Publications (4)
Persistence of Small Noise and Random initial conditions
J. Baker, P. Chigansky, K. Hamza +1
The effect of small noise in a smooth dynamical system is negligible on any finite time interval. Here we study situations when it persists on intervals increasing to infinity. Suc…
Limit theorems and ergodicity for general bootstrap random walks
A. Collevecchio, K. Hamza, M. Shi +1
Given the increments of a simple symmetric random walk , we characterize all possible ways of recycling these increments into a simple symmetric random walk $(Y_n)_{…
On Solutions of First Order Stochastic Partial Differential Equations
K. Hamza, F. C. Klebaner
This note is concerned with an important for modelling question of existence of solutions of stochastic partial differential equations as proper stochastic processes, rather than p…
On nonexistence of non-constant volatility in the Black-Scholes formula
K. Hamza, F. C. Klebaner
We prove that if the Black-Scholes formula holds with the spot volatility for call options with all strikes, then the volatility parameter is constant. The proof relies some result…