39 citations · 83 across the 20 of their papers we have counts for
21 papers
When a Stochastic Exponential is a True Martingale. Extension of a Method of Bene^s
F. Klebaner, R. Liptser
Let be a stochastic exponential, i.e., , of a local martingale with jumps . Then …
The Euler-Maruyama approximations for the CEV model
V. Abramov, F. Klebaner, R. Liptser
The CEV model is given by the stochastic differential equation , . It features a non-Lipschitz diffusion coeffici…
Bene condition for discontinuous exponential martingale
R. Liptser
It is known the Girsanov exponent , being solution of Doleans-Dade equation generated by Brownian motion and a random…
Large Deviations Application to Billingsley's Example
R. Liptser
We consider a classical model related to an empirical distribution function of -- i.i.d. sequence of random varia…
A filtering approach to tracking volatility from prices observed at random times
Jakša Cvitanić, Robert Liptser, Boris Rozovskii
This paper is concerned with nonlinear filtering of the coefficients in asset price models with stochastic volatility. More specifically, we assume that the asset price process $S=…
Large deviations for a scalar diffusion in random environment
P. Chigansky, R. Liptser
Let , be an ergodic stationary Markov chain, taking a finite number of values , and , where is a bounded and measurable funct…