41 citations · 146 across the 24 of their papers we have counts for
4 papers · 1 filter
Parabolic Anderson model with rough dependence in space
Yaozhong Hu, Jingyu Huang, Khoa Lê +2
This paper studies the one-dimensional parabolic Anderson model driven by a Gaussian noise which is white in time and has the covariance of a fractional Brownian motion with Hurst…
Laws of Large Numbers for Supercritical Branching Gaussian Processes
Michael A. Kouritzin, Khoa Lê, Deniz Sezer
A general class of non-Markov, supercritical Gaussian branching particle systems is introduced and its long-time asymptotics is studied. Both weak and strong laws of large numbers…
Large time asymptotics for the parabolic Anderson model driven by space and time correlated noise
Jingyu Huang, Khoa Lê, David Nualart
We consider the linear stochastic heat equation on , driven by a Gaussian noise which is colored in time and space. The spatial covariance satisfies general assump…
Multistage Portfolio Optimization: A Duality Result in Conic Market Models
Robert Bassett, Khoa Le
We prove a general duality result for multi-stage portfolio optimization problems in markets with proportional transaction costs. The financial market is described by Kabanov's mod…