output
20122022
most citedOn the Optimal Stopping of a One-dimensional Diffusion

38 citations

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Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

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Showing 2016 · math.PRShow all

2 papers · 2 filters

math.PR2016★ 2 cited

Diffusions under a local strong Hörmander condition. Part I: density estimates

Vlad Bally, Lucia Caramellino, Paolo Pigato

We study lower and upper bounds for the density of a diffusion process in in a small (but not asymptotic) time, say . We assume that the diffusion coefficients…

math.PR2016★ 1 cited

Asymptotics for the normalized error of the Ninomiya-Victoir scheme

Anis Al Gerbi, Benjamin Jourdain, Emmanuelle Clément

In a previous work, we proved strong convergence with order of the Ninomiya-Victoir scheme with time step to the solution of the limiting SDE. In this pa…