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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.PR2019

Wiener-Hopf Factorization for Time-Inhomogeneous Markov Chains

Tomasz R. Bielecki, Ziteng Cheng, Igor Cialenco +1

This work contributes to the theory of Wiener-Hopf type factorization for finite Markov chains. This theory originated in the seminal paper Barlow et al. (1980), which treated the…