3 papers
q-fin.MF2023
Quantifying dimensional change in stochastic portfolio theory
Erhan Bayraktar, Donghan Kim, Abhishek Tilva
In this paper, we develop the theory of functional generation of portfolios in an equity market with changing dimension. By introducing dimensional jumps in the market, as well as…
q-fin.MF2022
Arbitrage theory in a market of stochastic dimension
Erhan Bayraktar, Donghan Kim, Abhishek Tilva
This paper studies an equity market of stochastic dimension, where the number of assets fluctuates over time. In such a market, we develop the fundamental theorem of asset pricing,…
math.PR2019
Continuous Breuer-Major theorem for vector valued fields
David Nualart, Abhishek Tilva
Let be zero mean, mean-square continuous, stationary, Gaussian random field with covariance function and let…