5 citations · 6 across the 7 of their papers we have counts for
11 papers · 1 filter
Lévy processes conditioned to stay in a half-space with applications to directional extremes
Jevgenijs Ivanovs, Jakob D. Thøstesen
This paper provides a multivariate extension of Bertoin's pathwise construction of a Lévy process conditioned to stay positive/negative. Thus obtained processes conditioned to stay…
Implementable coupling of Lévy process and Brownian motion
Vladimir Fomichov, Jorge González Cázares, Jevgenijs Ivanovs
We provide a simple algorithm for construction of Brownian paths approximating those of a Lévy process on a finite time interval. It requires knowledge of the Lévy process trajecto…
Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon
Mogens Bladt, Jevgenijs Ivanovs
There is an abundance of useful fluctuation identities for one-sided Lévy processes observed up to an independent exponentially distributed time horizon. We show that all the funda…
On scale functions for Lévy processes with negative phase-type jumps
Jevgenijs Ivanovs
We provide a novel expression of the scale function for a Lévy processes with negative phase-type jumps. It is in terms of a certain transition rate matrix which is explicit up to…
Discretization of the Lamperti representation of a positive self-similar Markov process
Jevgenijs Ivanovs, Jakob D. Thøstesen
This paper considers discretization of the Lévy process appearing in the Lamperti representation of a strictly positive self-similar Markov process. Limit theorems for the resultin…
Optimal estimation of some random quantities of a Lévy process
Jevgenijs Ivanovs, Mark Podolskij
In this paper we present new theoretical results on optimal estimation of certain random quantities based on high frequency observations of a Lévy process. More specifically, we in…