425 citations
- École PolytechniqueFR269 papers
- Centre National de la Recherche ScientifiqueFR63 papers
- Laboratoire de Probabilités et Modèles AléatoiresFR15 papers
- Laboratoire de Mathématiques Blaise PascalFR14 papers
- Centre de Recherche en Mathématiques de la DécisionFR13 papers
- Institut national de recherche en sciences et technologies du numériqueFR12 papers
- Université Paris NanterreFR12 papers
- Université Paris-SaclayFR12 papers
- Laboratoire Analyse et Modélisation pour la Biologie et l'EnvironnementFR10 papers
- Centre Inria de SaclayFR9 papers
- Institut Universitaire de FranceFR9 papers
- Laboratoire de Mathématiques d'OrsayFR9 papers
4 papers · 2 filters
Lyapunov-type conditions and stochastic differential equations driven by -Brownian motion
Xinpeng Li, Xiangyun Lin, Yiqing Lin
This paper studies the solvability and the stability of stochastic differential equations driven by G-Brownian motion (GSDEs). In particular, the existence and uniqueness of the so…
Comparison of Viscosity Solutions of Semi-linear Path-Dependent PDEs
Zhenjie Ren, Nizar Touzi, Jianfeng Zhang
This paper provides a probabilistic proof of the comparison result for viscosity solutions of path-dependent semilinear PDEs. We consider the notion of viscosity solutions introduc…
Almost sure optimal hedging strategy
Emmanuel Gobet, Nicolas Landon
In this work, we study the optimal discretization error of stochastic integrals, in the context of the hedging error in a multidimensional Itô model when the discrete rebalancing d…
A stochastic Fokker-Planck equation and double probabilistic representation for the stochastic porous media type equation
Viorel Barbu, Michael Röckner, Francesco Russo
The purpose of the present paper consists in proposing and discussing a double probabilistic representation for a porous media equation in the whole space perturbed by a multiplica…