## 7,761 Citations

### Explicit non-asymptotic bounds for the distance to the first-order Edgeworth expansion

- Mathematics
- 2021

In this article, we study bounds on the uniform distance between the cumulative distribution function of a standardized sum of independent centered random variables with moments of order four and its…

### Tail Risk Monotonicity Under Temporal Aggregation in GARCH(1,1) Models

- MathematicsSSRN Electronic Journal
- 2019

The stationary distribution of a GARCH(1,1) process has a power law decay, under broadly applicable conditions. We study the change in the exponent of the tail decay under temporal aggregation of…

### Dynamic reorganization of microtubule networks:building the new by breaking down the old

- Biology
- 2019

A stochastic model of dynamic microtubules is developed that analytically identified the key parameters that regulate the localization of actin in the cell and can be used as a starting point for theoretically studying the interaction between different cytoskeletal components.

### A Residual Theorem Approach Applied to Stokes’ Problems with Generally Periodic Boundary Conditions including a Pressure Gradient Term

- MathematicsMathematical Problems in Engineering
- 2018

The differential problem given by a parabolic equation describing the purely viscous flow generated by a constant or an oscillating motion of a boundary is the well-known Stokes’ problem. The…

### Pricing Exotic Power Options with a Brownian-Time-Changed Variance Gamma Process

- Economics
- 2017

This paper proposes a Brownian time change for modeling stochastic volatility and combines it with a drifted variance gamma process in deriving explicit pricing methods for exotic power options in…

### Conception et analyse de micro-résonateurs optiques pour la génération de peignes de fréquences

- Physics
- 2017

Les micro-resonateurs a modes de galerie, qu'ils soient declines sous forme de disques, anneaux ou hippodromes, sont devenus les elements constitutifs cles de nombreux composants photoniques de haute…

### Exact solution for the unforced Duffing oscillator with cubic and quintic nonlinearities

- Mathematics
- 2016

The nonlinear differential equation governing the periodic motion of the one-dimensional, undamped, unforced cubic–quintic Duffing oscillator is solved exactly, providing exact expressions for the…

### Modeling Spot Price Dependence in Australian Electricity Markets with Applications to Risk Management

- EconomicsComput. Oper. Res.
- 2016

A significant positive dependence structure is found between the prices for all considered markets, while the strongest dependence is exhibited between markets that are connected via interconnector transmission lines.

### Lagrangian time series models for ocean surface drifter trajectories

- Environmental Science, Mathematics
- 2016

The paper proposes stochastic models for the analysis of ocean surface trajectories obtained from freely drifting satellite-tracked instruments and details how practical issues related to sampling and model misspecification may be addressed by using semiparametric techniques for time series.