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Discretionary stopping of one-dimensional Itô diffusions with a staircase reward function

Journal of applied probability, 2006-12, Vol.43 (4), p.984-996

2006

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Discretionary stopping of one-dimensional Itô diffusions with a staircase reward function

Journal of applied probability, 2006-12, Vol.43 (4), p.984-996

2006

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An Excursion-Theoretical Approach to Some Boundary Crossing Problems and the Skorokhod Embedding for Reflected Lévy Processes

Séminaire de Probabilités XL, p.287-307

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An Excursion-Theoretical Approach to Some Boundary Crossing Problems and the Skorokhod Embedding for Reflected Levy Processes

Séminaire de Probabilités XL, 2007

2007

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Exit Problem of a Two-Dimensional Risk Process from the Quadrant: Exact and Asymptotic Results

The Annals of applied probability, 2008-12, Vol.18 (6), p.2421-2449

2008

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Fetal Heart Disease: Severity, Associated Anomalies and Parental Decision

Fetal diagnosis and therapy, 2013-05, Vol.33 (4), p.235-240

2013

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On an Optimal Consumption Problem for p-Integrable Consumption Plans

Economic theory, 2001-05, Vol.17 (3), p.721-737

2001

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On perpetual American put valuation and first-passage in a regime-switching model with jumps

Finance and stochastics, 2008, Vol.12 (3), p.331-355

2008

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On the drawdown of completely asymmetric Lévy processes

Stochastic processes and their applications, 2012-11, Vol.122 (11), p.3812-3836

2012

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On the Optimal Dividend Problem for a Spectrally Negative Lévy Process

The Annals of applied probability, 2007-02, Vol.17 (1), p.156-180

2007

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A Potential-theoretical Review of some Exit Problems of Spectrally Negative Lévy Processes

Séminaire de Probabilités XXXVIII, 2004-11, p.30-41

2004

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Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications

Journal of applied probability, 2015-12, Vol.52 (4), p.1076-1096

2015

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Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications

Journal of applied probability, 2015-12, Vol.52 (4), p.1076-1096

2015

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Russian and American options under exponential phase-type Lévy models

Stochastic processes and their applications, 2004, p.79

2004

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Russian and American put options under exponential phase-type Lévy models

Stochastic processes and their applications, 2004, Vol.109 (1), p.79-111

2004

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Discretionary stopping of one-dimensional Itô diffusions with a staircase reward function

Discretionary stopping of one-dimensional Itô diffusions with a staircase reward function

An Excursion-Theoretical Approach to Some Boundary Crossing Problems and the Skorokhod Embedding for Reflected Lévy Processes

An Excursion-Theoretical Approach to Some Boundary Crossing Problems and the Skorokhod Embedding for Reflected Levy Processes

Exit Problem of a Two-Dimensional Risk Process from the Quadrant: Exact and Asymptotic Results

Fetal Heart Disease: Severity, Associated Anomalies and Parental Decision

On an Optimal Consumption Problem for p-Integrable Consumption Plans

On perpetual American put valuation and first-passage in a regime-switching model with jumps

On the drawdown of completely asymmetric Lévy processes

On the Optimal Dividend Problem for a Spectrally Negative Lévy Process

A Potential-theoretical Review of some Exit Problems of Spectrally Negative Lévy Processes

Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications

Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications

Russian and American options under exponential phase-type Lévy models

Russian and American put options under exponential phase-type Lévy models

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