2 citations · 4 across the 4 of their papers we have counts for
5 papers
Optimal execution with rough path signatures
Jasdeep Kalsi, Terry Lyons, Imanol Perez Arribas
We present a method for obtaining approximate solutions to the problem of optimal execution, based on a signature method. The framework is general, only requiring that the price pr…
Existence of Invariant Measures for Reflected SPDEs
Jasdeep Kalsi
In this article, we close a gap in the literature by proving existence of invariant measures for reflected SPDEs with only one reflecting barrier. This is done by arguing that the…
Analytic Cauchy problem for the -Camassa-Holm equation and its non-quasilinear version
Hideshi Yamane
We solve the Cauchy problems for the -Camassa-Holm integro-partial differential equation of Khesin-Lenells-Misiołek and its non-quasilinear version introduced by Qu-Fu-Liu in th…
Stefan Problems for Reflected SPDEs Driven by Space-Time White Noise
Ben Hambly, Jasdeep Kalsi
We prove the existence and uniqueness of solutions to a one-dimensional Stefan Problem for reflected SPDEs which are driven by space-time white noise. The solutions are shown to ex…
A Reflected Moving Boundary Problem Driven by Space-Time White Noise
Ben Hambly, Jasdeep Kalsi
We study a system of two reflected SPDEs which share a moving boundary. The equations describe competition at an interface and are motivated by the modelling of the limit order boo…