González Cázares, Jorge Ignacio; Mijatović, Aleksandar A Monte Carlo algorithm for the extrema of tempered stable processes. (English) Zbl 07806766 Adv. Appl. Probab. 55, No. 4, 1362-1389 (2023). MSC: 60G51 65C05 PDFBibTeX XMLCite \textit{J. I. González Cázares} and \textit{A. Mijatović}, Adv. Appl. Probab. 55, No. 4, 1362--1389 (2023; Zbl 07806766) Full Text: DOI arXiv
Bang, David; González Cázares, Jorge; Mijatović, Aleksandar Asymptotic shape of the concave majorant of a Lévy process. (Forme asymptotique du majorant concave d’un processus de Lévy.) (English. French summary) Zbl 1523.60085 Ann. Henri Lebesgue 5, 779-811 (2022). MSC: 60G51 60F05 PDFBibTeX XMLCite \textit{D. Bang} et al., Ann. Henri Lebesgue 5, 779--811 (2022; Zbl 1523.60085) Full Text: DOI arXiv
González Cázares, Jorge; Mijatović, Aleksandar Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation. (English) Zbl 1498.91494 Finance Stoch. 26, No. 4, 671-732 (2022). MSC: 91G60 65C05 60G51 60G70 PDFBibTeX XMLCite \textit{J. González Cázares} and \textit{A. Mijatović}, Finance Stoch. 26, No. 4, 671--732 (2022; Zbl 1498.91494) Full Text: DOI arXiv
Ouaki, Mehdi; Pitman, Jim Markovian structure in the concave majorant of Brownian motion. (English) Zbl 1492.60230 Electron. J. Probab. 27, Paper No. 57, 21 p. (2022). MSC: 60J65 60G51 60G55 PDFBibTeX XMLCite \textit{M. Ouaki} and \textit{J. Pitman}, Electron. J. Probab. 27, Paper No. 57, 21 p. (2022; Zbl 1492.60230) Full Text: DOI arXiv