Results 1 to 10 of about 48,781 (279)
Precise asymptotics: robust stochastic volatility models [PDF]
The Annals of Applied Probability, 2018 We present a new methodology to analyze large classes of (classical and rough) stochastic volatility models, with special regard to short-time and small noise formulae for option prices.
Friz, Peter K. +2 more
core +5 more sources
Precise Asymptotics for a Random Walker's Maximum [PDF]
Journal of Statistical Mechanics: Theory and Experiment, 2005 We consider a discrete time random walk in one dimension. At each time step the walker jumps by a random distance, independent from step to step, drawn from an arbitrary symmetric density function. We show that the expected positive maximum E[M_n] of the
Abramowitz M +19 more
core +3 more sources
On random trees and forests [PDF]
ESAIM: Proceedings and Surveys, 2023 The first talk at the session Random trees and random forests “Journée MAS” (27/08/2021) was presented by I. Kortchemski. After a general up-to-date introduction to local and scaling limits of Bienaymé trees (which are discrete branching trees), he ...
Contat Alice +4 more
doaj +1 more source
Precise asymptotics – A general approach
Acta Mathematica Hungarica, 2012 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Gut, A., Steinebach, J.
openaire +4 more sources
Towards elliptic deformation of q,t-matrix models
Physics Letters B, 2021 As a necessary step in construction of elliptic matrix models, which preserve the superintegrability property ∼char, we suggest an elliptic deformation of the peculiar loci pkΔn, which play an important role in precise formulation of this property.
Andrei Mironov, Alexei Morozov
doaj +1 more source
Precise Asymptotics for Bifurcation Curve of Nonlinear Ordinary Differential Equation
Mathematics, 2020 We study the following nonlinear eigenvalue problem −u″(t)=λf(u(t)),u(t)>0,t∈I:=(−1,1),u(±1)=0, where f(u)=log(1+u) and λ>0 is a parameter. Then λ is a continuous function of α>0, where α is the maximum norm α=∥uλ∥∞ of the solution uλ associated with λ ...
Tetsutaro Shibata
doaj +1 more source
A note on the convergence rates in precise asymptotics
Journal of Inequalities and Applications, 2019 Let {X,Xn,n≥1} $\{X, X_{n}, n\geq1\}$ be a sequence of i.i.d. random variables with EX=0 $EX=0$, EX2=σ2 $EX^{2}=\sigma^{2}$. Set Sn=∑k=1nXk $S_{n}=\sum_{k=1}^{n}X_{k}$ and let N ${\mathcal {N} }$ be the standard normal random variable. Let g(x) $g(x)$ be
Yong Zhang
doaj +1 more source
Precise Large Deviations for Subexponential Distributions in a Multi Risk Model
Risks, 2018 The precise large deviations asymptotics for the sums of independent identical random variables when the distribution of the summand belongs to the class S ∗ of heavy tailed distributions is studied.
Dimitrios G. Konstantinides
doaj +1 more source
On the tails of the limiting Quicksort distribution [PDF]
, 2015 We give asymptotics for the left and right tails of the limiting Quicksort distribution. The results agree with, but are less precise than, earlier non-rigorous results by Knessl and Spankowski.Comment: 8 pages.
Janson, Svante
core +1 more source