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Kelly Criterion: From a Simple Random Walk to Lévy Processes.

Sergey V. LototskyAustin Pollok
Published in: SIAM J. Financial Math. (2021)
Keyphrases
  • random walk
  • markov chain
  • directed graph
  • link prediction
  • transition probabilities
  • spectral methods
  • flow graph
  • transition probability matrix
  • markov random walk
  • machine learning
  • search algorithm
  • nodes of a graph