Browser does not support script.
Subjects taught at LSE | Services and divisions (administration)
All research groups | Research subject areas
Department
Position held
Department of Statistics
Associate Professor
+44 (0)20 7955 6717
e.j.baurdoux@lse.ac.uk
Baurdoux, Erik J. and Pardo, Juan Carlos and Perez, Jose Luis and Renaud, Jean-Francois (2016) Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes Journal of Applied Probability, 53 (2). 572-584. ISSN 0021-9002
Baurdoux, Erik J. and Kyprianou, Andreas E. and Ott, Curdin (2016) Optimal prediction for positive self-similar Markov processes Electronic Journal of Probability, 21. 48. ISSN 1083-6489
Baurdoux, Erik J. and Chen, Nan and Surya, Budhi and Yamazak, Kazutoshi (2015) Optimal double stopping of a Brownian bridge Advances in Applied Probability, 47 (4). 1212-1234. ISSN 0001-8678
Baurdoux, Erik J. and Yamazaki, Kazutoshi (2015) Optimality of doubly reflected Lévy processes in singular control Stochastic Processes and Their Applications, 125 (7). 2727-2751. ISSN 0304-4149
Baurdoux, Erik J. and Schaik, Kees (2014) Predicting the time at which a Lévy process attains its ultimate supremum Acta Applicandae Mathematicae, 134 (1). 21-44. ISSN 0167-8019
Baurdoux, Erik J. and Kyprianou, Andreas E. and Pardo, J.C. (2011) The Gapeev-Kuhn stochastic game driven by a spectrally positive Levy process Stochastic Processes and Their Applications, 121 (6). 1266-1289. ISSN 0304-4149
Baurdoux, Erik J. and Van Schaik, K. (2011) Further calculations for the McKean stochastic game for a spectrally negative levy process: from a point to an interval Journal of Applied Probability, 48 (1). 200-216. ISSN 0021-9002
Baurdoux, Erik J. (2009) Some excursion calculations for reflected Lévy processes Alea: Latin American Journal of Probability and Mathematical Statistics, 6. 149-162. ISSN 1980-0436
Baurdoux, Erik J. (2009) Last exit before an exponential time for spectrally negative Lévy processes Journal of Applied Probability, 46 (2). 542-588. ISSN 0021-9002
Baurdoux, Erik J. and Kyprianou, Andreas E. (2009) The Shepp-Shiryaev stochastic game driven by a spectrally negative Lévy process Theory of Probability and Its Applications, 53 (3). 481-499. ISSN 0040-585X
Baurdoux, Erik J. and Kyprianou, Andreas E. (2008) The McKean stochastic game driven by a spectrally negative Lévy process Electronic Journal of Probability, 13. 173-197. ISSN 1083-6489
Baurdoux, Erik J. and Kyprianou, Andreas E. (2008) The Shepp-Shiryaev stochastic game driven by a spectrally negative Lévy process Teoriya Veroyatnostei I Ee Primeneniya, 53 (3). 588-609. ISSN 0040-361X
Baurdoux, Erik J. (2007) Fluctuation theory and stochastic games for spectrally negative Lévy processes phd thesis, Universiteit Utrecht
Baurdoux, Erik J. (2007) Examples of optimal stopping via measure transformation for processes with one-sided jumps Stochastics: an International Journal of Probability and Stochastic Processes, 79 (3 & 4). 303-307. ISSN 1744-2508
Baurdoux, Erik J. and Kyprianou, Andreas E. (2004) Further calculations for Israeli options Stochastics and Stochastics Reports, 76 (6). 546-569. ISSN 1045-1129
Browse the Experts Directory:
Department Accounting, Department of Analysis of Risk and Regulation (CARR), Centre for Analysis of Social Exclusion (CASE), Centre for Analysis of Time Series (CATS), Centre for Anthropology, Department of Asia Research Centre Business History Unit Centre for Climate Change Economics and Policy Cities Programme Civil Society and Human Security Research Unit Complexity Research Group Contemporary Spanish Studies, Cañada Blanch Centre for Decision Support and Risk Group Economic History, Department of Economic Performance (CEP), Centre for Economics, Department of Economics and Finance in Southern Africa, Centre for Research into Education Research Group (ERG) European Institute Finance, Department of Financial Markets Group (FMG) Gender Institute Geography and Environment, Department of Government, Department of Grantham Research Institute on Climate Change and the Environment Hellenic Observatory Human Rights, Centre for the Study of India Observatory Inform (Information Network Focus on Religious Movements) Innovation Co-Creation Lab (ICCL) (Department of Management) International Development, Department of International History, Department of International Relations, Department of International Studies, Centre for International Trade Policy Unit Language Centre Law, Department of Learning Technology, Centre for LSE100 - The LSE Course LSE Cities LSE Enterprise LSE Health LSE Health LSE IDEAS LSE London LSE Mackinder Programme for the Study of Long Wave Events LSE Public Policy Group Management, Department of Managerial Economics and Strategy Group (Department of Management) Mannheim Centre for the Study of Criminology and Criminal Justice Mathematics, Department of Media and Communications, Department of Methodology, Department of Middle East Centre Migration Studies Unit (Department of Government) Personal Social Services Research Unit (PSSRU) Philosophy, Logic and Scientific Method, Department of Philosophy of Natural and Social Science (CPNSS), Centre for Psychological and Behavioural Science, Department of Social Policy, Department of Sociology, Department of Spatial Economics Research Centre (SERC) Statistics, Department of Study of Incentives in Health, The Centre for Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD) Systemic Risk Centre
Surname A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
Sector or industry Banking Construction and Property Consultancy Creative Industries and Culture Energy Environment Financial Services Healthcare Information Technology Law Media Technology and New Media Policy and Regulatory Bodies Public Administration Telecommunications Risk Management
Language A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
Home
Collection of LSE research outputs
Service providing unique access to LSE's expertise
[access restricted to staff]
Short articles about LSE research