Won‐Ki Seo

activity

20172026

most citedRepresentation of I(1) and I(2) autoregressive Hilbertian processes

15 citations · 32 across the 10 of their papers we have counts for

collaborators

Showing math.PRShow all

2 papers · 1 filter

math.PR2026

Random trade timing and power-law tails in realized prices

Won-Ki Seo

This paper studies stochastic mechanisms under which light-tailed latent price dynamics yield realized prices with power-law tails. The realized price is modeled as $P_{T} = e^{X_{T}}$ ,…

math.PR2020★ 11 cited

Tail behavior of stopped Lévy processes with Markov modulation

Brendan K. Beare, Won-Ki Seo, Alexis Akira Toda

This article concerns the tail probabilities of a light-tailed Markov-modulated Lévy process stopped at a state-dependent Poisson rate. The tails are shown to decay exponentially a…