most citedMinimizing the Societal Cost of Credit Card Fraud with Limited and Imbalanced Data

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math.PR2019

High minima of non-smooth Gaussian processes

Zhixin Wu, Arijit Chakrabarty, Gennady Samorodnitsky

In this short note we study the asymptotic behaviour of the minima over compact intervals of Gaussian processes, whose paths are not necessarily smooth. We show that, beyond the lo…

math.PR2008

A connection between the stochastic heat equation and fractional Brownian motion, and a simple proof of a result of Talagrand

Carl Mueller, Zhixin Wu

We give a new representation of fractional Brownian motion with Hurst parameter H<=1/2 using stochastic partial differential equations. This representation allows us to use the Mar…