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math.PR2024
Information-Based Martingale Optimal Transport
Georges Kassis, Andrea Macrina
Randomised arcade processes are a class of continuous stochastic processes that interpolate in a strong sense, i.e., omega by omega, between any given ordered set of random variabl…
math.PR2019
Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods
Yupeng Jiang, Andrea Macrina, Gareth W. Peters
We investigate the joint distribution and the multivariate survival functions for the maxima of an Ornstein-Uhlenbeck (OU) process in consecutive time-intervals. A PDE method, alon…