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 2016 · math.PRShow all

3 papers · 2 filters

math.PR2016★ 2 cited

-player games and mean field games with absorption

Luciano Campi, Markus Fischer

We introduce a simple class of mean field games with absorbing boundary over a finite time horizon. In the corresponding -player games, the evolution of players' states is descr…

math.PR2016★ 13 cited

Perpetual American options in diffusion-type models with running maxima and drawdowns

Pavel V. Gapeev, Neofytos Rodosthenous

We study perpetual American option pricing problems in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates of the underlying risky asset depen…

math.PR2016★ 19 cited

A class of globally solvable Markovian quadratic BSDE systems and applications

Hao Xing, Gordan Žitković

We establish existence and uniqueness for a wide class of Markovian systems of backward stochastic differential equations (BSDE) with quadratic nonlinearities. This class is charac…