31 citations · 121 across the 16 of their papers we have counts for
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math.PR2020
A Zero-One Law for Markov Chains
Michael Grabchak, Isaac Sonin
We prove an analog of the classical Zero-One Law for both homogeneous and nonhomogeneous Markov chains (MC). Its almost precise formulation is simple: given any event from the…
math.PR2020★ 12 cited
An Exact Method For Simulating Rapidly Decreasing Tempered Stable Distributions
Michael Grabchak
Rapidly decreasing tempered stable distributions are useful models for financial applications. However, there has been no exact method for simulation available in the literature. W…
math.PR2020
On the Transition Laws of -Tempered -Stable OU-Processes
Michael Grabchak
We derive an explicit representation for the transition law of a -tempered -stable process of Ornstein-Uhlenbeck-type and use it to develop a methodology for simulation. Our…