activity
20122026
most citedOn certain integral functionals of squared Bessel processes

3 citations · 4 across the 9 of their papers we have counts for

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Showing 2016Show all

3 papers · 1 filter

math.PR2016

Linear inverse problems for Markov processes and their regularisation

Umut Çetin

We study the solutions of the inverse problem \[ g(z)=\int f(y) P_T(z,dy) \] for a given , where is the transition function of a given Markov pro…

q-fin.MF2016

Financial equilibrium with asymmetric information and random horizon

Umut Çetin

We study in detail and explicitly solve the version of Kyle's model introduced in a specific case in \cite{BB}, where the trading horizon is given by an exponentially distributed r…

math.PR2016

Path transformations for local times of one-dimensional diffusions

Umut Çetin

Let be a regular one-dimensional transient diffusion and be its local time at . The stochastic differential equation (SDE) whose solution corresponds to the process $X…