activity
20052026
most citedDynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach

24 citations · 59 across the 23 of their papers we have counts for

collaborators

26 papers

math.PR2026

Are random random walks normal?

Kais Hamza, Laurent Tournier

Given a symmetric simple random walk , the family of all symmetric simple random walks adapted to the filtration of was studied…

math.ST2025

Estimation of rates in population-age-dependent processes by means of test functions

Jie Yen Fan, Kais Hamza, Fima C. Klebaner +1

This paper aims to develop practical applications of the model for the highly technical measure-valued populations developed by the authors in \cite{FanEtal20}. We consider the pro…

math.PR2024

Brownian symmetrization of planar domains

Maher Boudabra, Kais Hamza

One of aims of this note is to capture the interest of the mathematical community to a novel transformation, which we shall call Brownian symmetrization. This transformation arises…

math.PR2020★ 1 cited

Long range one-cookie random walk with positive speed

Andrea Collevecchio, Kais Hamza, Tuan-Minh Nguyen

We study one-dimensional excited random walks with non-nearest neighbor jumps. When the process is at a vertex that has not been visited before, its next transition has a positive…

econ.TH2020

When "Better" is better than "Best"

Ben Amiet, Andrea Collevecchio, Kais Hamza

We consider two-player normal form games where each player has the same finite strategy set. The payoffs of each player are assumed to be i.i.d. random variables with a continuous…

math.PR2020

Limit theorems and ergodicity for general bootstrap random walks

A. Collevecchio, K. Hamza, M. Shi +1

Given the increments of a simple symmetric random walk , we characterize all possible ways of recycling these increments into a simple symmetric random walk $(Y_n)_{…