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math.PR2014
Marginalization for rare event simulation in switching diffusions
Anindya Goswami, François Le Gland
In this paper we use splitting technique to estimate the probability of hitting a rare but critical set by the continuous component of a switching diffusion. Instead of following c…
q-fin.MF2014
The optimal hedging in a semi-Markov modulated market
Anindya Goswami, Jeeten Patel, Poorva Sevgaonkar
This paper includes an original self contained proof of well-posedness of an initial-boundary value problem involving a non-local parabolic PDE which naturally arises in the study…