Results 31 to 40 of about 980 (56)
A white noise approach to insider trading
, 2015 We present a new approach to the optimal portfolio problem for an insider with logarithmic utility. Our method is based on white noise theory, stochastic forward integrals, Hida-Malliavin calculus and the Donsker delta function.Comment: arXiv admin note:
Røse, Elin, Øksendal, Bernt
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An isoperimetric inequality for the Wiener sausage
, 2011 Let $(\xi(s))_{s\geq 0}$ be a standard Brownian motion in $d\geq 1$ dimensions and let $(D_s)_{s \geq 0}$ be a collection of open sets in $\R^d$. For each $s$, let $B_s$ be a ball centered at 0 with $\vol(B_s) = \vol(D_s)$. We show that $\E[\vol(\cup_{s \
Peres, Yuval, Sousi, Perla
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Analytical and Numerical Treatments of Conservative Diffusions and the Burgers Equation. [PDF]
Entropy (Basel), 2018 Prodanov D.
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Brownian motion and parabolic Anderson model in a renormalized Poisson potential
, 2012 Xia Chen, A. Kulik
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Loop-Erased Walks and Random Matrices. [PDF]
J Stat Phys, 2019 Arista J, O'Connell N.
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Precise small deviations in L 2 of some Gaussian processes appearing in the regression context
Open Mathematics, 2014 Kirichenko Alisa, Nikitin Ya.
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Torsional Rigidity of Minimal Submanifolds
, 2006 S. Markvorsen, V. Palmer
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FRACTALS WITH POINT IMPACT IN FUNCTIONAL LINEAR REGRESSION. [PDF]
Ann Stat, 2010 McKeague IW, Sen B.
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Limiting angle of brownian motion in certain two-dimensional Cartan-Hadamard manifolds
, 1992 P. Hsu, W. Kendall
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