55 citations · 103 across the 22 of their papers we have counts for
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math.PR2013★ 31 cited
Tail behavior of sums and differences of log-normal random variables
Archil Gulisashvili, Peter Tankov
We present sharp tail asymptotics for the density and the distribution function of linear combinations of correlated log-normal random variables, that is, exponentials of component…
math.PR2013★ 55 cited
The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory
Peter K. Friz, Benjamin Gess, Archil Gulisashvili +1
We discuss stochastic calculus for large classes of Gaussian processes, based on rough path analysis. Our key condition is a covariance measure structure combined with a classical…