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26 papers · 1 filter
An Entropy Regularized BSDE Approach to Bermudan Options and Games
Noufel Frikha, Libo Li, Daniel Chee
In this paper, we investigate optimal stopping problems in a continuous-time framework where only a discrete set of stopping dates is admissible, corresponding to the Bermudan opti…
Random walks with stochastic resetting in complex networks: a discrete time approach
Thomas M. Michelitsch, Giuseppe D'Onofrio, Federico Polito +1
We consider a discrete-time Markovian random walk with resets on a connected undirected network. The resets, in which the walker is relocated to randomly chosen nodes, are governed…
Integration by parts formula for exit times of one dimensional diffusions
Noufel Frikha, Arturo Kohatsu-Higa, Libo Li
In line with the methodology introduced in our recent article for formulating probabilistic representations of integration by parts involving killed diffusion, we establish an inte…
Fluctuations of lattice zonotopes and polygons
Théophile Buffière, Philippe Marchal
Following Barany et al., who proved that large random lattice zonotopes converge to a deterministic shape in any dimension after rescaling, we establish a central limit theorem for…
Speed of convergence of time Euler schemes for a stochastic 2D Boussinesq model
Hakima Bessaih, Annie Millet
We prove that an implicit time Euler scheme for the 2D-Boussinesq model on the torus converges. Various moment of the -norms of the velocity and temperature, as well a…
The Laplace transform of the integrated Volterra Wishart process
Eduardo Abi Jaber
We establish an explicit expression for the conditional Laplace transform of the integrated Volterra Wishart process in terms of a certain resolvent of the covariance function. The…