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Fluctuation Theory for Lévy Processes
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Fluctuation Theory for Lévy Processes (2001)Fluctuation Theory for Lévy ProcessesOptimal dividends in the dual model under transaction costs (2013)Optimal dividends in the dual…Meromorphic Lévy processes and their fluctuation identities (2012)Meromorphic Lévy processes an…Wiener-Hopf Factorization for a Family of Lévy Processes Related to Theta Functions (2010)Wiener-Hopf Factorization for…Brownian motion and stochastic calculus (1991)Applied Stochastic Control of Jump Diffusions (2005)Stochastic Integration and Differential Equations (2005)On Optimal Periodic Dividend Strategies in the Dual Model with Diffusion (2013)On the optimality of periodic barrier strategies for a spectrally positive Lévy process (2017)A survey of stochastic inventory models with fixed costs: Optimality of ( s , S ) and ( s , S )‐type policies—Continuous‐time case (2022)Stochastic Processes in Queueing Theory (1976)A Jump-Diffusion Model for Option Pricing (2002)Stochastic Volatility for Lévy Processes (2003)Multilevel Monte Carlo simulation for Lévy processes based on the Wiener–Hopf factorisation (2013)Suprema of Lévy processes (2013)METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES (2014)The Variance Gamma (V.G.) Model for Share Market Returns (1990)Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)Ruin Probabilities (2000)
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  • 2012Meromorphic Lévy processes and their fluctuation identities88 cited
  • 2013Optimal dividends in the dual model under transaction costs61 cited
  • 2010Wiener-Hopf Factorization for a Family of Lévy Processes Related to Theta Functions40 cited

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