Prob-AM

What is it all about? Short presentations by Aleks Mijatovic, his students and postdocs about probability and related areas of interest to the research group.

Keywords: probability, stochastic processes, simulation, numerical stochastics, financial mathematics

Multivariate CLT for Levy processes: convergence rates without moment assumptions
Multivariate CLT for Levy processes: convergence rates without moment assumptions
Critical branching processes with immigration: scaling limits of local extinction sets (Part 2)
Critical branching processes with immigration: scaling limits of local extinction sets (Part 2)
Critical branching processes with immigration: scaling limits of local extinction sets (Part 1)
Critical branching processes with immigration: scaling limits of local extinction sets (Part 1)
Central limit theorem for superdiffusive reflected Brownian motion
Central limit theorem for superdiffusive reflected Brownian motion
Asymptotically optimal Wasserstein couplings for the small-time stable domain of attraction
Asymptotically optimal Wasserstein couplings for the small-time stable domain of attraction
Non-asymptotic bounds for denoising diffusions (Part 2)
Non-asymptotic bounds for denoising diffusions (Part 2)
Non-asymptotic bounds for denoising diffusions (Part 1)
Non-asymptotic bounds for denoising diffusions (Part 1)
Subexponential lower bounds for f-ergodic Markov processes (Part II: Proofs)
Subexponential lower bounds for f-ergodic Markov processes (Part II: Proofs)
Subexponential lower bounds for f-ergodic Markov processes (Part I: Results)
Subexponential lower bounds for f-ergodic Markov processes (Part I: Results)
Anomalous diffusive behaviour for Bessel-driven stochastic kinetics
Anomalous diffusive behaviour for Bessel-driven stochastic kinetics
Fast exact simulation of the first passage event of a subordinator
Fast exact simulation of the first passage event of a subordinator
Fast exact simulation of the first passage event of a subordinator (Part II)
Fast exact simulation of the first passage event of a subordinator (Part II)
Monte Carlo algorithm based on exact simulation of the first-passage event
Monte Carlo algorithm based on exact simulation of the first-passage event
Exact simulation of the first-passage event of a tempered stable subordinator
Exact simulation of the first-passage event of a tempered stable subordinator
Brownian Motion with Asymptotically Normal Reflection: from Transience to Stability (Part II)
Brownian Motion with Asymptotically Normal Reflection: from Transience to Stability (Part II)
Brownian Motion with Asymptotically Normal Reflection: from Transience to Stability
Brownian Motion with Asymptotically Normal Reflection: from Transience to Stability
Explosion and superdiffusivity of reflected Brownian motion
Explosion and superdiffusivity of reflected Brownian motion
Explosion and superdiffusivity of reflected Brownian motion (Part 2)
Explosion and superdiffusivity of reflected Brownian motion (Part 2)
Hölder continuity of the convex minorant of a Levy process
Hölder continuity of the convex minorant of a Levy process
Joint density of the stable process and its supremum: regularity and upper bounds
Joint density of the stable process and its supremum: regularity and upper bounds
How smooth can the convex hull of a Levy path be?
How smooth can the convex hull of a Levy path be?
When is the convex hull of a Levy path smooth? Part 2
When is the convex hull of a Levy path smooth? Part 2
When is the convex hull of a Levy path smooth? Part 1
When is the convex hull of a Levy path smooth? Part 1
SB-Algorithm for the simulation of the extrema of Levy processes
SB-Algorithm for the simulation of the extrema of Levy processes
Asymptotic shape of the concave majorant of a Levy process
Asymptotic shape of the concave majorant of a Levy process
Convex minorant and fluctuation theory of Levy processes
Convex minorant and fluctuation theory of Levy processes
TSB-Algorithm
TSB-Algorithm
Levy processes on manifolds with a connection
Levy processes on manifolds with a connection
SBG-Algorithm: stick-breaking Gaussian simulation of the extrema of Levy processes
SBG-Algorithm: stick-breaking Gaussian simulation of the extrema of Levy processes