We consider some special classes of Lévy processes with no gaussian component whose Lévy measure is of the type , where [nu] is the density of the stable Lévy measure and [gamma] is a positive parameter which depends on its characteristics. These processes were introduced in [M. E. Caballero,...

In Gapeev and Kühn (2005) [8], the Dynkin game corresponding to perpetual convertible bonds was considered, when driven by a Brownian motion and a compound Poisson process with exponential jumps. We consider the same stochastic game but driven by a spectrally positive Lévy process. We...

We develop an idea of Evans and O'Connell (1994) [13], Engländer and Pinsky (1999) [10] and Duquesne and Winkel (2007) [4] by giving a pathwise construction of the so-called 'backbone' decomposition for supercritical superprocesses. Our results also complement a related result for critical...

In the spirit of Duquesne and Winkel (2007) and Berestycki et al. (2011), we show that supercritical continuous-state branching process with a general branching mechanism and general immigration mechanism is equivalent in law to a continuous-time Galton–Watson process with immigration (with...

In Kuznetsov et al. (2011) a new Monte Carlo simulation technique was introduced for a large family of Lévy processes that is based on the Wiener–Hopf decomposition. We pursue this idea further by combining their technique with the recently introduced multilevel Monte Carlo methodology....