264 citations · 3.4k across the 103 of their papers we have counts for
5 papers · 1 filter
Following a Trend with an Exponential Moving Average: Analytical Results for a Gaussian Model
D. S. Grebenkov, J. Serror
We investigate how price variations of a stock are transformed into profits and losses (P&Ls) of a trend following strategy. In the frame of a Gaussian model, we derive the probabi…
Optimal and sub-optimal quadratic forms for non-centered Gaussian processes
D. S. Grebenkov
Individual random trajectories of stochastic processes are often analyzed by using quadratic forms such as time averaged (TA) mean square displacement (MSD) or velocity auto-correl…
Evidence of hydrodynamic and subdiffusive motion of tracers in a viscoelastic medium
Denis S. Grebenkov, Mahsa Vahabi, Elena Bertseva +2
We propose a theoretical model which relies on the generalized Langevin equation and may account for various dynamical features of the thermal motion of organelles, vesicles or mac…
Efficient Monte Carlo methods for simulating diffusion-reaction processes in complex systems
Denis Grebenkov
We briefly review the principles, mathematical bases, numerical shortcuts and applications of fast random walk (FRW) algorithms. This Monte Carlo technique allows one to simulate i…
On the exponential decay of Laplacian eigenfunctions in planar domains with branches
Binh T. Nguyen, Andrey L. Delytsin, Denis S. Grebenkov
We consider the eigenvalue problem for the Laplace operator in a planar domain which can be decomposed into a bounded domain of arbitrary shape and elongated \branches" of variable…