activity
20182023
most citedExact Simulation of the Extrema of Stable Processes

11 citations · 61 across the 13 of their papers we have counts for

collaborators

13 papers

math.PR2023★ 2 cited

Fast exact simulation of the first-passage event of a subordinator

Jorge Ignacio González Cázares, Feng Lin, Aleksandar Mijatović

This paper provides an exact simulation algorithm for the sampling from the joint law of the first-passage time, the undershoot and the overshoot of a subordinator crossing a non-i…

math.PR2023★ 4 cited

Fast exact simulation of the first passage of a tempered stable subordinator across a non-increasing function

Jorge Ignacio González Cázares, Feng Lin, Aleksandar Mijatović

We construct a fast exact algorithm for the simulation of the first-passage time, jointly with the undershoot and overshoot, of a tempered stable subordinator over an arbitrary non…

math.PR2022★ 2 cited

How smooth can the convex hull of a Lévy path be?

David Bang, Jorge González Cázares, Aleksandar Mijatović

We describe the rate of growth of the derivative of the convex minorant of a Lévy path at times where increases continuously. Since the convex minorant is piecewise linea…

math.PR2022

Hölder continuity of the convex minorant of a Lévy process

Jorge González Cázares, David Kramer-Bang, Aleksandar Mijatović

We characterise the Hölder continuity of the convex minorant of most Lévy processes. The proof is based on a novel connection between the path properties of the Lévy process at zer…

math.PR2022★ 1 cited

When is the convex hull of a Lévy path smooth?

David Bang, Jorge Ignacio González Cázares, Aleksandar Mijatović

We characterise, in terms of their transition laws, the class of one-dimensional Lévy processes whose graph has a continuously differentiable (planar) convex hull. We show that thi…

math.PR2021★ 5 cited

Asymptotic shape of the concave majorant of a Lévy process

David Bang, Jorge Ignacio González Cázares, Aleksandar Mijatović

We establish distributional limit theorems for the shape statistics of a concave majorant (i.e. the fluctuations of its length, its supremum, the time it is attained and its value…

math.PR2021★ 9 cited

Convex minorants and the fluctuation theory of Lévy processes

Jorge Ignacio González Cázares, Aleksandar Mijatović

We establish a novel characterisation of the law of the convex minorant of any Lévy process. Our self-contained elementary proof is based on the analysis of piecewise linear convex…

math.PR2021★ 4 cited

Implementable coupling of Lévy process and Brownian motion

Vladimir Fomichov, Jorge González Cázares, Jevgenijs Ivanovs

We provide a simple algorithm for construction of Brownian paths approximating those of a Lévy process on a finite time interval. It requires knowledge of the Lévy process trajecto…

math.PR2020★ 7 cited

Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation

Jorge González Cázares, Aleksandar Mijatović

We develop a computational method for expected functionals of the drawdown and its duration in exponential Lévy models. It is based on a novel simulation algorithm for the joint la…

math.PR2020★ 1 cited

Recovering Brownian and jump parts from high-frequency observations of a Lévy process

Jorge González Cázares, Jevgenijs Ivanovs

We introduce two general non-parametric methods for recovering paths of the Brownian and jump components from high-frequency observations of a Lévy process. The first procedure rel…

math.PR2019★ 4 cited

-strong simulation of the convex minorants of stable processes and meanders

Jorge Ignacio González Cázares, Aleksandar Mijatović, Gerónimo Uribe Bravo

Using marked Dirichlet processes we characterise the law of the convex minorant of the meander for a certain class of Lévy processes, which includes subordinated stable and symmetr…

math.PR2018★ 11 cited

Geometrically Convergent Simulation of the Extrema of Lévy Processes

Jorge Ignacio González Cázares, Aleksandar Mijatović, Gerónimo Uribe Bravo

We develop a novel approximate simulation algorithm for the joint law of the position, the running supremum and the time of the supremum of a general Lévy process at an arbitrary f…

math.PR2018★ 11 cited

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…