48 citations · 56 across the 4 of their papers we have counts for
4 papers
Fractional Growth Portfolio Investment
Anthony E. Brockwell
We review some fundamental concepts of investment from a mathematical perspective, concentrating specifically on fractional-Kelly portfolios, which allocate a fraction of wealth to…
Sequentially interacting Markov chain Monte Carlo methods
Anthony Brockwell, Pierre Del Moral, Arnaud Doucet
Sequential Monte Carlo (SMC) is a methodology for sampling approximately from a sequence of probability distributions of increasing dimension and estimating their normalizing const…
Sequential Monte Carlo pricing of American-style options under stochastic volatility models
Bhojnarine R. Rambharat, Anthony E. Brockwell
We introduce a new method to price American-style options on underlying investments governed by stochastic volatility (SV) models. The method does not require the volatility proces…
A Strong Law of Large Numbers for Strongly Mixing Processes
Aryeh Kontorovich, Anthony Brockwell
We prove a strong law of large numbers for a class of strongly mixing processes. Our result rests on recent advances in understanding of concentration of measure. It is simple to a…