4 citations · 9 across the 12 of their papers we have counts for
14 papers
A Self-Exciting Model of Eddy Formation at Submesoscale
Mine Çağlar, Barış Samed Yakar
Ocean eddies are highly dynamic structures marked by frequent splitting and merging events. They exhibit complex spatio-temporal clustering that traditional Poisson models fail to…
Backward Monge Potential and Monge-Ampere Equation
Mine Caglar, Ihsan Demirel
In this paper, Monge-Kantorovich problem is considered in the infinite dimension on an abstract Wiener space , where is Cameron-Martin space and is the Gaussian m…
Hedging Portfolio for a Degenerate Market Model
Mine Caglar, Ihsan Demirel, Ali Suleyman Ustunel
We consider a semimartingale market model when the underlying diffusion has a singular volatility matrix and compute the hedging portfolio for a given payoff function. Recently, th…
An optimal stopping problem for spectrally negative Markov additive processes
Mine Caglar, Andreas E. Kyprianou, Ceren Vardar-Acar
Previous authors have considered optimal stopping problems driven by the running maximum of a spectrally negative Lévy process , as well as of a one-dimensional diffusion. Many…
Maximum Drawdown and Drawdown Duration of Spectrally Negative Levy Processes Decomposed at Extremes
C. Vardar-Acar, M. Caglar, F. Avram
Path decomposition is performed to characterize the law of the pre/post-supremum, post-infimum and the intermediate processes of a spectrally negative Levy process taken up to an i…
Conditional Law and Occupation Times of Two-Sided Sticky Brownian Motion
Bugra Can, Mine Caglar
Sticky Brownian motion on the real line can be obtained as a weak solution of a system of stochastic differential equations. We find the conditional distribution of the process giv…