6 papers · 1 filter
Weak convergence of delay SDEs with applications to Carathéodory approximation
T. C. Son, N. T. Dung, N. V. Tan +3
In this paper, we consider a fundamental class of stochastic differential equations with time delays. Our aim is to investigate the weak convergence with respect to delay parameter…
Itô differential representation of singular stochastic Volterra integral equations
Nguyen Tien Dung
In this paper we obtain an Itô differential representation for a class of singular stochastic Volterra integral equations. As an application, we investigate the rate of convergence…
Kolmogorov distance between the exponential functionals of fractional Brownian motion
Nguyen Tien Dung
In this note, we investigate the continuity in law with respect to the Hurst index of the exponential functional of the fractional Brownian motion. Based on the techniques of Malli…
Gaussian lower bounds for the density via Malliavin calculus
Nguyen Tien Dung
In this paper, based on a known formula, we use a simple idea to get a new representation for the density of Malliavin differentiable random variables. This new representation is p…
Poisson and normal approximations for the measurable functions of independent random variables
Nguyen Tien Dung
In this paper we use a Malliavin-Stein type method to investigate Poisson and normal approximations for the measurable functions of infinitely many independent random variables. We…
Explicit rates of convergence in the multivariate CLT for nonlinear statistics
Nguyen Tien Dung
We investigate the multivariate central limit theorem for nonlinear statistics by means of Stein's method and Slepian's smart path interpolation method. Based on certain difference…