2 citations · 3 across the 4 of their papers we have counts for
5 papers
The Multiplicative Chaos of Fractional Brownian Fields
Paul Hager, Eyal Neuman
We consider a family of fractional Brownian fields on , where denotes their Hurst parameter. We first define a rich class of normalizin…
A central bank strategy for defending a currency peg
Eyal Neuman, Alexander Schied, Chengguo Weng +1
We consider a central bank strategy for maintaining a two-sided currency target zone, in which an exchange rate of two currencies is forced to stay between two thresholds. To keep…
An improved uniqueness result for a system of stochastic differential equations related to the stochastic wave equation
C. Mueller, E. Neuman, M. Salins +1
We improve on the strong uniqueness results of [GLM+17], which deal with the following system of SDE. \begin{align*} dX_t&=Y_tdt \\ dY_t&=|X_{t}|^αdB_t \end{align*} and $X_0=x_0,Y_…
On Uniqueness and Blowup Properties for a Class of Second Order SDEs
Alejandro Gomez, Jong Jun Lee, Carl Mueller +2
As the first step for approaching the uniqueness and blowup properties of the solutions of the stochastic wave equations with multiplicative noise, we analyze the conditions for th…
Optimal Portfolio Liquidation in Target Zone Models and Catalytic Superprocesses
Eyal Neuman, Alexander Schied
We study optimal buying and selling strategies in target zone models. In these models the price is modeled by a diffusion process which is reflected at one or more barriers. Such m…