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math.PR2021
Occupation Times for Time-changed Processes with Applications to Parisian Options
Joonyong Choi, David Clancy
Stochastic processes time-changed by an inverse subordinator have been suggested as a way to model the price of assets in illiquid markets, where the jumps of the subordinator corr…
math.PR2021
Epidemics on critical random graphs with heavy-tailed degree distribution
David Clancy
We study the susceptible-infected-recovered (SIR) epidemic on a random graph chosen uniformly over all graphs with certain critical, heavy-tailed degree distributions. For this mod…
math.PR2021
Encoding multitype Galton-Watson forests and a multitype Ray-Knight theorem
David Clancy
We provide a simple forest model to encode the genealogical structure of a multitype Galton-Watson process with immigration. We provide two encodings of these forests by stochastic…