46 citations · 98 across the 13 of their papers we have counts for
5 papers · 1 filter
Change-point detection for Lévy processes
José E. Figueroa-López, Sveinn Ólafsson
Since the work of Page in the 1950s, the problem of detecting an abrupt change in the distribution of stochastic processes has received a great deal of attention. In particular, a…
Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity
José E. Figueroa-López, Yankeng Luo
In this article, we consider a Markov process X, starting from x and solving a stochastic differential equation, which is driven by a Brownian motion and an independent pure jump c…
Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias
José E. Figueroa-López, Peter Tankov
We characterize the small-time asymptotic behavior of the exit probability of a Lévy process out of a two-sided interval and of the law of its overshoot, conditionally on the termi…
Small-time expansions for local jump-diffusion models with infinite jump activity
José E. Figueroa-López, Yankeng Luo, Cheng Ouyang
We consider a Markov process , which is the solution of a stochastic differential equation driven by a Lévy process and an independent Wiener process . Under some regular…
Small-time expansions for the transition distributions of Lévy processes
José E. Figueroa-López, Christian Houdré
Let be a Lévy process with absolutely continuous Lévy measure . Small time polynomial expansions of order in are obtained for the tails of the proc…