Holly Brannelly

University College London

Gower Street

London, WC1E 6BT

United Kingdom

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Quantile Diffusions

Number of pages: 35 Posted: 13 Jan 2020
Holly Brannelly, Andrea Macrina and Gareth Peters
University College London, University College London and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
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Abstract:

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Continuous-time diffusion processes, quantiles, rank transmutation map, Tukey g-h transforms, skew, kurtosis, SDE, weak/strong solutions