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Preprints of 2008

Richard Bass
  • R.F. Bass and E.A. Perkins, Degenerate stochastic differential equations arising from catalytic branching networks [PDF]
  • M.T. Barlow, R.F. Bass, and T. Kumagai, Parabolic Harnack inequality and heat kernel estimates for random walks with long range jumps [PDF]
  • R.F. Bass and K. Gröchenig, Random sampling of band-limited functions [PDF]
  • R.F. Bass and H. Tang, The martingale problem for a class of stable-like processes [PDF]

Maria Gordina
  • M. Gordina, M. Wu, Diffeomorphisms of the circle and Brownian motions on an infinite-dimensional symplectic group, to appear in Communications on Stochastic Analysis [PDF] [arXiv]
  • B. Driver, M. Gordina, Heat kernel analysis on infinite-dimensional Heisenberg groups [PDF] [arXiv]
  • B. Driver, M. Gordina, Integrated Harnack Inequalities on Lie Groups [PDF] [arXiv]
  • B. Driver, M. Gordina, Square integrable holomorphic functions on infinite-dimensional Heisenberg type groups [PDF] [arXiv]

Emiliano Valdez
  • Steven Vanduffel, Zhaoning Shang, Luc Henrard, Jan Dhaene and Emiliano A. Valdez, Analytic Bounds and Approximations for Annuities and Asian Options, Insurance: Mathematics and Economics, Vol. 42, No. 3 (2008), 1109-1117 [PDF]
  • Mahmoud Hamada and Emiliano A. Valdez, CAPM and Option Pricing with Elliptically Contoured Distributions, Journal of Risk and Insurance, Vol. 75, No. 2 (2008), 387-409 [PDF]
  • Edward W. Frees and Emiliano A. Valdez, Hierarchical Insurance Claims Modeling, Journal of the American Statistical Association, Vol. 103, No. 484 (2008), 1457-1469 [PDF]
  • Liang Wang, Emiliano A. Valdez and John Piggott, Securitization of Longevity Risk in Reverse Mortgages, North American Actuarial Journal, Vol 12, No. 4 (2008), 345-371 [PDF]