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 2014 · math.PRShow all

6 papers · 2 filters

math.PR2014

Continuous-time perpetuities and time reversal of diffusions

Constantinos Kardaras, Scott Robertson

We consider the problem of estimating the joint distribution of a continuous-time perpetuity and the underlying factors which govern the cash flow rate, in an ergodic Markov model.…

math.PR2014

Optimal prediction for positive self-similar Markov processes

Erik Baurdoux, Andreas Kyprianou, Curdin Ott

This paper addresses the question of predicting when a positive self-similar Markov process X attains its pathwise global supremum or infimum before hitting zero for the first time…

math.PR2014★ 1 cited

On Future Drawdowns of Lévy processes

E. J. Baurdoux, Z. Palmowski, M. R. Pistorius

For a given Lévy process and for fixed and we analyse the {\it future drawdown extremes} that ar…

math.PR2014★ 26 cited

Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems

Umut Çetin, Albina Danilova

This paper develops a new methodology for studying continuous-time Nash equilibrium in a financial market with asymmetrically informed agents. This approach allows us to lift the r…

math.PR2014★ 4 cited

Change of numeraire in the two-marginals martingale transport problem

Luciano Campi, Ismail Laachir, Claude Martini

In this paper we apply change of numeraire techniques to the optimal transport approach for computing model-free prices of derivatives in a two periods model. In particular, we con…

math.PR2014

Markov bridges: SDE representation

Umut Çetin, Albina Danilova

Let be a Markov process taking values in with continuous paths and transition function . Given a measure on , a Markov br…