319 citations · 464 across the 28 of their papers we have counts for
5 papers · 1 filter
Randomisation and recursion methods for mixed-exponential Levy models, with financial applications
Aleksandar Mijatovic, Martijn Pistorius, Johannes Stolte
We develop a new Monte Carlo variance reduction method to estimate the expectation of two commonly encountered path-dependent functionals: first-passage times and occupation times…
The distribution of the supremum for spectrally asymmetric Lévy processes
Zbigniew Michna, Zbigniew Palmowski, Martijn Pistorius
In this article we derive formulas for the probability and where is a spectrally positive Lévy process with infinit…
On Future Drawdowns of Lévy processes
E. J. Baurdoux, Z. Palmowski, M. R. Pistorius
For a given Lévy process and for fixed and we analyse the {\it future drawdown extremes} that ar…
Convergence of BSΔEs driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver
Dilip Madan, Martijn Pistorius, Mitja Stadje
In this paper we present a weak approximation scheme for BSDEs driven by a Wiener process and an (in)finite activity Poisson random measure with drivers that are general Lipschitz…
Asymptotic independence of three statistics of maximal segmental scores
Aleksandar Mijatović, Martijn Pistorius
Let be an iid sequence with negative mean. The -segment is the subsequence and its \textit{score} is given by $\max\{\sum_{m+1}^nξ_i,0\…