2 citations · 2 across the 5 of their papers we have counts for
5 papers
Beneath the kinetic interpretation of noise
Carlos Escudero, Helder Rojas
Diffusion theory establishes a fundamental connection between stochastic differential equations and partial differential equations. The solution of a partial differential equation…
Three-level qualitative classification of financial risks under varying conditions through first passage times
Carlos Bouthelier-Madre, Carlos Escudero
This work focuses on financial risks from a probabilistic point of view. The value of a firm is described as a geometric Brownian motion and default emerges as a first passage time…
Time evaluation of portfolio for asymmetrically informed traders
Bernardo D'Auria, Carlos Escudero
We study the anticipating version of the classical portfolio optimization problem in a financial market with the presence of a trader who possesses privileged information about the…
Stochastic cloaking: concealing a region from diffusive particles
Connor Roberts, Ziluo Zhang, Helder Rojas +4
We introduce "stochastic cloaking," where a region of space is concealed from an ensemble of diffusing particles whose individual trajectories are governed by a stochastic (Langevi…
Optimal Trade Characterizations in Multi-Asset Crypto-Financial Markets
C. Escudero, F. Lara, M. Sama
This work focuses on the mathematical study of constant function market makers. We rigorously establish the conditions for optimal trading under the assumption of a quasilinear, bu…