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Number of items: 8.
Journal Article
González Cázares, Jorge Ignacio, Lin, Feng and Mijatović, Aleksandar (2024) Fast exact simulation of the first passage of a tempered stable subordinator across a non-increasing function. Stochastic Systems . ISSN 1946-5238. (In Press)
González Cázares, Jorge Ignacio and Mijatović, Aleksandar (2023) A Monte Carlo algorithm for the extrema of tempered stable processes. Advances in Applied Probability, 55 (4). pp. 1362-1389. doi:10.1017/apr.2023.1 ISSN 0001-8678.
González Cázares, Jorge Ignacio, Kohatsu-Higa, Arturo and Mijatović, Aleksandar (2023) Joint density of the stable process and its supremum : regularity and upper bounds. Bernoulli, 29 (4). pp. 3443-3469. doi:10.3150/23-bej1590 ISSN 1350-7265.
González Cázares, Jorge and Mijatović, Aleksandar (2022) Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation. Finance and Stochastics, 26 (4). pp. 671-732. doi:10.1007/s00780-022-00486-7 ISSN 1432-1122.
González Cázares, Jorge Ignacio and Mijatović, Aleksandar (2022) Convex minorants and the fluctuation theory of Lévy processes. Latin American Journal of Probability and Mathematical Statistics, 19 (1). pp. 983-999. doi:10.30757/ALEA.v19-39 ISSN 1980-0436.
Fomichov, Vladimir, González Cázares, Jorge and Ivanovs, Jevgenijs (2021) Implementable coupling of Lévy process and Brownian motion. Stochastic Processes and their Applications, 142 . pp. 407-431. doi:10.1016/j.spa.2021.09.008 ISSN 0304-4149.
González Cázares, Jorge and Ivanovs, Jevgenijs (2021) Recovering Brownian and jump parts from high-frequency observations of a Lévy process. Bernoulli, 27 (4). pp. 2413-2436. doi:10.3150/20-bej1314 ISSN 1350-7265.
Thesis
González Cázares, Jorge Ignacio (2021) Convex minorants and the simulation of the extrema of Lévy processes. PhD thesis, University of Warwick.
This list was generated on Sun May 5 11:56:07 2024 BST.