2 citations · 2 across the 3 of their papers we have counts for
11 papers
A Gaussian approximation theorem for Lévy processes
David Bang, Jorge Ignacio González Cázares, Aleksandar Mijatović
Without higher moment assumptions, this note establishes the decay of the Kolmogorov distance in a central limit theorem for Lévy processes. This theorem can be viewed as a continu…
Lévy processes on smooth manifolds with a connection
Aleksandar Mijatović, Veno Mramor
We define a Lévy process on a smooth manifold with a connection as a projection of a solution of a Marcus stochastic differential equation on a holonomy bundle of , driven b…
Martingale approach to control for general jump processes
Ma. Elena Hernández-Hernández, Saul Jacka, Aleksandar Mijatović
We provide verification theorems (at different levels of generality) for infinite horizon stochastic control problems in continuous time for semimartingales. The control framework…
-strong simulation of the convex minorants of stable processes and meanders
Jorge Ignacio González Cázares, Aleksandar Mijatović, Gerónimo Uribe Bravo
Using marked Dirichlet processes we characterise the law of the convex minorant of the meander for a certain class of Lévy processes, which includes subordinated stable and symmetr…
Invariance principles for local times in regenerative settings
Aleksandar Mijatović, Gerónimo Uribe Bravo
Consider a stochastic process , regenerative at a state which is instantaneous and regular. Let be a regenerative local time for at . Suppos…
Stability of overshoots of zero mean random walks
Aleksandar Mijatović, Vladislav Vysotsky
We prove that for a random walk on the real line whose increments have zero mean and are either integer-valued or spread out (i.e. the distributions of the steps of the walk are ev…