2 citations · 3 across the 4 of their papers we have counts for
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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…
A Generalized Correlated Random Walk Converging to Fractional Brownian Motion
Buket Coskun, Ceren Vardar-Acar, Hakan Demirtas
We propose a new algorithm to generate a fractional Brownian motion, with a given Hurst parameter, 1/2<H<1 using the correlated Bernoulli random variables with parameter p; having…