34 citations · 67 across the 10 of their papers we have counts for
Showing 2006 · math.PRShow all
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math.PR2006★ 27 cited
Consistent families of Brownian motions and stochastic flows of kernels
Chris Howitt, Jon Warren
Consider the following mechanism for the random evolution of a distribution of mass on the integer lattice . At unit rate, independently for each site, the mass at th…
math.PR2006★ 2 cited
No-arbitrage and closure results for trading cones with transaction costs
Saul Jacka, Abdelkarem Berkaoui, Jon Warren
The paper considers trading with proportional transaction costs. We give a necessary and sufficient condition for A, the cone of claims attainable from zero endowment, to be closed…