179 citations · 208 across the 27 of their papers we have counts for
6 papers · 1 filter
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…
Arithmetic of (independent) sigma-fields on probability spaces
Matija Vidmar
This note gathers what is known about, and provides some new results concerning the operations of intersection, of ``generated -field'', and of ``complementation'' for (independ…
Exit problems for positive self-similar Markov processes with one-sided jumps
Matija Vidmar
A systematic exposition of scale functions is given for positive self-similar Markov processes (pssMp) with one-sided jumps. The scale functions express as convolution series of th…
A temporal factorization at the maximum for spectrally negative positive self-similar Markov processes
Matija Vidmar
For a spectrally negative positive self-similar Markov process with an a.s. finite overall supremum we provide, in tractable detail, a kind of conditional Wiener-Hopf factorization…
First passage upwards for state dependent-killed spectrally negative Lévy processes
Matija Vidmar
For a spectrally negative Lévy process (snLp) , killed according to a rate that is a function of its position, we analyse the exit probability of the one-sided upwards-passa…