20 citations · 62 across the 13 of their papers we have counts for
9 papers · 1 filter
Strong regularization by noise for a class of kinetic SDEs driven by symmetric α-stable processes
Giacomo Lucertini, Stéphane Menozzi, Stefano Pagliarani
We establish strong well-posedness for a class of degenerate SDEs of kinetic type with autonomous diffusion driven by a symmetric -stable process under Hölder regularity conditi…
Strong regularization by noise for kinetic SDEs
Giacomo Lucertini, Stefano Pagliarani, Andrea Pascucci
In this paper we prove strong well-posedness for a system of stochastic differential equations driven by a degenerate diffusion satisfying a weak-type Hörmander condition, assuming…
A Yosida's parametrix approach to Varadhan's estimates for a degenerate diffusion under the weak Hörmander condition
Stefano Pagliarani, Sergio Polidoro
We adapt and extend Yosida's parametrix method, originally introduced for the construction of the fundamental solution to a parabolic operator on a Riemannian manifold, to derive V…
On the stochastic Magnus expansion and its application to SPDEs
Kevin Kamm, Stefano Pagliarani, Andrea Pascucci
We derive the stochastic version of the Magnus expansion for linear systems of stochastic differential equations (SDEs). The main novelty with respect to the related literature is…
A Fourier-based Picard-iteration approach for a class of McKean-Vlasov SDEs with Lévy jumps
Ankush Agarwal, Stefano Pagliarani
We consider a class of Lévy-driven stochastic differential equations (SDEs) with McKean-Vlasov (MK-V) interaction in the drift coefficient. It is assumed that the coefficient is bo…
Local densities for a class of degenerate diffusions
Alberto Lanconelli, Stefano Pagliarani, Andrea Pascucci
We study a class of R^d-valued continuous strong Markov processes that are generated, only locally, by an ultra-parabolic operator with coefficients that are regular w.r.t. the int…
Intrinsic expansions for averaged diffusion processes
S. Pagliarani, A. Pascucci, M. Pignotti
We show that the rate of convergence of asymptotic expansions for solutions of SDEs is generally higher in the case of degenerate (or partial) diffusion compared to the elliptic ca…
The exact Taylor formula of the implied volatility
Stefano Pagliarani, Andrea Pascucci
In a model driven by a multi-dimensional local diffusion, we study the behavior of implied volatility σ and its derivatives with respect to log-strike k and maturity T near expiry…
A family of density expansions for Lévy-type processes
Matthew Lorig, Stefano Pagliarani, Andrea Pascucci
We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential Levy-type martingale subject to default. This class of models allows for local v…