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math.PR2023
Product formulas for multiple stochastic integrals associated with Lévy processes
Paolo Di Tella, Christel Geiss, Alexander Steinicke
In the present paper, we obtain an explicit product formula for products of multiple integrals w.r.t. a random measure associated with a Lévy process. As a building block, we use a…
math.PR2023
Deviation frequencies of Brownian path property approximations
Michael A. Högele, Alexander Steinicke
This case study proposes a.s.~convergence quantifications of many classical sample path property approximations of Brownian motion in terms of the tradeoff between a.s.~rates and t…