2 citations · 2 across the 1 of their papers we have counts for
9 papers
A nonclassical solution to a classical SDE and a converse to Kolmogorov's zero-one law
Matija Vidmar
For a discrete-negative-time discrete-space SDE, which admits no strong solution in the classical sense, a weak solution is constructed that is a (necessarily nonmeasurable) non-an…
On laws exhibiting universal ordering under stochastic restart
Matija Vidmar
For each of (i) arbitrary stochastic reset, (ii) deterministic reset with arbitrary period, (iii) reset at arbitrary constant rate, and then in the sense of either (a) first-order…
Double hypergeometric Lévy processes and self-similarity
Andreas E. Kyprianou, Juan Carlos Pardo, Matija Vidmar
Motivated by a recent paper of Budd, where a new family of positive self-similar Markov processes associated to stable processes appears, we introduce a new family of Lévy processe…
The structure of non-linear martingale optimal transport problems
Alexander M. G. Cox, Matija Vidmar
We explore the structure of solutions to a family of non-linear martingale optimal transport (MOT) problems that involve conditional expectations in the objective functional. En ro…
Observing a Lévy process up to a stopping time
Matija Vidmar
It is proved that the law of a possibly killed Lévy process , seen up to and including (resp. up to strictly before) a stopping time, determines already the law of (resp. up…
Excursions of a spectrally negative Lévy process from a two-point set
Matija Vidmar
Let . For a spectrally negative Lévy process with infinite variation paths the resolvent of the process killed on hitting the two-point set is ide…