179 citations · 208 across the 27 of their papers we have counts for
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math.PR2015
Copulas for maxmin systems
Matija Vidmar, Matjaž Omladič
Under a mild condition we give closed-form expressions for copulas of systems that consist of maxima and of minima of subvectors of a given random vector with continuous margin…
math.PR2015
Proper two-sided exits of a Lévy process
Matija Vidmar
It is proved that the two-sided exits of a Levy process are proper, i.e. not a.s. equal to their one-sided counterparts, if and only if said process is not a subordinator or the ne…
math.PR2015★ 1 cited
On the informational structure in optimal dynamic stochastic control
Saul Jacka, Matija Vidmar
We formulate a very general framework for optimal dynamic stochastic control problems which allows for a control-dependent informational structure. The issue of informational consi…