, Andreas E. 1 2008 Stochastic methods for neutron transport equation. III: Generational many-to-one and \(k_{\text{\texttt{eff}}}\). Zbl 1467.82108Cox, Alexander M.; Horton, Emma; Kyprianou, Andreas E.; Villemonais, Denis 1 2021 Stable processes conditioned to avoid an interval. Zbl 1471.60049Döring, Leif; Kyprianou, Andreas E.; Weissmann, Philip 3 2020 Entrance and exit at infinity for stable jump diffusions. Zbl 1469.60211Döring, Leif; Kyprianou, Andreas E. 2 2020 Deep factorisation of the stable process III: the view from radial excursion theory and the point of closest reach. Zbl 1460.60024Kyprianou, Andreas E.; Rivero, Victor; Satitkanitkul, Weerapat 2 2020 Conditioned real self-similar Markov processes. Zbl 1442.60047Kyprianou, Andreas E.; Rivero, Víctor M.; Satitkanitkul, Weerapat 7 2019 Multi-species neutron transport equation. Zbl 1420.82027Cox, Alexander M. G.; Harris, Simon C.; Horton, Emma L.; Kyprianou, Andreas E. 6 2019 Skeletal stochastic differential equations for continuous-state branching processes. Zbl 1427.60176Fekete, D.; Fontbona, J.; Kyprianou, A. E. 1 2019 Stable Lévy processes, self-similarity and the unit ball. Zbl 1396.60051Kyprianou, Andreas E. 11 2018 Deep factorisation of the stable process. II: Potentials and applications. Zbl 1396.60040Kyprianou, Andreas E.; Rivero, Victor; Şengül, Batı 7 2018 Unbiased ‘walk-on-spheres’ Monte Carlo methods for the fractional Laplacian. Zbl 1477.65016Kyprianou, Andreas E.; Osojnik, Ana; Shardlow, Tony 6 2018 Extinction properties of multi-type continuous-state branching processes. Zbl 1409.60127Kyprianou, Andreas E.; Palau, Sandra 6 2018 Almost sure growth of supercritical multi-type continuous-state branching process. Zbl 1390.60314Kyprianou, Andreas E.; Palau, Sandra; Ren, Yan-Xia 5 2018 Stable windings at the origin. Zbl 1417.60030Kyprianou, Andreas E.; Vakeroudis, Stavros M. 3 2018 Real self-similar processes started from the origin. Zbl 1372.60052Dereich, Steffen; Döring, Leif; Kyprianou, Andreas E. 15 2017 Conditioning subordinators embedded in Markov processes. Zbl 1373.60085Kyprianou, Andreas E.; Rivero, Victor; Şengül, Batı 7 2017 A phase transition in excursions from infinity of the “fast” fragmentation-coalescence process. Zbl 1412.60112Kyprianou, Andreas E.; Pagett, Steven W.; Rogers, Tim; Schweinsberg, Jason 3 2017 The largest fragment of a homogeneous fragmentation process. Zbl 1372.82021Kyprianou, Andreas; Lane, Francis; Mörters, Peter 1 2017 Deep factorisation of the stable process. Zbl 1338.60130Kyprianou, Andreas E. 15 2016 Perpetual integrals for Lévy processes. Zbl 1356.60073Döring, Leif; Kyprianou, Andreas E. 7 2016 Branching Brownian motion in a strip: survival near criticality. Zbl 1342.60149Harris, S. C.; Hesse, M.; Kyprianou, A. E. 6 2016 Optimal prediction for positive self-similar Markov processes. Zbl 1346.60121Baurdoux, Erik J.; Kyprianou, Andreas E.; Ott, Curdin 2 2016 An Euler-Poisson scheme for Lévy driven stochastic differential equations. Zbl 1337.60161Ferreiro-Castilla, A.; Kyprianou, A. E.; Scheichl, R. 1 2016 More on hypergeometric Lévy processes. Zbl 1426.60056Horton, Emma L.; Kyprianou, Andreas E. 1 2016 Spines, skeletons and the strong law of large numbers for superdiffusions. Zbl 1330.60052Eckhoff, Maren; Kyprianou, Andreas E.; Winkel, Matthias 16 2015 Fluctuations of Lévy processes with applications. Introductory lectures. 2nd ed. Zbl 1384.60003Kyprianou, Andreas E. 131 2014 Optimal dividends in the dual model under transaction costs. Zbl 1294.91071Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi 25 2014 Occupation times of refracted Lévy processes. Zbl 1306.60049Kyprianou, A. E.; Pardo, J. C.; Pérez, J. L. 25 2014 Hitting distributions of \(\alpha\)-stable processes via path censoring and self-similarity. Zbl 1306.60051Kyprianou, Andreas E.; Pardo, Juan Carlos; Watson, Alexander R. 18 2014 The hitting time of zero for a stable process. Zbl 1293.60055Kuznetsov, Alexey; Kyprianou, Andreas E.; Pardo, Juan Carlos; Watson, Alexander R. 16 2014 New families of subordinators with explicit transition probability semigroup. Zbl 1300.60068Burridge, J.; Kuznetsov, A.; Kwaśnicki, M.; Kyprianou, A. E. 10 2014 Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation. Zbl 1321.65004Ferreiro-Castilla, A.; Kyprianou, A. E.; Scheichl, R.; Suryanarayana, G. 10 2014 The backbone decomposition for spatially dependent supercritical superprocesses. Zbl 1390.60304Kyprianou, A. E.; Pérez, J-L.; Ren, Y.-X. 9 2014 A capped optimal stopping problem for the maximum process. Zbl 1312.60046Kyprianou, Andreas; Ott, Curdin 5 2014 The extended hypergeometric class of Lévy processes. Zbl 1314.60097Kyprianou, A. E.; Pardo, J. C.; Watson, A. R. 5 2014 Potentials of stable processes. Zbl 1390.60174Kyprianou, A. E.; Watson, A. R. 4 2014 The mass of super-Brownian motion upon exiting balls and Sheu’s compact support condition. Zbl 1329.60294Hesse, Marion; Kyprianou, Andreas E. 2 2014 Survival of homogeneous fragmentation processes with killing. Zbl 1301.60087Knobloch, Robert; Kyprianou, Andreas E. 1 2014 On optimal dividends in the dual model. Zbl 1283.91192Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi 39 2013 Gerber-Shiu risk theory. Zbl 1277.91003Kyprianou, Andreas E. 29 2013 Super-Brownian motion: \(L^p\)-convergence of martingales through the pathwise spine decomposition. Zbl 1279.60111Kyprianou, A. E.; Murillo-Salas, A. 5 2013 The theory of scale functions for spectrally negative Lévy processes. Zbl 1261.60047Kuznetsov, Alexey; Kyprianou, Andreas E.; Rivero, Victor 110 2012 Meromorphic Lévy processes and their fluctuation identities. Zbl 1252.60044Kuznetsov, A.; Kyprianou, A. E.; Pardo, J. C. 39 2012 Optimal control with absolutely continuous strategies for spectrally negative Lévy processes. Zbl 1253.93001Kyprianou, Andreas E.; Loeffen, Ronnie; Pérez, José-Luis 22 2012 Fluctuation theory and exit systems for positive self-similar Markov processes. Zbl 1241.60019Chaumont, Loïc; Kyprianou, Andreas; Pardo, Juan Carlos; Rivero, Víctor 13 2012 Supercritical super-Brownian motion with a general branching mechanism and travelling waves. Zbl 1267.60094Kyprianou, A. E.; Liu, R.-L.; Murillo-Salas, A.; Ren, Y.-X. 13 2012 Spectrally negative Lévy processes perturbed by functionals of their running supremum. Zbl 1260.60094Kyprianou, Andreas E.; Ott, Curdin 6 2012 Backbone decomposition for continuous-state branching processes with immigration. Zbl 1231.60089Kyprianou, A. E.; Ren, Y.-X. 6 2012 Lévy matters II. Recent progress in theory and applications: fractional Lévy fields, and scale functions. Zbl 1252.60001Cohen, Serge; Kuznetsov, Alexey; Kyprianou, Andreas E.; Rivero, Victor 2 2012 An application of the backbone decomposition to supercritical super-Brownian motion with a barrier. Zbl 1278.60127Kyprianou, A. E.; Murillo-Salas, A.; Pérez, J. L. 2 2012 Smoothness of scale functions for spectrally negative Lévy processes. Zbl 1259.60050Chan, T.; Kyprianou, A. E.; Savov, M. 68 2011 A Wiener-Hopf Monte Carlo simulation technique for Lévy processes. Zbl 1245.65005Kuznetsov, A.; Kyprianou, A. E.; Pardo, J. C.; van Schaik, K. 34 2011 The prolific backbone for supercritical superprocesses. Zbl 1225.60138Berestycki, J.; Kyprianou, A. E.; Murillo-Salas, A. 21 2011 The Gapeev-Kühn stochastic game driven by a spectrally positive Lévy process. Zbl 1229.91370Baurdoux, E. J.; Kyprianou, A. E.; Pardo, J. C. 7 2011 Traveling waves and homogeneous fragmentation. Zbl 1245.60069Berestycki, J.; Harris, S. C.; Kyprianou, A. E. 7 2011 A Ciesielski-Taylor type identity for positive self-similar Markov processes. Zbl 1231.60031Kyprianou, A. E.; Patie, P. 6 2011 Refracted Lévy processes. Zbl 1201.60042Kyprianou, A. E.; Loeffen, R. L. 48 2010 A note on scale functions and the time value of ruin for Lévy insurance risk processes. Zbl 1231.91145Biffis, Enrico; Kyprianou, Andreas E. 40 2010 Strong law of large numbers for branching diffusions. Zbl 1196.60139Engländer, János; Harris, Simon C.; Kyprianou, Andreas E. 31 2010 Convexity and smoothness of scale functions and de Finetti’s control problem. Zbl 1188.93115Kyprianou, Andreas E.; Rivero, Víctor; Song, Renming 22 2010 Exact and asymptotic \(n\)-tuple laws at first and last passage. Zbl 1200.60038Kyprianou, A. E.; Pardo, J. C.; Rivero, V. 18 2010 Strong law of large numbers for fragmentation processes. Zbl 1195.60046Harris, S. C.; Knobloch, R.; Kyprianou, A. E. 4 2010 General tax structures and the Lévy insurance risk model. Zbl 1210.60098Kyprianou, Andreas E.; Zhou, Xiaowen 38 2009 Some explicit identities associated with positive self-similar Markov processes. Zbl 1170.60017Chaumont, L.; Kyprianou, A. E.; Pardo, J. C. 22 2009 The Shepp-Shiryaev stochastic game driven by a spectrally negative Lévy process. Zbl 1209.91034Baurdoux, E. J.; Kyprianou, A. E. 14 2009 Fluctuations of spectrally negative Markov additive processes. Zbl 1156.60060Kyprianou, Andreas E.; Palmowski, Zbigniew 29 2008 Special, conjugate and complete scale functions for spectrally negative Lévy processes. Zbl 1193.60064Kyprianou, Andreas E.; Rivero, Victor 25 2008 Continuous-state branching processes and self-similarity. Zbl 1157.60078Kyprianou, A. E.; Pardo, J. C. 18 2008 The McKean stochastic game driven by a spectrally negative Lévy process. Zbl 1190.60084Baurdoux, Erik J.; Kyprianou, Andreas E. 14 2008 On the parabolic generator of a general one-dimensional Lévy process. Zbl 1191.60063Eisenbaum, Nathalie; Kyprianou, Andreas 5 2008 Analysis of stochastic fluid queues driven by local-time processes. Zbl 1164.60070Konstantopoulos, Takis; Kyprianou, Andreas E.; Salminen, Paavo; Sirviö, Marina 2 2008 Branching processes in random environment die slowly. Zbl 1357.60094Vatutin, Vladimir A.; Kyprianou, Andreas E. 1 2008 Distributional study of De Finetti’s dividend problem for a general Lévy insurance risk process. Zbl 1137.60047Kyprianou, A. E.; Palmowski, Z. 54 2007 Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels. Zbl 1143.91020Kyprianou, A. E.; Surya, B. A. 23 2007 Callable puts as composite exotic options. Zbl 1138.91405Kühn, Christoph; Kyprianou, Andreas E. 16 2007 Pricing Israeli options: a pathwise approach. Zbl 1284.91549Kühn, C.; Kyprianou, A. E.; van Schaik, K. 9 2007 A note on a change of variable formula with local time-space for Lévy processes of bounded variation. Zbl 1126.60037Kyprianou, Andreas E.; Surya, Budhi A. 1 2007 Introductory lectures on fluctuations of Lévy processes with applications. Zbl 1104.60001Kyprianou, Andreas E. 402 2006 Overshoots and undershoots of Lévy processes. Zbl 1101.60029Doney, R. A.; Kyprianou, A. E. 67 2006 Further probabilistic analysis of the Fisher-Kolmogorov-Petrovskii-Piscounov equation: one sided travelling-waves. Zbl 1093.60059Harris, J. W.; Harris, S. C.; Kyprianou, A. E. 24 2006 On extreme ruinous behaviour of Lévy insurance risk processes. Zbl 1118.60071Klüppelberg, C.; Kyprianou, A. E. 20 2006 Quasi-stationary distributions for Lévy processes. Zbl 1130.60054Kyprianou, A. E.; Palmowski, Z. 13 2006 First passage of reflected strictly stable processes. Zbl 1113.60050Kyprianou, A. E. 8 2006 Some remarks on first passage of Lévy processes, the American put and pasting principles. Zbl 1083.60034Alili, L.; Kyprianou, A. E. 78 2005 Fixed points of the smoothing transform: the boundary case. Zbl 1110.60081Biggins, J. D.; Kyprianou, A. E. 35 2005 A martingale review of some fluctuation theory for spectrally negative Lévy processes. Zbl 1063.60071Kyprianou, Andreas E.; Palmowski, Zbigniew 29 2005 Exotic option pricing and advanced Lévy models. Zbl 1140.91050 22 2005 On the Novikov-Shiryaev optimal stopping problems in continuous time. Zbl 1111.60024Kyprianou, 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 1076.60074Kyprianou, A. E. 7 2005 Finite expiry Russian options. Zbl 1151.91505Duistermaat, J. J.; Kyprianou, A. E.; van Schaik, K. 6 2005 Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options. Zbl 1042.60023Avram, F.; Kyprianou, A. E.; Pistorius, M. R. 108 2004 Ruin probabilities and overshoots for general Lévy insurance risk processes. Zbl 1066.60049Klüppelberg, Claudia; Kyprianou, Andreas E.; Maller, Ross A. 92 2004 Measure change in multitype branching. Zbl 1056.60082Biggins, J. D.; Kyprianou, A. E. 78 2004 Local extinction versus local exponential growth for spatial branching processes. Zbl 1056.60083Engländer, János; Kyprianou, Andreas E. 40 2004 Travelling wave solutions to the K-P-P equation: alternatives to Simon Harris’ probabilistic analysis. Zbl 1042.60057Kyprianou, A. E. 31 2004 Some calculations for Israeli options. Zbl 1098.91055Kyprianou, Andreas E. 31 2004 Perpetual options and Canadization through fluctuation theory. Zbl 1039.60044Kyprianou, A. E.; Pistorius, M. R. 45 2003 Law of the iterated logarithm for oscillating random walks conditioned to stay non-negative. Zbl 1075.60525Hambly, B. M.; Kersting, G.; Kyprianou, A. E. 5 2003 Martingale convergence and the functional equation in the multi-type branching random walk. Zbl 1017.60090Kyprianou, Andreas E.; Rahimzadeh Sani, A. 7 2001 A note on the \(\alpha\)-quantile option. Zbl 1013.91048Ballotta, Laura; Kyprianou, Andreas E. 1 2001 Martingale convergence and the stopped branching random walk. Zbl 0955.60078Kyprianou, A. E. 9 2000 ...and 5 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 1,153 Authors 73 Kyprianou, Andreas E. 39 Palmowski, Zbigniew 30 Mandjes, Michel Robertus Hendrikus 29 Yamazaki, Kazutoshi 28 Ren, Yanxia 27 Zhou, Xiaowen 26 Ivanovs, Jevgeņijs 26 Pérez Garmendia, Jose Luis 24 Pardo, Juan Carlos 22 Song, Renming 19 Landriault, David 16 Boxma, Onno Johan 16 Rivero, Víctor Manuel 16 Wang, Wenyuan 16 Yin, Chuancun 15 Avram, Florin 15 Dshalalow, Jewgeni H. 15 Harris, Simon C. 15 Li, Bin 14 Bertoin, Jean 14 Czarna, Irmina 14 Patie, Pierre 14 Pistorius, Martijn R. 14 Renaud, Jean-François 14 Zhang, Zhimin 13 Albrecher, Hansjörg 13 Berestycki, Julien 13 Mallein, Bastien 12 Kuznetsov, Alexey 12 Loeffen, Ronnie L. 12 Meiners, Matthias 12 Zwart, Bert P. 11 Cheung, Eric C. K. 11 Griffin, Philip S. 11 Kella, Offer 11 Maller, Ross Arthur 10 Iksanov, Aleksander M. 10 Levendorskiĭ, Sergeĭ Zakharovich 10 Palau, Sandra 9 Chaumont, Loïc 9 Frostig, Esther 9 Van Schaik, Kees 8 Asmussen, Søren 8 Döring, Leif 8 Gapeev, Pavel V. 8 Hu, Yueyun 8 Liu, Quansheng 8 Vidmar, Matija 8 Watson, Alexander R. 8 Yang, Hailiang 8 Yang, Ting 7 Aidekon, Elie E. F. 7 Avanzi, Benjamin 7 Baurdoux, Erik Jan 7 Biggins, J. D. 7 Foucart, Clément 7 Li, Shu 7 Li, Yingqiu 7 Salminen, Paavo H. 7 Shi, Zhan 7 Surya, Budhi Arta 7 Tang, Qihe 7 Willmot, Gordon E. 7 Yuen, Kam Chuen 6 Boyarchenko, Svetlana I. 6 Buraczewski, Dariusz 6 Chen, Ping 6 Egami, Masahiko 6 Hu, Yijun 6 Lambert, Amaury 6 Li, Bo 6 Li, Shuanming 6 Mijatović, Aleksandar 6 Morales, Manuel 6 Noba, Kei 6 Simon, Thomas 6 Wong, Bernard 6 Woo, Jae-Kyung 6 Zhang, Hongzhong 6 Zhang, Rui 5 Bekker, René 5 Berestycki, Henri 5 Chen, Xinxin 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 Horton, Emma L. 5 Huang, Chunmao 5 Klüppelberg, Claudia 5 Knobloch, Robert 5 Liu, Rongli 5 Ming, Ruixing 5 Mordecki, Ernesto 5 Powell, Ellen 5 Roberts, Matthew Iain ...and 1,053 more Authors all top 5 Cited in 171 Serials 130 Stochastic Processes and their Applications 96 Journal of Applied Probability 78 Insurance Mathematics & Economics 52 Advances in Applied Probability 46 The Annals of Probability 44 Statistics & Probability Letters 42 The Annals of Applied Probability 40 Annales de l’Institut Henri Poincaré. 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English Series 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 Proceedings of the Steklov Institute of Mathematics 2 Annals of Finance 2 ISRN Probability and Statistics 2 Annales Henri Lebesgue 1 Analysis Mathematica 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 ...and 71 more Serials all top 5 Cited in 38 Fields 1,109 Probability theory and stochastic processes (60-XX) 458 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 105 Statistics (62-XX) 84 Systems theory; control (93-XX) 63 Operations research, mathematical programming (90-XX) 54 Numerical analysis (65-XX) 53 Partial differential equations (35-XX) 35 Biology and other natural sciences (92-XX) 29 Operator theory (47-XX) 24 Statistical mechanics, structure of matter (82-XX) 21 Integral equations (45-XX) 19 Calculus of variations and optimal control; optimization (49-XX) 16 Combinatorics (05-XX) 14 Measure and integration (28-XX) 13 Ordinary differential equations (34-XX) 13 Dynamical systems and ergodic theory (37-XX) 13 Integral transforms, operational calculus (44-XX) 10 Special functions (33-XX) 9 Real functions (26-XX) 8 Computer science (68-XX) 6 Linear and multilinear algebra; matrix theory (15-XX) 6 Harmonic analysis on Euclidean spaces (42-XX) 6 Functional analysis (46-XX) 4 Functions of a complex variable (30-XX) 4 Difference and functional equations (39-XX) 4 Quantum theory (81-XX) 3 Potential theory (31-XX) 3 Approximations and expansions (41-XX) 2 Number theory (11-XX) 2 Global analysis, analysis on manifolds (58-XX) 1 General and overarching topics; collections (00-XX) 1 History and biography (01-XX) 1 Field theory and polynomials (12-XX) 1 Group theory and generalizations (20-XX) 1 Mechanics of particles and systems (70-XX) 1 Fluid mechanics (76-XX) 1 Classical thermodynamics, heat transfer (80-XX) 1 Relativity and gravitational theory (83-XX) Citations by Year