293 citations
- Freie Universität BerlinDE24 papers
- Technische Universität BerlinDE8 papers
- Humboldt-Universität zu BerlinDE5 papers
- Tel Aviv UniversityIL5 papers
- Exact Sciences (United States)US3 papers
- University of Illinois ChicagoUS3 papers
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- Institut des Hautes Études ScientifiquesFR2 papers
- Laboratoire de Probabilités et Modèles AléatoiresFR2 papers
- Max Planck Institute for Gravitational PhysicsDE2 papers
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4 papers · 1 filter
Scaling Limits of Stochastic Transport Equations on Manifolds
Wei Huang
In this work, we generalize some results on scaling limits of stochastic transport equations on the torus, developed recently by Flandoli, Galeati and Luo in Galeati (2020); Flando…
Dual Representation of Minimal Supersolutions of Convex BSDEs
Samuel Drapeau, Michael Kupper, Emanuela Rosazza Gianin +1
We give a dual representation of minimal supersolutions of BSDEs with non-bounded, but integrable terminal conditions and under weak requirements on the generator which is allowed…
FBSDE with time delayed generators: Lp-solutions, differentiability, representation formulas and path regularity
Gonçalo dos Reis, Anthony Réveillac, Jianing Zhang
We extend the work of Delong and Imkeller (2010a,b) concerning Backward stochastic differential equations with time delayed generators (delay BSDE). We give moment and a priori est…
The weak Stratonovich integral with respect to fractional Brownian motion with Hurst parameter 1/6
Ivan Nourdin, Anthony Réveillac, Jason Swanson
Let be a fractional Brownian motion with Hurst parameter . It is known that the symmetric Stratonovich-style Riemann sums for do not, in general, c…