10 citations · 16 across the 12 of their papers we have counts for
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math.PR2013★ 3 cited
Large deviations for interacting Bessel-like processes and applications to systemic risk
Tomoyuki Ichiba, Mykhaylo Shkolnikov
We establish a process level large deviation principle for systems of interacting Bessel-like diffusion processes. By establishing weak uniqueness for the limiting non-local SDE of…
q-fin.ST2013
A second-order stock market model
Robert Fernholz, Tomoyuki Ichiba, Ioannis Karatzas
A first-order model for a stock market assigns to each stock a return parameter and a variance parameter that depend only on the rank of the stock. A second-order model assigns the…