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math.PR2021★ 1 cited
On the dependence between a Wiener process and its running maxima and running minima processes
Karol Dąbrowski, Piotr Jaworski
We study a triple of stochastic processes: a Wiener process , , its running maxima process and its running minima process $m_t=\inf \…
math.PR2017
A note on conditional covariance matrices for elliptical distributions
Piotr Jaworski, Marcin Pitera
In this short note we provide an analytical formula for the conditional covariance matrices of the elliptically distributed random vectors, when the conditioning is based on the va…
math.PR2015
The 20-60-20 Rule
Piotr Jaworski, Marcin Pitera
In this paper we discuss an empirical phenomena known as the 20-60-20 rule. It says that if we split the population into three groups, according to some arbitrary benchmark criteri…