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math.PR2025
Unparalleled instances of prolifickness, random walks, and square root boundaries
Stefan Gerhold, Friedrich Hubalek
We revisit the problem of influencing the sex ratio of a population by subjecting reproduction of each family to some stopping rule. As an easy consequence of the strong law of lar…
math.PR2024
On the integrability of the supremum of stochastic volatility models and other martingales
Stefan Gerhold, Julian Pachschwöll, Johannes Ruf
We propose a method to bound the expectation of the supremum of the price process in stochastic volatility models. It can be applied, for example, to the rough Bergomi model, avoid…