1 citations · 1 across the 4 of their papers we have counts for
4 papers
Lévy graphical models
Sebastian Engelke, Jevgenijs Ivanovs, Jakob D. Thøstesen
Conditional independence and graphical models are crucial concepts for sparsity and statistical modeling in higher dimensions. For Lévy processes, a widely applied class of stochas…
Local behavior of diffusions at the supremum
Jakob Dalsgaard Thøstesen
This paper studies small-time behavior at the supremum of a diffusion process. For a solution to the SDE (where is a st…
Lévy processes conditioned to stay in a half-space with applications to directional extremes
Jevgenijs Ivanovs, Jakob D. Thøstesen
This paper provides a multivariate extension of Bertoin's pathwise construction of a Lévy process conditioned to stay positive/negative. Thus obtained processes conditioned to stay…
Discretization of the Lamperti representation of a positive self-similar Markov process
Jevgenijs Ivanovs, Jakob D. Thøstesen
This paper considers discretization of the Lévy process appearing in the Lamperti representation of a strictly positive self-similar Markov process. Limit theorems for the resultin…