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Showing 2009 · math.PRShow all
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math.PR2009
Processes of class Sigma, last passage times and drawdowns
Patrick Cheridito, Ashkan Nikeghbali, Eckhard Platen
We propose a general framework to study last passage times, suprema and drawdowns of a large class of stochastic processes. A central role in our approach is played by processes of…
math.PR2009
Random Perturbations of 2-dimensional Hamiltonian Flows
L. Koralov
We consider the motion of a particle in a periodic two dimensional flow perturbed by small (molecular) diffusion. The flow is generated by a divergence free zero mean vector field.…