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Non-uniform Berry-Esseen Estimates for Supercritical Branching Processes in Random Environments

Fan Xiequan, Wu Hao, Ye Yinna, Ye Yinna
2022-05-12 ChinaXiv: chinaxiv-202205.00042

Let $Z_n$ be a supercritical branching process in an i.i.d. environment. In this paper, we obtain two non-uniform Berry-Esseen bounds for $Z_n$. This result extends the Berry-Esseen bound of Grama et al. [Stochastic,Process.,Appl.,127(4),1255-1281,2017] to the non-uniform case. Finally, we discuss a…

Variable Volatility Elasticity Model for Commodity Markets

Gong, Fuzhou, Wang, Ting, Wang, Ting
2022-03-30 ChinaXiv: chinaxiv-202203.00120

In this paper, we propose and study a novel continuous-time model, based on the well-known constant elasticity of variance (CEV) model, to describe the asset price process. The basic idea is that the volatility elasticity of the CEV model cannot be treated as a constant from the perspective of stoch…