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4 papers · 2 filters
Scaling limits for symmetric Ito-Levy processes in random medium
Remi Rhodes, Vincent Vargas
We are concerned with scaling limits of the solutions to stochastic differential equations with stationary coefficients driven by Poisson random measures and Brownian motions. We s…
Multivariate utility maximization with proportional transaction costs
Luciano Campi, Mark P. Owen
We present an optimal investment theorem for a currency exchange model with random and possibly discontinuous proportional transaction costs. The investor's preferences are represe…
Hydrodynamic turbulence and intermittent random fields
Raoul Robert, Vincent Vargas
In this article, we construct two families of nonsymmetrical multifractal fields. One of these families is used for the modelization of the velocity field of turbulent flows.
Energy transport in stochastically perturbed lattice dynamics
Giada Basile, Stefano Olla, Herbert Spohn
We consider lattice dynamics with a small stochastic perturbation of order ε and prove that for a space-time scale of order \varepsilon\^-1 the local spectral density (Wigner…