3 citations · 3 across the 2 of their papers we have counts for
2 papers
math.PR2014★ 3 cited
Density of Skew Brownian motion and its functionals with application in finance
Alexander Gairat, Vadim Shcherbakov
We derive the joint density of a Skew Brownian motion, its last visit to the origin, local and occupation times. The result is applied to option pricing in a two valued local volat…
math.ST2010
Asymptotic normality of maximum likelihood estimator for cooperative sequential adsorption
Mathew D. Penrose, Vadim Shcherbakov
We have shown in previous work that statistical inference for cooperative sequential adsorption model can be based on maximum likelihood estimation. In this paper we continue this…