7 citations · 8 across the 5 of their papers we have counts for
5 papers
Large Deviations for Iterated Sums and Integrals
Yuri Kifer, Ofer Zeitouni
We describe large deviations for normalized multiple iterated sums and integrals of the form $\bbS_N^{(ν)}(t)=N^{-ν}\sum_{0\leq k_1<...<k_ν\leq Nt}ξ(k_1)\otimes\cdots\otimesξ(k_ν)$…
Iterated Ergodic Theorems and Erd\" os--R\' enyi law of large numbers
Yuri Kifer
We obtain ergodic theorems for multiple iterated sums and integrals of the form , and $Σ^{(ν)…
Almost Sure Diffusion Approximation in Averaging: Direct Proofs with Rough Paths Flavors
Yuri Kifer
We consider again the fast-slow motions setups in the continuous time $\frac {dX_N(t)}{dt}=N^{1/2} \sig(X_N(t))(ξ(tN))+b(X_N(t)),\, t\in [0,T]$ and the discrete time $X_N((n+1)/N)=…
Almost sure approximations and laws of iterated logarithm for signatures
Yuri Kifer
We obtain strong invariance principles for normalized multiple iterated sums and integrals of the form $\bbS_N^{(ν)}(t)=N^{-ν/2}\sum_{0\leq k_1<...<k_ν\leq Nt}ξ(k_1)\otimes\cdots\o…
Binomial approximations of shortfall risk for game options
Yan Dolinsky, Yuri Kifer
We show that the shortfall risk of binomial approximations of game (Israeli) options converges to the shortfall risk in the corresponding Black--Scholes market considering Lipschit…