output
20022011
most citedA regression-based Monte Carlo method to solve backward stochastic differential equations

425 citations

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Showing 2009Show all

5 papers · 1 filter

math.AP2009★ 11 cited

Decay of Positive Waves for Hyperbolic Systems of Balance Laws

Paola Goatin, Laurent Gosse

We prove Ole\u ınik-type decay estimates for entropy solutions of strictly hyperbolic systems of balance laws built out of a wave-front tracking procedure inside which…

math.ST2009★ 55 cited

Integrated volatility and round-off error

Mathieu Rosenbaum

We consider a microstructure model for a financial asset, allowing for price discreteness and for a diffusive behavior at large sampling scale. This model, introduced by Delattre a…

nlin.AO2009★ 15 cited

French Roadmap for complex Systems 2008-2009

Paul Bourgine, David Chavalarias, Edith Perrier +78

This second issue of the French Complex Systems Roadmap is the outcome of the Entretiens de Cargese 2008, an interdisciplinary brainstorming session organized over one week in 2008…

math.PR2009★ 4 cited

Approximation of quasi-stationary distributions for 1-dimensional killed diffusions with unbounded drifts

Denis Villemonais

The long time behavior of an absorbed Markov process is well described by the limiting distribution of the process conditioned to not be killed when it is observed. Our aim is to g…

math.PR2009★ 24 cited

Transportation-information inequalities for Markov processes (II) : relations with other functional inequalities

Arnaud Guillin, Christian Leonard, Feng-Yu Wang +1

We continue our investigation on the transportation-information inequalities for a symmetric markov process, introduced and studied in \cite{GLWY}. We prove that impl…