Fluctuation theory for Lévy Processes and Applications.

Fluctuation theory studies the pathwise behaviour of stochastic processes, with particular emphasis on quantities related to their extrema and passage events. It plays a central role in applied probability, finance, insurance mathematics, and queueing theory. In this talk, we present an overview of the theory for spectrally negative Lévy processes and discuss applications in stochastic control, optimal stopping, and optimal allocation, with a focus on insurance and financial mathematics.

Bio
https://sites.google.com/cimat.mx/jose-luis-perez