4 citations · 14 across the 8 of their papers we have counts for
9 papers · 1 filter
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…
Brownian motion with asymptotically normal reflection in unbounded domains: from transience to stability
Miha Brešar, Aleksandar Mijatović, Andrew Wade
We quantify the asymptotic behaviour of multidimensional drifltess diffusions in domains unbounded in a single direction, with asymptotically normal reflections from the boundary.…
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…
Optimal Markovian coupling for finite activity Lévy processes
Wilfrid S. Kendall, Mateusz B. Majka, Aleksandar Mijatović
We study optimal Markovian couplings of Markov processes, where the optimality is understood in terms of minimization of concave transport costs between the time-marginal distribut…
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…
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…