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of 24
pro vyhledávání: '"Matija Vidmar"'
Autor:
Matija Vidmar
Publikováno v:
Modern Stochastics: Theory and Applications, Vol 6, Iss 3, Pp 269-284 (2019)
This note gathers what is known about, and provides some new results concerning the operations of intersection, of “generated σ-field”, and of “complementation” for (independent) complete σ-fields on probability spaces.
Externí odkaz:
https://doaj.org/article/8ea0493436204f43bd380d87b49cc44d
Autor:
Matija Vidmar
Publikováno v:
Risks, Vol 6, Iss 3, p 102 (2018)
A fluctuation theory and, in particular, a theory of scale functions is developed for upwards skip-free Lévy chains, i.e., for right-continuous random walks embedded into continuous time as compound Poisson processes. This is done by analogy to the
Externí odkaz:
https://doaj.org/article/961fd8acb58e4c08b47d7de4cbda839b
Autor:
Matija Vidmar
Publikováno v:
Communications in statistics. Theory and methods, vol. 51, no. 5, pp. 1290-1305, 2022.
For each of (i) arbitrary stochastic reset, (ii) deterministic reset with arbitrary period, (iii) reset at arbitrary constant rate, and then in the sense of either (a) first-order stochastic dominance or (b) expectation (i.e. for each of the six poss
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::518899e902368a6817423c97ee85100e
https://repozitorij.uni-lj.si/IzpisGradiva.php?id=147425
https://repozitorij.uni-lj.si/IzpisGradiva.php?id=147425
Autor:
Matija Vidmar
Publikováno v:
Stochastics, vol. 94, no. 4, pp. 578-601, 2022.
For a continuous-time Bienaym\'e-Galton-Watson process, $X$, with immigration and culling, $0$ as an absorbing state, call $X^q$ the process that results from killing $X$ at rate $q\in (0,\infty)$, followed by stopping it on extinction or explosion.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::eec449ce4ad22f0f1cec5d0ecc818491
https://hdl.handle.net/20.500.12556/RUL-141243
https://hdl.handle.net/20.500.12556/RUL-141243
Autor:
Matija Vidmar
Publikováno v:
Statistics & probability letters, vol. 175, 109117, 2021.
For a discrete-negative-time discrete-space SDE, which admits no strong solution in the classical sense, a weak solution is constructed that is a (necessarily nonmeasurable) non-anticipative function of the driving i.i.d. noise. The result highlights
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::08c438dabe209224965116d0f4957e1a
https://repozitorij.uni-lj.si/Dokument.php?id=159073&dn=
https://repozitorij.uni-lj.si/Dokument.php?id=159073&dn=
Autor:
Matija Vidmar
Publikováno v:
Journal of Applied Probability. 57:1045-1069
For a spectrally negative self-similar Markov process on $[0,\infty)$ with an a.s. finite overall supremum, we provide, in tractable detail, a kind of conditional Wiener–Hopf factorization at the maximum of the absorption time at zero, the conditio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b451d50cdf6aa1605971b49f8b1556df
https://doi.org/10.1017/jpr.2020.62
https://doi.org/10.1017/jpr.2020.62
Autor:
Matija Vidmar
Publikováno v:
Probability and Mathematical Statistics. 42
Continuous-state branching processes (CSBPs) with immigration (CBIs), stopped on hitting zero, are generalized by allowing the process governing immigration to be any L\'evy process without negative jumps. Unlike the CBIs, these newly introduced proc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::35279ed705e01caea5070485c40ffe61
https://doi.org/10.37190/0208-4147.00044
https://doi.org/10.37190/0208-4147.00044
Autor:
Matija Vidmar
Publikováno v:
Lecture Notes in Mathematics ISBN: 9783030964085
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::37d067b19ffdc9d77f455894ab6bd7b9
https://doi.org/10.1007/978-3-030-96409-2_3
https://doi.org/10.1007/978-3-030-96409-2_3
Autor:
Matija Vidmar
Publikováno v:
Stochastic Processes and their Applications. 129:3619-3637
For a sequence in discrete time having stationary independent values (respectively, random walk) X , those random times R of X are characterized set-theoretically, for which the strict post- R sequence (respectively, the process of the increments of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b85673ca899040d76652b8c2edeefedd
https://doi.org/10.1016/j.spa.2018.10.003
https://doi.org/10.1016/j.spa.2018.10.003
Autor:
Matija Vidmar
Publikováno v:
Statistics & Probability Letters. 150:121-125
It is proved that the law of a possibly killed Levy process X , seen up to and including (resp. up to strictly before) a stopping time, determines already the law of X (resp. up to a compound Poisson component and killing).
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4814c3e8e2957d32fad9128f70fb3e20
https://doi.org/10.1016/j.spl.2019.03.002
https://doi.org/10.1016/j.spl.2019.03.002