17 citations · 17 across the 2 of their papers we have counts for
4 papers
Existence of invariant measures for the stochastic damped Schrödinger equation
Ibrahim Ekren, Igor Kukavica, Mohammed Ziane
In this paper, we address the long time behaviour of solutions of the stochastic Schrodinger equation in . We prove the existence of an invariant measure and establis…
Pseudo Markovian Viscosity Solutions of Fully Nonlinear Degenerate PPDEs
Ibrahim Ekren, Jianfeng Zhang
In this paper we propose a new type of viscosity solutions for fully nonlinear path dependent PDEs. By restricting to certain pseudo Markovian structure, we remove the uniform non-…
Optimal Stopping under Nonlinear Expectation
Ibrahim Ekren, Nizar Touzi, Jianfeng Zhang
Let be a bounded càdlàg process with positive jumps defined on the canonical space of continuous paths. We consider the problem of optimal stopping the process under a nonl…
Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis
Erhan Bayraktar, H. Vincent Poor, Ronnie Sircar
S&P 500 index data sampled at one-minute intervals over the course of 11.5 years (January 1989- May 2000) is analyzed, and in particular the Hurst parameter over segments of statio…