Related papers: Higher-order ATM asymptotics for the CGMY model vi…
In this paper we establish the error rate of first order asymptotic approximation for the tail probability of sums of log-elliptical risks. Our approach is motivated by extreme value theory which allows us to impose only some weak…
The reflected process of a random walk or L\'evy process arises in many areas of applied probability, and a question of particular interest is how the tail of the distribution of the heights of the excursions away from zero behaves…
We numerically compute the flow of an electrically conducting fluid in a Taylor-Couette geometry where the rotation rates of the inner and outer cylinders satisfy $\Omega_o/\Omega_i=(r_o/r_i)^{-3/2}$. In this quasi-Keplerian regime a…
We take the first step in extending the integrability approach to one-point functions in AdS/dCFT to higher loop orders. More precisely, we argue that the formula encoding all tree-level one-point functions of SU(2) operators in the defect…
The late-time growth of single-mode immiscible Rayleigh-Taylor instability is investigated over a comprehensive range of the Reynolds numbers ($1\leq Re \leq 10000$) and Atwood numbers $(0.05 \leq A \leq 0.7)$ using an improved lattice…
For theories that exhibit second order phase transition, we conjecture that the large-order asymptotic behavior of the strong-coupling ( High-Temperature) series expansion takes the form $\sigma^{n} n^{b}$ where $b$ is a universal…
We consider two sharp next-order asymptotics problems, namely the asymptotics for the minimum energy for optimal point configurations and the asymptotics for the many-marginals Optimal Transport, in both cases with Riesz costs with inverse…
In this work we study the asymptotic behavior of solutions for a general linear second-order evolution differential equation in time with fractional Laplace operators in $\mathbb{R}^n$. We obtain improved decay estimates with less demand on…
In exponential semi-martingale setting for risky asset we estimate the difference of prices of options when initial physical measure $P$ and corresponding martingale measure $Q$ change to $\tilde{P}$ and $\tilde{Q}$ respectively. Then, we…
In this paper we derive non-classical Tauberian asymptotic at infinity for the tail, the density and the derivatives thereof of a large class of exponential functionals of subordinators. More precisely, we consider the case when the L\'evy…
The z-transform technique is used to investigate the model for distribution of high-tax payers, which is proposed by two of the authors (K. Y and S. M) and others. Our analysis shows an asymptotic power-law of this model with the exponent…
This paper develops general approaches for pricing various types of American-style Parisian options (down-in/-out, perpetual/finite-maturity) with general payoff functions based on continuous-time Markov chain (CTMC) approximation under…
Classical Edgeworth expansions provide asymptotic correction terms to the Central Limit Theorem (CLT) up to an order that depends on the number of moments available. In this paper, we provide subsequent correction terms beyond those given…
We propose an extension of the preferential attachment scheme by allowing the connecting probability to depend on time t. We estimate the parameters involved in the model by minimizing the expected squared difference between the number of…
Consider a system of particles performing nearest neighbor random walks on the lattice $\ZZ$ under hard--core interaction. The rate for a jump over a given bond is direction--independent and the inverse of the jump rates are i.i.d. random…
We consider a quite general problem concerning a linear free oscillation of a discrete mass-spring-damper system. This discrete sub-system is embedded into a one-dimensional continuum medium described by the linear telegraph equation. In a…
This article deals with the asymptotic behaviour as $t\to +\infty$ of the survival function $P[T > t],$ where $T$ is the first passage time above a non negative level of a random process starting from zero. In many cases of physical…
Let $X$ be a real valued L\'evy process that is in the domain of attraction of a stable law without centering with norming function $c.$ As an analogue of the random walk results in \cite{vw} and \cite{rad} we study the local behaviour of…
We present sharp tail asymptotics for the density and the distribution function of linear combinations of correlated log-normal random variables, that is, exponentials of components of a correlated Gaussian vector. The asymptotic behavior…
We prove a law of large numbers and functional central limit theorem for a class of multivariate Hawkes processes with time-dependent reproduction rate. We address the difficulties induced by the use of non-convolutive Volterra processes by…