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math.PR2015
On the Maximal Displacement of Subcritical Branching Random Walks
Eyal Neuman, Xinghua Zheng
We study the maximal displacement of a one dimensional subcritical branching random walk initiated by a single particle at the origin. For each let be the…
q-fin.PM2015★ 1 cited
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…