4. Mathematics
  5. Classical Analysis and ODEs

Vilmos Prokaj

Mathematics – Classical Analysis and ODEs

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Diffusions with Rank-Based Characteristics and Values in the Nonnegative Quadrant

Mathematics – Probability
Scientific paper

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Planar Diffusions with Rank-Based Characteristics: Transition Probabilities, Time Reversal, Maximality and Perturbed Tanaka equations

Mathematics – Probability
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Shadow price in the power utility case

Economy – Quantitative Finance – Portfolio Management
Scientific paper

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The Fixed Point of the Composition of Derivatives

Mathematics – Classical Analysis and ODEs
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The solution of the perturbed Tanaka--equation is pathwise unique

Mathematics – Probability
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Profile ID: LFWR-SCP-P-123536

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