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math.PR2025
Concentration inequalities for strong laws and laws of the iterated logarithm
Johannes Ruf, Ian Waudby-Smith
We derive concentration inequalities for sums of independent and identically distributed random variables that yield non-asymptotic generalizations of several strong laws of large…
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…