Browsing 01 Mathematical Sciences by Author "Nikeghbali Ashkan"

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Browsing 01 Mathematical Sciences by Author "Nikeghbali Ashkan"

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  • Cheridito Patrick; Nikeghbali Ashkan; Platen Eckhard (Society for Industrial and Applied Mathematics, 2012)
    We propose a general framework for studying last passage times, suprema, and drawdowns of a large class of continuous-time stochastic processes. Our approach is based on processes of class Sigma and the more general concept ...