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math.PR2020★ 8 cited
Shot noise, weak convergence and diffusion approximations
Massimiliano Tamborrino, Petr Lansky
Shot noise processes have been extensively studied due to their mathematical properties and their relevance in several applications. Here, we consider nonnegative shot noise proces…
math.NA2020★ 1 cited
Qualitative properties of numerical methods for the inhomogeneous geometric Brownian motion
Irene Tubikanec, Massimiliano Tamborrino, Petr Lansky +1
We provide a comparative analysis of qualitative features of different numerical methods for the inhomogeneous geometric Brownian motion (IGBM). The conditional and asymptotic mean…