64 citations · 112 across the 26 of their papers we have counts for
Showing 2013Show all
3 papers · 1 filter
math.PR2013★ 3 cited
Joint asymptotic distribution of certain path functionals of the reflected process
Aleksandar Mijatovic, Martijn Pistorius
Let be the first time the reflected process of a Levy processes crosses x>0. The main aim of the paper is to investigate the asymptotic dependence of the path functi…
math.PR2013
Mirror and Synchronous Couplings of Geometric Brownian Motions
Saul D. Jacka, Aleksandar Mijatovic, Dejan Siraj
The paper studies the question of whether the classical mirror and synchronous couplings of two Brownian motions minimise and maximise, respectively, the coupling time of the corre…
math.PR2013★ 1 cited
On the loss of the semimartingale property at the hitting time of a level
Aleksandar Mijatović, Mikhail Urusov
This paper studies the loss of the semimartingale property of the process at the time a one-dimensional diffusion hits a level, where is a difference of two convex f…