Arunangshu Biswas

activity

20102017

most citedOption Pricing in a Regime Switching Stochastic Volatility Model

22 citations · 22 across the 3 of their papers we have counts for

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math.PR2012

Langevin type limiting processes for Adaptive MCMC

Gopal K. Basak, Arunangshu Biswas

Adaptive Markov Chain Monte Carlo (AMCMC) is a class of MCMC algorithms where the proposal distribution changes at every iteration of the chain. In this case it is important to ver…

math.PR2010

Process convergence of self normalized sums of i.i.d. random variables coming from domain of attraction of stable distributions

G K Basak, Arunangshu Biswas

In this paper we show that the continuous version of the self normalised process $Y_{n, p} (t) = S_{n} (t) / V_{n, p} + (n t - [n t]) X_{[n t] + 1} / V_{n, p}$ where $S_{n} (t) = \sum_{i = 1}^{[n t]} X_{i}$ and $…