Otis B. Jennings, “Heavy-Traffic Limits of Queueing Networks with Polling Stations: Brownian Motion in a Wedge”, Mathematics of OR, 33, no. 1, 2008, 12
Christian Palmes, Jeannette H. C. Woerner, “A mathematical analysis of the Gumbel test for jumps in stochastic volatility models”, Stochastic Analysis and Applications, 34, no. 5, 2016, 852
DAVID CRIENS, “A NOTE ON REAL-WORLD AND RISK-NEUTRAL DYNAMICS FOR HEATH–JARROW–MORTON FRAMEWORKS”, Int. J. Theor. Appl. Finan., 23, no. 03, 2020, 2050020
Martin Larsson, Johannes Ruf, “Convergence of local supermartingales”, Ann. Inst. H. Poincaré Probab. Statist., 56, no. 4, 2020
Lingfei Li, Rafael Mendoza-Arriaga, Zhiyu Mo, Daniel Mitchell, “Modelling electricity prices: a time change approach”, Quantitative Finance, 16, no. 7, 2016, 1089
Nikolaus Hautsch, Mark Podolskij, “Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence”, Journal of Business & Economic Statistics, 31, no. 2, 2013, 165
Valentin Féray, Igor Kortchemski, “The geometry of random minimal factorizations of a long cycle via biconditioned bitype random trees”, Annales Henri Lebesgue, 1, 2019, 149
Asymptotic Analyses for Complex Evolutionary Systems with Markov and Semi‐Markov Switching Using Approximation Schemes, 2020, 211
Xin Liu, Vidyadhar G. Kulkarni, Qi Gong, “ON BOUNCING GEOMETRIC BROWNIAN MOTIONS”, Prob. Eng. Inf. Sci., 33, no. 4, 2019, 591
Robert J. Elliott, Tak Kuen Siu, “Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes”, Applied Mathematical Finance, 20, no. 1, 2013, 1