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Exact and Limiting Distributions in Diagonal Pólya Processes

Balaji, Srinivasan; Mahmoud, Hosam - In: Annals of the Institute of Statistical Mathematics 58 (2006) 1, pp. 171-185

Persistent link: https://www.econbiz.de/10005616465

Uniform correlation structure and convex stochastic ordering in the pólya urn scheme

Calabrese, Raffaella - 2012

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A reversible allelic partition process and Pitman sampling formula

Giordano, Matteo; De Blasi, Pierpaolo; Ruggiero, Matteo - 2020

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Robust analysis of the Martingale Hypothesis

Gouriéroux, Christian; Jasiak, Joann - 2016

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Markovian switching of mutation rates in evolutionary network dynamics

Vlasic, Andrew Yardley - In: International game theory review 23 (2021) 3, pp. 1-18

Persistent link: https://www.econbiz.de/10012649722

When to efficiently rebalance a portfolio

Ando, Masayuki - In: Quantitative finance 24 (2024) 9, pp. 1235-1245

Persistent link: https://www.econbiz.de/10015196882

A local volatility correction to mean-reverting stochastic volatility model for pricing derivatives

Kim, Donghyun; Ha, Mijin; Kim, Jeong-Hoon; Yoon, Ji-Hun - In: The quarterly review of economics and finance 97 (2024), pp. 1-14

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Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment

Bichuch, Maxim - In: Finance and stochastics 18 (2014) 3, pp. 651-694

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Generalized Barndorff-Nielsen and Shephard model and discretely monitored option pricing

Yamazaki, Akira - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-34

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Sensitivity of optimal consumption streams

Herdegen, Martin; Muhle-Karbe, Johannes - 2015

We study the sensitivity of optimal consumption streams with respect to perturbations of the random endowment. At the leading order, the consumption adjustment does not matter: any choice that matches the budget constraint simply shifts the original utility by the marginal value of the...

Persistent link: https://www.econbiz.de/10011412135