Dario Gasbarra

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20162023

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2 papers · 1 filter

math.PR2018

On a new Sheffer class of polynomials related to normal product distribution

Ehsan Azmoodeh, Dario Gasbarra

Consider a generic random element $F_{\infty} = \sum_{finite} λ_{k} (N_{k}^{2} - 1)$ in the second Wiener chaos with a finite number of non-zero coefficients in the spectral represent…

math.PR2016

Convergence rate for the hedging error of a path-dependent example

Dario Gasbarra, Anni Laitinen

We consider a Brownian functional $F = g (\int_{0}^{T} η (s) d W_{s})$ with $g \in L_{2} (γ)$ and a singular deterministic $η$ . We deduce the $L_{2}$ -convergence rate for the approximati…