# Professor Andreas Kyprianou

### Papers

- Many-to-few for non-local branching Markov process (with Simon Harris, Emma Horton and Ellen Powell). To appear in Electronic Journal of Probability, 2024.
- General path integrals and stable SDEs (with Sam Baguley and Leif Döring).
*To appear in the Journal of the European Mathematical Society.* - Multi-type Λ-coalescents (with Samuel Johnston and Tim Rogers).
*Annals of Applied Probability. Vol. 33 (6A), 4210-4237, 2023.* - Asymptotic moments of spatial branching processes (with Emma Horton and Isaac Gonzalez).
*Probability Theory and Related Fields (2022), 184 no. 3-4, 805–858. See also the Erratum for the non-critical cases in the same journal (2023), 187 no. 1-2, 505–515.* - Monte-Carlo Methods for the Neutron Transport Equation (with Alex M.G. Cox, Simon Harris and Minmin Wang).
*SIAM Journal of Uncertainty Quantification (2022), no. 2, 775–825.* - Yaglom limit for non-local critical branching Markov processes (With Emma Horton, Simon Harris and Minmin Wang).
*Annals of Probability (2022), Vol. 50, No. 6, 2373–2408*. - An optimal stopping problem for spectrally negative Markov additive processes (With Mine Çağlar, and Ceren Vardar-Acar).
*Stochastic Processes and their Applications (2022), 150, 1109-1138* - Oscillatory attraction and repulsion from a subset of the unit sphere or hyperplane for isotropic stable Lévy processes (With Mateusz Kwaśniki, Sandra Palau, and Tsogzolmaa Saizmaa). In:
*A Lifetime of Excursions Through Random Walks and Lévy Processes: A Volume in Honour of Ron Doney’s 80th Birthday. p283-313, Birkhäuser 2022.* - The Doob-McKean identity for stable Lévy processes (With Neil O'Connell). In:
*A Lifetime of Excursions Through Random Walks and Lévy Processes: A Volume in Honour of Ron Doney’s 80th Birthday. p269-282. Birkhäuser 2022.* - A Transformation for Spectrally Negative Lévy Processes and Applications (With Marie Chazal and Pierre Patie). In:
*A Lifetime of Excursions Through Random Walks and Lévy Processes: A Volume in Honour of Ron Doney’s 80th Birthday. (2022) p157-180. Birkhäuser 2022.* - A Lifetime of Excursions Through Random Walks and Lévy Processes (With Loic Chaumont). In:
*A Lifetime of Excursions Through Random Walks and Lévy Processes: A Volume in Honour of Ron Doney’s 80th Birthday. (2022) p1-11. Birkhäuser 2022.* - Stable Lévy processes in a cone. (with Victor M. Rivero and Weerapat Satitkanitkul).
*Annales de l'Instut Henri Poincaré (2021), 57, No. 4, 2066–2099.* - Double hypergeometric Lévy processes and self-similarity (With Juan Carlos Pardo and Matija Vidmar).
*Journal of Applied Probability (2021), 58, 254–273.* - Attraction to and repulsion from a subset of the unit sphere for isotropic stable Lévy processes (With Sandra Palau, and Tsogzolmaa Saizmaa).
*Stochastic Processes and their Applications (2021), 137 272-293.* - Stochastic Methods for the Neutron Transport Equation III: Generational many-to-one and k_eff. (with Alex M.G. Cox, Emma Horton and Denis Villemonais).
*SIAM Journal of Applied Mathematics (2021), 81(3), 982–1001.* - Stochastic Methods for the Neutron Transport Equation II: Almost sure growth. (with Emma Horton and Simon Harris).
*Annals of Applied Probability (2020), Vol. 30, No. 6, 2573-2612.* - Stochastic Methods for the Neutron Transport Equation I: Linear Semigroup asymptotics. (with Emma Horton and Denis Villemonais).
*Annals of Applied Probability (2020) Vol. 30, No. 6, 2815-2845.* - Deep factorisation of the stable process III: radial excursion theory and the point of closest reach. (with Victor M. Rivero and Weerapat Satitkanitkul).
*Potential Analysis (2020), 53, 1347-1375.* - Skeletal stochastic differential equations for superprocesses (With Dorottya Fekete and Joaquin Fontbona).
*Journal of Applied Probability. (2020) 57, 1111-1134.* - Stable processes conditioned to avoid an interval (with Leif Döring and Philip Weissmann).
*Stochastic Processes and their Applications (2020), Vol 130 no. 2, 471-487.* - Entrance laws at the origin of self-similar Markov processes in high dimensionsLink opens in a new window. (with Victor M. Rivero, Bati Sengul and Ting Yang).
*Transactions of the American Mathematical Society (2020) Vol. 373 (9), 6227-6299.* - Entrance and exit at infinity for stable jump diffusions (with Leif Döring).
*Annals of Probability (2020), Vol. 48, No. 3, 1220-1265.* - Skeletal stochastic differential equations for continuous-state branching process (With Dorottya Fekete and Joaquin Fontbona).
*Journal of Applied Probability (2019), 56, 1122-1150.* - Multi-species neutron transport equation. (with Alex M.G. Cox, Simon C. Harris and Emma Horton).
*Journal of Statistical Physics (2019), 176(2), 425-455.* - Conditioned real self-similar Markov processes. (with Victor M. Rivero and Weerapat Satitkanitkul).
*Stochastic Processes and their Applications (2019), 129, 954-977.* - Extinction properties of multi-type continuous-state branching processes (With Sandra Palau).
*Stochastic Processes and their Applications (2018), 128 3466–3489.* - Stable windings at the origin. (With Stavros Vakeroudis).
*Stochastic Processes and their Applications (2018), 128, 4309-4325.* - Unbiased "walk-on-spheres" Monte Carlo methods for the fractional Laplacian (With Ana Osojnik and Tony Shardlow).
*IMA J. Numer. Anal. (2018), 38 no. 3, 1550-1578.* - Stable processes, self-similarity and the unit ball.
*ALEA, Lat. Am. J. Probab. Math. Stat. (2018), 15, 617-690.* - Almost sure growth of supercritical multi-type continuous state branching process (With Sandra Palau and Yanxia Ren).
*ALEA, Lat. Am. J. Probab. Math. Stat. (2018), 15, 409-428.* - Universality in a class of fragmentation-coalescence processes. (with Steven Pagett and Tim Rogers).
*Annales de l'Instut Henri Poincaré. (2018), Vol. 54, No. 2, 1134-1151.* - Deep factorisation of the stable process II: potentials and applications. (with Victor M. Rivero and Bati Sengul).
*Annales de l'Instut Henri Poincaré. (2018), Vol. 54, No. 1, 343-362.* - A phase transition in excursions from infinity of the "fast" fragmentation-coalescence process. (with Steven Pagett, Tim Rogers and Jason Schweinsberg).
*Annals of Probability. (2017), Volume 45, No. 6A, 3829-3849.* - Conditioning subordinators embedded in Markov processes. (with Victor Rivero, and Bati Sengul).
*Stochastic Processes and their Applications. (2017), 127, 1234-1254.* - Real self-similar processes started from the origin (with Steffen Deriech and Leif Döring).
*Annals of Probability. (2017), Volume 45, No. 3, 1952-2003.* - The largest fragment of a homogeneous fragmentation process (With Peter Mörters and Francis Lane).
*Journal of Statistical Physics. (2017), 166, 1226-1246.* - Perpetual integrals for Lévy processes (with Leif Döring).
*Journal of Theoretical Probability (2016), Volume 29, Issue 3, pp 1192-1198.* - Optimal prediction for positive self-similar Markov processes (With Erik Baurdoux and Curdin Ott).
*Electronic Journal of Probability. (2016), Volume 21 paper no. 48, 1-24.* - More on hypergeometric Lévy processes (with Emma Horton).
*Advances in Applied Probability (2016), 48A, 153 - 158.* - Deep factorisation of the stable process.
*Electronic Journal of Probability. (2016), Volume 21 paper no. 23, 1-28.* - UK universities find a cash cow in the financial fall-out. The Conversation. (See also the longer version: The UK financial mathematics M.Sc.)
- An Euler-Poisson Scheme for Lévy driven SDEs (with Albert Ferreiro-Castilla and Rob Scheichl).
*Journal of Applied Probability. (2016), 53, 262-278.* - Branching Brownian motion in a strip: survival near criticality. (with Simon Harris and Marion Hesse).
*Annals of Probability. (2016), Vol. 44, No. 1, 235-275.* - Spines, skeletons and the Strong Law of Large Numbers for superdiffusions (with Maren Eckhoff and Matthias Winkel).
*Annals of Probability. (2015), Vol. 43, No. 5, 2594-2659.* - Potentials of stable processes (with Alex Watson).
*Séminaire de Probabilité XLVI. (2015), 333-344.* - The backbone decomposition for spatially dependent supercritical superprocesses (with Jose-Luis Pérez and Yanxia Ren).
*Séminaire de Probabilité XLVI. (2015), 33-60.* - The extended hypergeometric class of Lévy processes (with Juan Carlos Pardo and Alex Watson).
*Journal of Applied Probability. (2014), 51A, 391-408.* - Occupation times of refracted Lévy processes (with Juan Carlos Pardo and Jose-Luis Pérez).
*Journal of Theoretical Probability. (2014), 27, 1292-1315.* - New families of subordinators with explicit transition probability semigroup. (with James Burridge, Mateusz Kwasnicki, Alexey Kuznetsov.).
*Stochastic Processes and their Applications (2014), 124, 3480-3495.* - Survival of homogenous fragmentation processes with killing. (with Robert Knobloch).
*Annales de l'Instut Henri Poincaré(2014), 50, 476-491.* - The hitting time of zero for a stable process (with Alexey Kuznetsov, Juan Carlos Pardo and Alex Watson).
*Electronic Journal of Probability (2014), 19, 1-26.* - The total mass of super-Brownian motion upon exiting balls and Sheu's compact support condition. (with Marion Hesse).
*Stochastic Processes and its Applications (2014), 124, 2003-2022.* - A capped optimal stopping problem for the maximum process (with Curdin Ott).
*Acta Applicandae Mathematicae. (2014), 129, 147-174.* - Hitting distributions of alpha-stable processes via path censoring and self-similarity (with Juan Carlos Pardo and Alex Watson).
*Annals of Probability. (2014), 42, 398-430.* - Optimal dividends in the dual model under transaction costs (with Erhan Bayraktar and Kazutoshi Yamazaki).
*Insurance: Mathematics and Economics (2014), 54, 133-143.* - Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation (with Albert Ferreiro-Castilla, Rob Scheichl and Gowri Suryanarayana).
*Stochastic Processes and its Applications (2014), 124, 985-1010.* - Pricing of Contingent Convertibles under Smile Conform Models. (with José Manuel Corcuera, Jan de Spiegeleer, Albert Ferreiro-Castilla, Dillip Madan and Wim Schoutens).
*Journal of Credit Risk (2013), 9(3), 121-140.* - On optimal dividends in the dual model (with Erhan Bayraktar and Kazutoshi Yamazaki).
*ASTIN Bulletin (2013), 43, 359-372.* - Spectrally negative Lévy processes perturbed by functionals of their running supremum (with Curdin Ott).
*Journal of Applied Probability (2012), 49, 1005-1014.* - An application of the backbone decomposition to supercritical super-Brownian motion with a barrier. (with Antonio Murillo-Salas and Jose-Luis Pérez).
*Journal of Applied Probability. (2012), 49, 671-684.* - Super-Brownian motion: Lp-convergence of martingales through the pathwise spine decomposition. (with Antonio Murillo-Salas).
*In Advances in Superprocesses and Nonlinear PDEs Series: Springer Proceedings in Mathematics & Statistics, Vol. 38 Englander, Janos; Rider, Brian C. (Eds.), 2013.* - Supercritical super-Brownian motion with a general branching mechanism and travelling waves (with Antonio Murillo-Salas, Rongli Liu and Yanxia Ren).
*Annales de l'Instut Henri Poincaré. (2012), 48, 661-687.* - Meromorphic Lévy processes and their fluctuation identities (with Alexey Kuznetsov, Juan Carlos Pardo).
*Annals of Applied Probability. (2012), 22, 1101-1135.* - An optimal stopping problem for fragmentation processes. (with Juan Carlos Pardo).
*Stochastic Processes and their Applications. (2012), 122, 1210-1225.* - Optimal control with absolutely continuous strategies for spectrally negative Lévy processes. (with Ronnie Loeffen and Jose-Luis Pérez).
*Journal of Applied Probability (2012), 49, 150-166.* - Fluctuation theory and exit systems for positive self-similar Markov processes (with Loic Chaumont, V. Rivero and Juan Carlos Pardo).
*Annals of Probability (2012), 40, 245-279.* - Backbone decomposition for continuous-state branching processes with immigration. (with Yanxia Ren).
*Statistics and Probability Letters. (2012), 82, 139-144.* - A Wiener-Hopf Monte Carlo simulation technique for Lévy process (with Alexey Kuznetsov,
*Juan Carlos Pardo and Kees van Schaik). Annals of Applied Probability. (2011), 21, 2171-2190.* - Travelling waves and homogeneous fragmentation. (with Julien Berestycki and Simon Harris).
*Annals of Applied Probability. (2011), 21, 1749-1794.* - On the excursions of reflected local time processes and stochastic fluid queues. (with Takis Konstantopoulos and Paavo Salminen).
*Journal of Applied Probability (2011), 48A, 79-98.* - Smoothness of scale functions for spectrally negative Lévy processes (with Terence Chan and Mladen Savov).
*Probability Theory and Related Fields (2011), 150, 691-708.* - A Ciesielski-Taylor type identity for positive self-similar Markov processes (with Pierre Patie).
*Annales de l'Instut Henri Poincaré (2011), 47/3, 917-928.* - The prolific backbone for supercritical superdiffusions. (with Julien Berestycki and Antonio Murillo).
*Stochastic Processes and their Applications (2011), 121/6, 1315-1331.* - The Gapeev--Kühn stochastic game driven by a spectrally positive Lévy process. (with Erik Baurdoux and Juan Carlos Pardo).
*Stochastic Processes and their Applications (2011), 121/6, 1266-1289.* - Old and new examples of scale functions for spectrally negative Lévy processes. (with F. Hubalek).
*Sixth Seminar on Stochastic Analysis, Random Fields and Applications, eds R. Dalang, M. Dozzi, F. Russo. Progress in Probability, Birkhäuser (2010), 119-146.* - Convexity and smoothness of scale functions and de Finetti's control problem. (with V. Rivero and Renming Song).
*Journal of Theoretical Probability (2010), 23, 547-564.* - Exact and asymptotic n-tuple laws at first and last passage. (with V. Rivero and Juan Carlos Pardo).
*Annals of Applied Probability (2010), Vol. 20, No. 2, 522-564.* - The Wiener-Hopf decomposition.
*Encyclopedia of Quantitative Finance, Wiley.* - Lévy processes.
*Encyclopedia of Quantitative Finance, Wiley.* - Strong law of large numbers for branching diffusions. (with Janos Englander and Simon Harris).
*Annales de l'Instut Henri Poincaré (2010), 46, 279-298.* - Strong law of large numbers for fragmentation processes. (with S.C. Harris and R.Knobloch).
*Annales de l'Instut Henri Poincaré (2010), 46, 119-134.* - Refracted Lévy processes. (with R. Loeffen).
*Annales de l'Instut Henri Poincaré (2010), 46, 24-44.* - A note on scale functions and the time value of ruin for Lévy insurance risk processes. (with Enrico Biffis).
*Insurance Mathematics and Economics (2010), 46, 85-91.* - General tax structures and the Lévy insurance risk model. (with Xiaowen Zhou).
*Journal of Applied Probability (2009), 46, 1146-1156.* - The Shepp-Shiryaev stochastic game driven by a spectrally negative Lévy process. (with Erik Baurdoux).
*Theory of Probability and Its Applications (Teoriya Veroyatnostei i ee Primeneniya) (2009), 53, 481-499.* - Some explicit identities associated with positive self-similar Markov processes. (with Loic Chaumont and Juan Carlos Pardo).
*Stochastic Processes and Their Applications (2009), 119/3, 980-1000.* - Branching processes in random environment die slowly. (with V.Vatutin).
*Discrete Mathematics & Theoretical Computer Science Proceedings Fifth Colloquium on Mathematics and Computer Science (2008), 375-396.* - Analysis of stochastic fluid queues driven by local time processes. (with Takis Konstantopoulos, Paavo Salminen and Marina Sirvio (née Kozlova)).
*Advances of Applied Probability (2008), vol. 40 (4), 1072-1103.* - Continuous state branching processes and self-similarity. (with Juan Carlos Pardo).
*Journal of Applied Probability (2008), 45 (4), 1140-1160.* - Special, conjugate and complete scale functions for spectrally negative Lévy processes. (with V. Rivero).
*Electronic Journal of Probability (2008), Paper no 57, 1672-1701.* - On the parabolic generator of a general one-dimensional Lévy process. (with Nathalie Eisenbaum).
*Electronic Communications in Probability (2008), Paper no. 20, 198-209.* - Fluctuations of spectrally negative Markov Additive Processes. (with Z. Palmowski).
*Séminaire de Probabilité XLI. 121-135.* - The McKean stochastic game driven by a spectrally negative Lévy process. (with Erik Baurdoux).
*Electronic Journal of Probability. (2008), Paper no. 8, 173-197.* - Callable puts as composite exotic options. (with C. Kuhn).
*Mathematical Finance (2007), 17, 487-502.* - A note on the change of variable formula with local time-space for bounded variation Lévy processes. (With B. Surya).
*Séminaire de Probabilité XL. 97-105.* - Distributional study of De Finetti's dividend problem for a general Lévy insurance risk process. (with Z. Palmowski).
*Journal of Applied Probability. (2007), 44, 428-443.* - Pricing Isreali options: a pathwise approach. (with C. Kuhn and K. van Schaik).
*Stochastics (2007), 79, 117-137.* - Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels. (with B. Surya).
*Finance and Stochastics (2007), 11, 131-152.* - Quasi-stationary distributions for Lévy process. (with Z. Palmowski).
*Bernoulli (2006), 12, 571-581.* - On extreme ruinous behaviour of Lévy insurance risk processes. (with C. Kluppelberg).
*Journal of Applied Probability (2006), 43, 594-598.* - Overshoots and Undershoots of Lévy process (with Ron Doney).
*Annals of Applied Probability (2006), 16, 91-106.* - First passage of reflected strictly stable processes.
*ALEA (2006), 2, 119-123.* - Further probabilistic analysis of the Fisher-Kolmogorov-Petrovskii-Piscounov equation: one sided travelling waves. (with John Harris and S. C. Harris).
*Annales de l'Instut Henri Poincaré (2006), 42, 125-145.* - On the Novikov-Shiryaev optimal stopping problem in continuous time. (with B. Surya).
*Electronic Communications in Probability (2005), 10, 146-154.* - Some remarks on first passage of Lévy process, the American put and pasting principles. (with Larbi Alili).
*Annals of Applied Probability (2005), 15, 2062--2080.* - The smoothing transform: the boundary case. (with J.D. Biggins).
*Electronic Journal of Probability (2005), 10, 609-631.* - Lévy processes in finance distinguished by their coarse and fine path properties. (with Ronnie Loeffen). In
*Exotic option pricing and advanced Lévy models. Eds. A. Kyprianou, W. Schoutens and P. Wilmott. Wiley, 2005.* - Finite expiry Russian options. (with Kees van Schaik and Hans Duistermaat).
*Stochastic Processes and their Applications. (2005), Vol 115/4, 609-638.* - Asymptotic radial speed of the support of supercritical branching Brownian motion and super-Brownian motion in R^d.
*Markov Processes and Related Fields. (2005), 11, 145-156.* - Further calculations for Israeli options. (with Erik Baurdoux).
*Stochastics. (2004), 76, 549-569.* - A martingale review of some fluctuation theory for spectrally negative Lévy processes. (with Z. Palmowski).
*Séminaire de Probabilité XXXVIII, 16-29.* - Measure change in multitype branching. (with J.D. Biggins).
*Advances in Applied Probability (2004), 36(2) 544-581.* - Ruin probabilties and overshoots for general Lévy insurance risk process. (with C. Kluppelberg and Ross Maller).
*Annals of Applied Probability. (2004), 14(4), 1766-1801.* - Travelling wave solutions to the K-P-P equation: alternitives to Simon Harris' probabilistic analysis.
*Annales de l'Instut Henri Poincaré. (2004), 40(1), 53-72.* - Exit problems for spectrally negative Lévy processes adn applications to (Canadized) Russian options. (with F.Avram and Martijn Pistorius).
*Annals of Applied Probability (2004), 14(1), 215-238.* - Local extinction versus local exponential growth for spatial branching processes. (with Janos Englander)
*Annals of Probability (2004), 32, 78-99.* - Some calculations for Israeli options.
*Finance and Stochastics. (2004), 8, 73 - 86.* - Law of the iterated logarithm for oscillating random walks conditioned to stay non-negative. (with B. Hambly and G.Kersting)
*Stochastic Processes and their Applications (2003), Vol 108/2 pp 327-343.* - Perpetual options and Canadization through fluctuation theory. (with Martijn Pistorius).
*Annals of Applied Probability (2003), 13(3), 1077-1098.* - A note on the alpha-quantile option. (with Laura Ballotta).
*Applied Mathematical Finance (2001), 8, 137--144.* - Martingale convergence and the functional equation in the multi-type branching random walk. (with A. Rahimzadeh Sani).
*Bernoulli. (2001), 7(4), 593--604.* - Martingale Convergence and the Stopped Branching Random Walk.
*Probability Theory and Related Fields (2000), 116, 405--419.* - A note on branching Lévy processes.
*Stochastic Processes and their Applications (1999), 82, 1-14.* - Slow variation and uniqueness of solutions to the functional equation in the branching random walk.
*Journal of Applied Probability (1998), 35, 795-802.* - Seneta-Heyde norming in the branching random walk. (with J.D. Biggins).
*Annals of Probabability (1997), 25, 337-360.* - Branching Random Walk: Seneta-Heyde norming. (with J.D. Biggins).
*In Trees (B.Chauvin, S. Cohen, and A. Rouault, eds) Birkhaser, Basel, 1995.*