output
20022026
most citedThermodynamics of Neutral Protein Evolution

160 citations

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Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

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Showing math.PRShow all

5 papers · 1 filter

math.PR2015

Estimation of the Pointwise Hölder Exponent of Hidden Multifractional Brownian Motion Using Wavelet Coefficients

Sixian Jin, Qidi Peng, Henry Schellhorn

We propose a wavelet-based approach to construct consistent estimators of the pointwise Hölder exponent of a multifractional Brownian motion, in the case where this underlying proc…

math.PR2014★ 2 cited

Fractional Hida Malliavin Derivatives and Series Representations of Fractional Conditional Expectations

Sixian Jin, Qidi Peng, Henry Schellhorn

We represent fractional conditional expectations of a functional of fractional Brownian motion as a convergent series in L^2 space. When the target random variable is some function…

math.PR2014★ 1 cited

A Representation Theorem for Smooth Brownian Martingales - New Example

Sixian Jin, Qidi Peng, Henry Schellhorn

We show that, under certain smoothness conditions, a Brownian martingale, when evaluated at a fixed time, can be represented via an exponential formula at a later time. The time-de…

math.PR2013

A Bond Option Pricing Formula in the Extended CIR Model, with an Application to Stochastic Volatility

Zheng Liu, Qidi Peng, henry Schellhorn

We provide a complete representation of the interest rate in the extended CIR model. Since it was proved in Maghsoodi (1996) that the representation of the CIR process as a sum of…

math.PR2012

A Representation Theorem for Smooth Brownian Martingales

Henry Schellhorn

We show that, under certain smoothness conditions, a Brownian martingale at a fixed time can be represented as an exponential of its value at a later time. The time-dependent gener…