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math.PR2026
A dice game, a multinomial walk, and the inverted Dirichlet distribution
Gunther Leobacher, Alexander Steinicke
We consider a simple dice game, which leads to an intriguing study of multinomial walks, with surprising and seemingly paradoxical properties. The winning and losing probabilities…
math.PR2025
Locally Lipschitz Path Dependent FBSDEs with Unbounded Terminal Conditions in Brownian and L{é}vy Settings
Hannah Geiss, Céline Labart, Adrien Richou +1
This paper is dedicated to the analysis of forward backward stochastic differential equations driven by a L{é}vy process. We assume that the generator and the terminal condition a…
math.PR2025
A Skorohod measurable universal functional representation of solutions to semimartingale SDEs
PaweÅ PrzybyÅowicz, Verena Schwarz, Alexander Steinicke +1
In this paper we show the existence of a universal Skorohod measurable functional representation for a large class of semimartingale-driven stochastic differential equations. For t…