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cond-mat.stat-mech2021
A note on an absorption problem for a Brownian particle moving in a harmonic potential
Michael J. Kearney, Richard J. Martin
An analysis is presented of a Brownian particle moving on the half-line, subject to a restoring force proportional to its displacement and an absorbing boundary at the origin. When…
q-fin.GN2021
Design and analysis of momentum trading strategies
Richard J. Martin
We give a complete description of the third-moment (skewness) characteristics of both linear and nonlinear momentum trading strategies, the latter being understood as transformatio…