421 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- University College LondonGB63 papers
- Systemic Risk CentreGB48 papers
- University of OxfordGB20 papers
- University of WarwickGB18 papers
- King's College LondonGB16 papers
- London Mathematical LaboratoryGB12 papers
- University of Illinois Urbana-ChampaignUS12 papers
- Centre National de la Recherche ScientifiqueFR11 papers
- Queen Mary University of LondonGB11 papers
- The Open UniversityGB11 papers
- City, University of LondonGB10 papers
- ETH ZurichCH10 papers
8 papers · 2 filters
On certain integral functionals of squared Bessel processes
Umut Çetin
Let be a squared Bessel process. Following a Feynman-Kac approach, the Laplace transforms of joint laws of are studied where is the first hit…
Hunter, Cauchy Rabbit, and Optimal Kakeya Sets
Yakov Babichenko, Yuval Peres, Ron Peretz +2
A planar set that contains a unit segment in every direction is called a Kakeya set. We relate these sets to a game of pursuit on a cycle . A hunter and a rabbit move on the…
On the Optimal Stopping of a One-dimensional Diffusion
Damien Lamberton, Mihail Zervos
We consider a one-dimensional diffusion which solves a stochastic differential equation with Borel-measurable coefficients in an open interval. We allow for the endpoints to be ina…
Predicting the time at which a Lévy process attains its ultimate supremum
Erik Baurdoux, Kees van Schaik
We consider the problem of finding a stopping time that minimises the -distance to , the time at which a Lévy process attains its ultimate supremum. This problem was studie…
On absolutely continuous compensators and nonlinear filtering equations in default risk models
Umut Çetin
We discuss the pricing of defaultable assets in an incomplete information model where the default time is given by a first hitting time of an unobservable process. We show that in…
On the characterisation of honest times that avoid all stopping times
Constantinos Kardaras
We present a short and self-contained proof of the following result: a random time is an honest time that avoids all stopping times if and only if it coincides with the (last) time…
Self-dual continuous processes
Thorsten Rheinländer, Michael Schmutz
The important application of semi-static hedging in financial markets naturally leads to the notion of quasi self-dual processes which is, for continuous semimartingales, related t…
The supermarket model with arrival rate tending to one
Graham Brightwell, Malwina Luczak
In the supermarket model, there are queues, each with a single server. Customers arrive in a Poisson process with arrival rate , where . Upon arrival, a…