16 citations · 16 across the 5 of their papers we have counts for
6 papers · 1 filter
Dynamics of observables in rank-based models and performance of functionally generated portfolios
Sergio A. Almada Monter, Mykhaylo Shkolnikov, Jiacheng Zhang
In the seminal work [9], several macroscopic market observables have been introduced, in an attempt to find characteristics capturing the diversity of a financial market. Despite t…
Source detection algorithms for dynamic contaminants based on the analysis of a hydrodynamic limit
Sergio A. Almada Monter, Amarjit Budhiraja, Jan Hannig
In this work we propose and numerically analyze an algorithm for detection of a contaminant source using a dynamic sensor network. The algorithm is motivated using a global probabi…
Scaling Limit for the Diffusion Exit Problem, a Survey
Sergio A. Almada Monter
In this review, an outline of the so called Freidlin-Wentzell theory and its recent extensions is given. Broadly, this theory studies the exponential rate at which the probabilitie…
Small Noise Estimates of the Quadratic Covariation between Non-smooth Transformations of Brownian Motion
Sergio A. Almada Monter
Given a Brownian Motion , in this paper we study the asymptotic behavior, as $\eps \to 0$, of the quadratic covariation between $f (\eps W)$ and in the case in which is…
Normal forms approach to diffusion near hyperbolic equilibria
Sergio Angel Almada Monter, Yuri Bakhtin
We consider the exit problem for small white noise perturbation of a smooth dynamical system on the plane in the neighborhood of a hyperbolic critical point. We show that if the di…
Scaling Limit for the Diffusion Exit Problem in the Levinson Case
Sergio Angel Almada Monter, Yuri Bakhtin
The exit problem for small perturbations of a dynamical system in a domain is considered. It is assumed that the unperturbed dynamical system and the domain satisfy the Levinson co…