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pro vyhledávání: '"Kifer, Yuri"'
Autor:
Kifer, Yuri
We consider again the fast-slow motions setups in the continuous time $\frac {dX_N(t)}{dt}=N^{1/2} \sig(X_N(t))(\xi(tN))+b(X_N(t)),\, t\in [0,T]$ and the discrete time $X_N((n+1)/N)=X_N(n/N)+N^{-1/2}\sig(X_N(n/N))\xi(n)+N^{-1}b(X_N(n/N)),\, n=0,1,...
Externí odkaz:
http://arxiv.org/abs/2401.05038
Autor:
Kifer, Yuri
We obtain strong invariance principles for normalized multiple iterated sums and integrals of the form $\bbS_N^{(\nu)}(t)=N^{-\nu/2}\sum_{0\leq k_1<...
Externí odkaz:
http://arxiv.org/abs/2310.02665
Autor:
Kifer, Yuri
We obtain strong moment invariance principles for normalized multiple iterated sums and integrals of the form $\mathbb{S}^{(\nu)}(t)=N^{-\nu/2}\sum_{0\leq k_1<...
Externí odkaz:
http://arxiv.org/abs/2306.13376
Autor:
Kifer, Yuri
The paper deals with the fast-slow motions setups in the discrete time $X^\epsilon((n+1)\epsilon)=X^\epsilon(n\epsilon)+\epsilon B(X^\epsilon(n\epsilon),\xi(n))$, $n=0,1,...,[T/\epsilon]$ and the continuous time $\frac {dX^\epsilon(t)}{dt}=B(X^\epsil
Externí odkaz:
http://arxiv.org/abs/2209.10364
Autor:
Friz, Peter, Kifer, Yuri
The paper deals with the fast-slow motions setups in the continuous time $\frac {dX^\ve(t)}{dt}=\frac 1\ve\sig(X^\ve(t))\xi(t/\ve^2)+b(X^\ve(t)),\, t\in [0,T]$ and the discrete time $X_N((n+1)/N)=X_N(n/N)+N^{-1/2}\sig(X_N(n/N))\xi(n))+N^{-1}b(X_N(n/N
Externí odkaz:
http://arxiv.org/abs/2111.05390
Autor:
Kifer, Yuri
The paper deals with the fast-slow motions setups in the continuous time $\frac {dX^(t)}{dt}=\frac 1\varepsilon B(X^\varepsilon(t),\xi(t/\varepsilon^2))+b(X^\varepsilon(t),\,\xi(t/\varepsilon^2)),\, t\in [0,T]$ and the discrete time $X^\varepsilon((n
Externí odkaz:
http://arxiv.org/abs/2105.01940
Error estimates for discrete approximations of game options with multivariate diffusion asset prices
Autor:
Kifer, Yuri
Publikováno v:
Journal of Stochastic Analysis 2 (2021), no.3, article 8
We obtain error estimates for strong approximations of a diffusion with a diffusion matrix $\sigma$ and a drift b by the discrete time process defined recursively X_N((n+1)/N) = X_N(n/N)+N^{1/2}\sigma(X_N(n/N))\xi(n+1)+N^{-1}b(XN(n/N)); where \xi(n);
Externí odkaz:
http://arxiv.org/abs/2012.01257
Autor:
Kifer, Yuri
It is known that the slow motion $X^\varepsilon$ in the time-scaled multidimensional averaging setup $\frac {dX^\varepsilon(t)}{dt}=\frac 1\varepsilon B(X^\varepsilon(t),\,\xi(t/\varepsilon^2))+b(X^\varepsilon(t),\,\xi(t/\ve^2)),\, t\in [0,T]$ conver
Externí odkaz:
http://arxiv.org/abs/2011.07907
We consider a one dimensional ballistic nearest-neighbor random walk in a random environment. We prove an Erd\H{o}s-R\'enyi strong law for the increments.
Comment: 43 pages
Comment: 43 pages
Externí odkaz:
http://arxiv.org/abs/2004.12514