26 citations · 26 across the 2 of their papers we have counts for
2 papers
cond-mat.stat-mech2014★ 26 cited
Persistent random walk of cells involving anomalous effects and random death
Sergei Fedotov, Abby Tan, Andrey Zubarev
The purpose of this paper is to implement a random death process into a persistent random walk model which produces subballistic superdiffusion (Lévy walk). We develop a Markovian…
cond-mat.other2004
Long memory stochastic volatility in option pricing
Sergei Fedotov, Abby Tan
The aim of this paper is to present a simple stochastic model that accounts for the effects of a long-memory in volatility on option pricing. The starting point is the stochastic B…