E. Neuman

activity

20152022

H = 0

Fractional Brownian Fields

2 citations · 3 across the 5 of their papers we have counts for

collaborators

Showing 2018Show all

2 papers · 1 filter

q-fin.TR2018

Static vs Adaptive Strategies for Optimal Execution with Signals

Claudio Bellani, Damiano Brigo, Alex Done +1

We compare optimal static and dynamic solutions in trade execution. An optimal trade execution problem is considered where a trader is looking at a short-term price predictive sign…

math.PR2018

Hitting Probabilities of a Brownian flow with Radial Drift

Jong Jun Lee, Carl Mueller, Eyal Neuman

We consider a stochastic flow $ϕ_{t} (x, ω)$ in $R^{n}$ with initial point $ϕ_{0} (x, ω) = x$ , driven by a single $n$ -dimensional Brownian motion, and with an outward radial drift of…