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Showing 2011 · math.PRShow all
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math.PR2011★ 19 cited
Merging for inhomogeneous finite Markov chains, part II: Nash and log-Sobolev inequalities
L. Saloff-Coste, J. Zúñiga
We study time-inhomogeneous Markov chains with finite state spaces using Nash and logarithmic-Sobolev inequalities, and the notion of -stability. We develop the basic theory of…
math.PR2011★ 5 cited
Discretely sampled variance and volatility swaps versus their continuous approximations
Robert Jarrow, Younes Kchia, Martin Larsson +1
Discretely sampled variance and volatility swaps trade actively in OTC markets. To price these swaps, the continuously sampled approximation is often used to simplify the computati…
math.PR2011
Uniqueness of locally symmetric Brownian motion on Laakso spaces
Benjamin Steinhurst
We take the spaces introduced by Laakso in 2000 and building on the work of Barlow, Bass, Kumagai, and Teplyaev prove the existence and uniqueness of a local symmetry invariant dif…