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math.PR2021
Markov Chain Approximations to Stochastic Differential Equations by Recombination on Lattice Trees
Francesco Cosentino, Harald Oberhauser, Alessandro Abate
We revisit the classical problem of approximating a stochastic differential equation by a discrete-time and discrete-space Markov chain. Our construction iterates Caratheodory's th…
math.PR2021★ 1 cited
Grid-Free Computation of Probabilistic Safety with Malliavin Calculus
Francesco Cosentino, Harald Oberhauser, Alessandro Abate
This work concerns continuous-time, continuous-space stochastic dynamical systems described by stochastic differential equations (SDE). It presents a new approach to compute probab…