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20092023
most citedSmall-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps

22 citations · 55 across the 16 of their papers we have counts for

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math.PR2023

The two-sided exit problem for an additive functional of a time-inhomogeneous Markov chain

Tomasz R. Bielecki, Ziteng Cheng, Ruoting Gong

We consider an additive functional driven by a time-inhomogeneous Markov chain with a finite state space. Our study focuses on the joint distribution of the two-sided exit time and…