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8 papers · 1 filter
Characterization of the asymptotic Teichmuller space of the open unit disk through shears
Jinhua Fan, Jun Hu
We give a parametrization to the asymptotic Teichmuller space of the open unit disk through equivalent classes of shear functions induced by quasisymmetric homeomorphisms on the Fa…
A new proof of an Engelbert-Schmidt type zero-one law for time-homogeneous diffusions
Zhenyu Cui
In this paper we give a new proof to an Engelbert-Schmidt type zero-one law for time-homogeneous diffusions, which provides deterministic criteria for the convergence of integral f…
Stochastic areas of diffusions and applications in risk theory
Zhenyu Cui
In this paper we study the stochastic area swept by a regular time-homogeneous diffusion till a stopping time. This unifies some recent literature in this area. Through stochastic…
Stochastic Modeling and Fair Valuation of Drawdown Insurance
Hongzhong Zhang, Tim Leung, Olympia Hadjiliadis
This paper studies the stochastic modeling of market drawdown events and the fair valuation of insurance contracts based on drawdowns. We model the asset drawdown process as the cu…
On the martingale property in stochastic volatility models based on time-homogeneous diffusions
Carole Bernard, Zhenyu Cui, Don McLeish
Lions and Musiela (2007) give sufficient conditions to verify when a stochastic exponential of a continuous local martingale is a martingale or a uniformly integrable martingale. B…
Mathematics via Symmetry
Noson S. Yanofsky, Mark Zelcer
We state the defining characteristic of mathematics as a type of symmetry where one can change the connotation of a mathematical statement in a certain way when the statement's tru…