688 citations
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5 papers · 2 filters
Regularization in for the Ornstein--Uhlenbeck semigroup
Joseph Lehec
Let be the standard Gaussian measure on and let be the Ornstein--Ulhenbeck semigroup. Eldan and Lee recently established that for every non--negative fu…
A decomposition approach for the discrete-time approximation of FBSDEs with a jump
Idris Kharroubi, Thomas Lim
We are concerned with the discretization of a solution of a Forward-Backward stochastic differential equation (FBSDE) with a jump process depending on the Brownian motion. In this…
Optimal Skorokhod embedding given full marginals and Azema-Yor peacocks
Sigrid Kallblad, Xiaolu Tan, Nizar Touzi
We consider the optimal Skorokhod embedding problem (SEP) given full marginals over the time interval . The problem is related to the study of extremal martingales associate…
A pseudo-Markov property for controlled diffusion processes
Julien Claisse, Denis Talay, Xiaolu Tan
In this note, we propose two different approaches to rigorously justify a pseudo-Markov property for controlled diffusion processes which is often (explicitly or implicitly) used t…
A note on the Malliavin-Sobolev spaces
Peter Imkeller, Thibaut Mastrolia, Dylan Possamaï +1
In this paper, we provide a strong formulation of the stochastic G{â}teaux differentiability in order to study the sharpness of a new characterization, introduced in [6], of the Ma…