3 papers
math.PR2025
Collision types and times in interacting particle systems
Sergio Andraus, Nicole Hufnagel, Jacek Małecki
We consider a system of stochastic interacting particles with general diffusion coefficient and drift functions and we study the types of collisions that arise in them. In particul…
math.ST2025
Monte Carlo on a single sample
Nils Detering, Nicole Hufnagel, Paul Krühner
In this paper, we consider a Monte Carlo simulation method (MinMC) that approximates prices and risk measures for a range of model parameters at once. The simulation method tha…
math.PR2020
Martingale estimation functions for Bessel processes
Nicole Hufnagel, Jeannette H. C. Woerner
In this paper we derive martingale estimating functions for the dimensionality parameter of a Bessel process based on the eigenfunctions of the diffusion operator. Since a Bessel p…