Geometrically Convergent Simulation of the Extrema of Lévy Processes J González Cázares, A Mijatović, GU Bravo
Mathematics of Operations Research 47 (2), 1141-1168, 2022
22 * 2022 Exact simulation of the extrema of stable processes JI González Cázares, A Mijatović, GU Bravo
Advances in Applied Probability 51 (4), 967-993, 2019
11 2019 Convex minorants and the fluctuation theory of Lévy processes JI González Cázares, A Mijatović
ALEA, Lat. Am. J. Probab. Math. Stat. 19 (39), 983–999, 2022
10 * 2022 When is the convex hull of a Lévy path smooth? D Bang, J González Cázares, A Mijatović
arXiv e-prints, arXiv: 2205.14416, 2022
5 2022 Asymptotic shape of the concave majorant of a Lévy process D Bang, JI González Cázares, A Mijatović
arXiv preprint arXiv:2106.09066, 2021
5 2021 -strong simulation of the convex minorants of stable processes and meandersJI González Cázares, A Mijatović, GU Bravo
Electronic Journal of Probability 25 (96), 33, 2020
5 2020 Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation J González Cázares, A Mijatović
Finance and Stochastics 26 (4), 671-732, 2022
3 2022 A Monte Carlo algorithm for the extrema of tempered stable processes JIG Cázares, A Mijatović
Advances in Applied Probability 55 (4), 1362-1389, 2023
2 2023 Hölder continuity of the convex minorant of a Lévy process D Bang, J González Cázares, A Mijatović
arXiv preprint arXiv:2207.12433, 2022
2 2022 How smooth can the convex hull of a Lévy path be? D Bang, J González Cázares, A Mijatović
arXiv preprint arXiv:2206.09928, 2022
2 2022 A Gaussian approximation theorem for Lévy processes D Bang, J González Cázares, A Mijatović
Statistics & Probability Letters 178, 109187, 2021
2 2021 Implementable coupling of Lévy process and Brownian motion V Fomichov, JI González Cázares, J Ivanovs
arXiv e-prints, arXiv:2103.11475, 2021
2 2021 Recovering Brownian and jump parts from high-frequency observations of a Lévy process J González Cázares, J Ivanovs
arXiv e-prints, arXiv:2003.05363, 2020
2 2020 Joint density of a stable process and its supremum: regularity and upper bounds J González Cázares, A Kohatsu-Higa, A Mijatović
arXiv preprint arXiv:2008.01894, 2020
1 2020 How smooth can the convex hull of a Lévy path be? J González Cázares, D Kramer-Bang, A Mijatović
Electronic Journal of Probability 29, 1-36, 2024
2024 Fast exact simulation of the first-passage event of a subordinator JIG Cázares, F Lin, A Mijatović
arXiv preprint arXiv:2306.06927, 2023
2023 Fast exact simulation of the first-passage event of a subordinator JI González Cázares, F Lin, A Mijatović
arXiv e-prints, arXiv: 2306.06927, 2023
2023 Fast exact simulation of the first passage of a tempered stable subordinator across a non-increasing function JIG Cázares, F Lin, A Mijatović
arXiv preprint arXiv:2303.11964, 2023
2023 Fast exact simulation of the first passage of a tempered stable subordinator across a non-increasing function JI González Cázares, F Lin, A Mijatović
arXiv e-prints, arXiv: 2303.11964, 2023
2023 Hölder continuity of the convex minorant of a Lévy process J González Cázares, D Kramer-Bang, A Mijatović
Electronic Communications in Probability 28, 1-12, 2023
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