6 citations · 7 across the 9 of their papers we have counts for
5 papers · 1 filter
On the Cheng-Yau gradient estimate for Carnot groups and sub-Riemannian manifolds
Fabrice Baudoin, Maria Gordina, Phanuel Mariano
In this note we show how results in \cite{BaudoinBonnefont2016, BaudoinGarofalo2013, CoulhonJiangKoskelaSikora2017} yield the Cheng-Yau estimate on two classes of sub-Riemannian ma…
Lyapunov exponent and variance in the CLT for products of random matrices related to random Fibonacci sequences
Rajeshwari Majumdar, Phanuel Mariano, Hugo Panzo +2
We consider three matrix models of order 2 with one random entry and the other three entries being deterministic. In the first model, we let $ε\sim\textrm{Bernoulli}\left(\frac…
The financial value of knowing the distribution of stock prices in discrete market models
Ayelet Amiran, Fabrice Baudoin, Skylyn Brock +5
An explicit formula is derived for the value of weak information in a discrete time model that works for a wide range of utility functions including the logarithmic and power utili…
A derivation of the Black-Scholes option pricing model using a central limit theorem argument
Rajeshwari Majumdar, Phanuel Mariano, Lowen Peng +1
The Black-Scholes model (sometimes known as the Black-Scholes-Merton model) gives a theoretical estimate for the price of European options. The price evolution under this model is…
Gradient Bounds for Kolmogorov Type Diffusions
Fabrice Baudoin, Maria Gordina, Phanuel Mariano
We study gradient bounds and other functional inequalities for the diffusion semigroup generated by Kolmogorov type operators. The focus is on two different methods: coupling techn…