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5 papers · 2 filters
On a transformation between distributions obeying the principle of a single big jump
Hui Xu, Michael Scheutzow, Yuebao Wang
Beck et al. (2013) introduced a new distribution class J which contains many heavy-tailed and light-tailed distributions obeying the principle of a single big jump. Using a simple…
Stochastic programs without duality gaps for objectives without a lower bound
Ari-Pekka Perkkiö
This paper studies parameterized stochastic optimization problems in finite discrete time that arise in many applications in operations research and mathematical finance. We prove…
Blow-up of a stable stochastic differential equation
Matti Leimbach, Michael Scheutzow
We examine a 2-dimensional ODE which exhibits explosion in finite time. Considered as an SDE with additive white noise, it is known to be complete - in the sense that for each init…
On the structure of a class of distributions obeying the principle of a single big jump
Hui Xu, Michael Scheutzow, Yuebao Wang +1
In this paper, we present several heavy-tailed distributions belonging to the new class J of distributions obeying the principle of a single big jump introduced by Beck et al. [1].…
On small-noise equations with degenerate limiting system arising from volatility models
Giovanni Conforti, Stefano De Marco, Jean-Dominique Deuschel
The one-dimensional SDE with non Lipschitz diffusion coefficient is widely studied in mathematical finance. Several works…