161 citations · 333 across the 25 of their papers we have counts for
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math.PR2017★ 5 cited
Convergence to stable limits for ratios of trimmed Levy processes and their jumps
Yuguang F. Ipsen, Peter Kevei, Ross A. Maller
We derive characteristic function identities for conditional distributions of an r-trimmed Levy process given its r largest jumps up to a designated time t. Assuming the underlying…
math.PR2017
Ratios of Ordered Points of Point Processes with Regularly Varying Intensity Measures
Yuguang Ipsen, Ross Maller, Sidney Resnick
We study limiting properties of ratios of ordered points of point processes whose intensity measures have regularly varying tails, giving a systematic treatment which points the wa…