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math.RT2010★ 1 cited
Wrapping Brownian motion and heat kernels II: symmetric spaces
David G Maher
In this paper we extend our previous results on wrapping Brownian motion and heat kernels onto compact Lie groups to various symmetric spaces, where a global generalisation of Rouv…
math.RT2010
Wrapping Brownian motion and heat kernels I: compact Lie groups
David G Maher
An important object of study in harmonic analysis is the heat equation. On a Euclidean space, the fundamental solution of the associated semigroup is known as the heat kernel, whic…
q-fin.RM2010
Some Remarks on T-copulas
Volf Frishling, David G Maher
We examine three methods of constructing correlated Student- random variables. Our motivation arises from simulations that utilise heavy-tailed distributions for the purposes of…