output
19992026
most citedSparsistency and rates of convergence in large covariance matrix estimation

421 citations

researchers with a paper here

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

collaborating institutions
Showing 2011 · math.PRShow all

3 papers · 2 filters

math.PR2011★ 45 cited

Strict local martingales and bubbles

Constantinos Kardaras, Dörte Kreher, Ashkan Nikeghbali

This paper deals with asset price bubbles modeled by strict local martingales. With any strict local martingale, one can associate a new measure, which is studied in detail in the…

math.PR2011

On backward stochastic differential equations and strict local martingales

Hao Xing

We study a backward stochastic differential equation whose terminal condition is an integrable function of a local martingale and generator has bounded growth in . When the loca…

math.PR2011

Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs

Pauline Barrieu, Nicole El Karoui

In this paper, we study the stability and convergence of some general quadratic semimartingales. Motivated by financial applications, we study simultaneously the semimartingale and…