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Showing 2017 · math.PRShow all
3 papers · 2 filters
math.PR2017★ 2 cited
A radial invariance principle for non-homogeneous random walks
Nicholas Georgiou, Aleksandar Mijatović, Andrew R. Wade
Consider non-homogeneous zero-drift random walks in , , with the asymptotic increment covariance matrix satisfying $\mathbf{u}^\top σ^2 (…
math.PR2017★ 5 cited
Asymptotic behaviour of randomised fractional volatility models
B. Horvath, A. Jacquier, C. Lacombe
We study the asymptotic behaviour of a class of small-noise diffusions driven by fractional Brownian motion, with random starting points. Different scalings allow for different asy…
math.PR2017★ 26 cited
Iterative Particle Approximation for McKean-Vlasov SDEs with application to Multilevel Monte Carlo estimation
Lukasz Szpruch, Shuren Tan, Alvin Tse
The mean field limits of systems of interacting diffusions (also called stochastic interacting particle systems (SIPS)) have been intensively studied since McKean \cite{mckean1966c…