18 citations · 22 across the 3 of their papers we have counts for
5 papers · 1 filter
A unified approach to informed trading via Monge-Kantorovich duality
Reda Chhaibi, Ibrahim Ekren, Eunjung Noh +1
We solve a generalized Kyle model type problem using Monge-Kantorovich duality and backward stochastic partial differential equations. First, we show that the the generalized Kyle…
Quantum , Infinite curvature and Pitman's 2M-X theorem
François Chapon, Reda Chhaibi
The classical theorem by Pitman states that a Brownian motion minus twice its running infimum enjoys the Markov property. On the one hand, Biane understood that Pitman's theorem is…
Rigidity of the process
Reda Chhaibi, Joseph Najnudel
We show that the point process, defined as the scaling limit of the Circular Beta Ensemble when the dimension goes to infinity, and generalizing the determi…
Whittaker processes and Landau-Ginzburg potentials for flag manifolds
Reda Chhaibi
The Robinson-Schensted (RS) correspondence and its variants naturally give rise to integrable dynamics of non-intersecting particle systems. In previous work, the author exhibited…
Littelmann path model for geometric crystals, Whittaker functions on Lie groups and Brownian motion
Reda Chhaibi
Generally speaking, this thesis focuses on the interplay between the representations of Lie groups and probability theory. It subdivides into essentially three parts. In a first ra…