179 citations · 208 across the 27 of their papers we have counts for
4 papers · 1 filter
A note on the times of first passage for `nearly right-continuous' random walks
Matija Vidmar
A natural extension of a right-continuous integer-valued random walk is one which can jump to the right by one or two units. First passage times above a given fixed level then admi…
Markov chain approximations to scale functions of Lévy processes
Aleksandar Mijatović, Matija Vidmar, Saul Jacka
We introduce a general algorithm for the computation of the scale functions of a spectrally negative Lévy process , based on a natural weak approximation of via upwards skip…
Fluctuation theory for upwards skip-free Lévy chains
Matija Vidmar
A fluctuation theory and, in particular, a theory of scale functions is developed for upwards skip-free Lévy chains, i.e. for right-continuous random walks embedded into continuous…
Non-random overshoots of Lévy processes
Matija Vidmar
The class of Levy processes for which overshoots are almost surely constant quantities is precisely characterized.