• Proper two-sided exits of a Levy process. (PDF here; arXiv:1511.07755).
• On the informational structure in optimal dynamic stochastic control
  (with Saul Jacka). (PDF here; arXiv:1503.02375).
  
• Markov chain approximations to scale functions of Levy processes (with Aleksandar Mijatović and Saul Jacka), Stochastic Processes and their Applications 125 (2015), no. 10, pp. 3932-3957.
  
• Fluctuation theory for upwards skip-free Levy chains. (PDF here; arXiv:1309.5328 [math.PR]).
• A note on the times of first passage for 'nearly right-continuous' random walks, Electronic Communications in Probability 19 (2014), no. 7, pp. 1-7.
  
• Non-random overshoots of Levy processes, Markov processes and related fields 21 (2015), no. 7, pp. 39-56. (PDF here; arXiv:1301.4463 [math.PR]).
  
• Markov chain approximations for transition densities of Levy processes (with Aleksandar Mijatović and Saul Jacka), Electronic Journal of Probability 19 (2014), no. 7, pp. 1-37.
  

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• An interesting (and fun, open) sigma-algebra question can be found here (arXiv:1406.0817 [math.FA]).