64 citations · 112 across the 26 of their papers we have counts for
31 papers
Monte Carlo estimation of the solution of fractional partial differential equations
Vassili Kolokoltsov, Feng Lin, Aleksandar Mijatovic
The paper is devoted to the numerical solutions of fractional PDEs based on its probabilistic interpretation, that is, we construct approximate solutions via certain Monte Carlo si…
Stationary entrance Markov chains, inducing, and level-crossings of random walks
Aleksandar Mijatović, Vladislav Vysotsky
For a Markov chain with values in a Polish space, consider the entrance Markov chain obtained by sampling at the moments when it enters a fixed set from its complement…
Exact Simulation of the Extrema of Stable Processes
Jorge Ignacio González Cázares, Aleksandar Mijatović, Gerónimo Uribe Bravo
We exhibit an exact simulation algorithm for the supremum of a stable process over a finite time interval using dominated coupling from the past (DCFTP). We establish a novel perpe…
Coupling and a generalised Policy Iteration Algorithm in continuous time
Saul D. Jacka, Aleksandar Mijatovic, Dejan Siraj
We analyse a version of the policy iteration algorithm for the discounted infinite-horizon problem for controlled multidimensional diffusion processes, where both the drift and the…
On the Poisson equation for Metropolis-Hastings chains
Aleksandar Mijatovic, Jure Vogrinc
This paper defines an approximation scheme for a solution of the Poisson equation of a geometrically ergodic Metropolis-Hastings chain . The approximations give rise to a natura…
Anomalous recurrence properties of many-dimensional zero-drift random walks
Nicholas Georgiou, Mikhail V. Menshikov, Aleksandar Mijatović +1
Famously, a -dimensional, spatially homogeneous random walk whose increments are non-degenerate, have finite second moments, and have zero mean is recurrent if b…