12 citations · 39 across the 16 of their papers we have counts for
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math.PR2014★ 3 cited
Density of Skew Brownian motion and its functionals with application in finance
Alexander Gairat, Vadim Shcherbakov
We derive the joint density of a Skew Brownian motion, its last visit to the origin, local and occupation times. The result is applied to option pricing in a two valued local volat…
math.PR2014★ 8 cited
Long term behaviour of locally interacting birth-and-death processes
Vadim Shcherbakov, Stanislav Volkov
In this paper we study long-term evolution of a finite system of locally interacting birth-and-death processes labelled by vertices of a finite connected graph. A detailed descript…