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2026

Stochastic optimal control of Lévy tax processes with bailouts

Al Ghanim, D., Loeffen, R., & Watson, A. R. (2026). Stochastic optimal control of Lévy tax processes with bailouts. INSURANCE MATHEMATICS & ECONOMICS, 127. doi:10.1016/j.insmatheco.2026.103226

DOI: 10.1016/j.insmatheco.2026.103226
: Journal article

2024

Stochastic optimal control of Lévy tax processes with bailouts

: Preprint

Fluctuation theory of continuous-time skip-free downward Markov chains with applications to branching processes with immigration

Loeffen, R., Patie, P., & Wang, J. (2024). Fluctuation theory of continuous-time skip-free downward Markov chains with applications to branching processes with immigration. Mathematics of Operations Research.

: Journal article

2022

Fluctuation theory of continuous-time skip-free downward Markov chains with applications to branching processes with immigration

: Preprint

FIRST PASSAGE TIMES OVER STOCHASTIC BOUNDARIES FOR SUBDIFFUSIVE PROCESSES

Constantinescu, C., Loeffen, R., & Patie, P. (2022). FIRST PASSAGE TIMES OVER STOCHASTIC BOUNDARIES FOR SUBDIFFUSIVE PROCESSES. TRANSACTIONS OF THE AMERICAN MATHEMATICAL SOCIETY, 375(3), 1629-1652. doi:10.1090/tran/8534

DOI: 10.1090/tran/8534
: Journal article

2019

Extinction time of non-Markovian self-similar processes, persistence, annihilation of jumps and the Fréchet distribution

Loeffen, R., Patie, P., & Savov, M. (2018). Extinction time of non-Markovian self-similar processes, persistence, annihilation of jumps and the Fréchet distribution. no., 5, 1022-1041. Retrieved from http://dx.doi.org/10.1007/s10955-019-02279-3

: Journal article

First passage times over stochastic boundaries for subdiffusive processes

DOI: 10.48550/arxiv.1904.03168
: Preprint

2018

Extinction time of non-Markovian self-similar processes, persistence, annihilation of jumps and the Fréchet distribution

DOI: 10.48550/arxiv.1811.07158
: Preprint

Discounted penalty function at Parisian ruin for Lévy insurance risk process

Loeffen, R., Palmowski, Z., & Surya, B. A. (2018). Discounted penalty function at Parisian ruin for Lévy insurance risk process. Insurance: Mathematics and Economics, 83, 190-197. doi:10.1016/j.insmatheco.2017.10.008

DOI: 10.1016/j.insmatheco.2017.10.008
: Journal article

Smoothness of continuous state branching with immigration semigroups

DOI: 10.48550/arxiv.1806.00507
: Preprint

Smoothness of continuous state branching with immigration semigroups

Chazal, M., Loeffen, R., & Patie, P. (2018). Smoothness of continuous state branching with immigration semigroups. JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 459(2), 619-660. doi:10.1016/j.jmaa.2017.10.071

DOI: 10.1016/j.jmaa.2017.10.071
: Journal article

Option Pricing in a One-Dimensional Affine Term Structure Model via Spectral Representations

Chazal, M., Loeffen, R., & Patie, P. (2018). Option Pricing in a One-Dimensional Affine Term Structure Model via Spectral Representations. SIAM Journal on Financial Mathematics, 9(2), 634-664. doi:10.1137/16M1098267

DOI: 10.1137/16M1098267
: Journal article

2014

On obtaining simple identities for overshoots of spectrally negative Lévy processes

: Preprint

2010

Absolute ruin in the Ornstein-Uhlenbeck type risk model

Loeffen, R. L., & Patie, P. (2010). Absolute ruin in the Ornstein-Uhlenbeck type risk model. Retrieved from http://arxiv.org/abs/1006.2712v1

: Journal article