4 papers · 1 filter
Quantitative approximation of the Burgers and Keller-Segel equations by moderately interacting particles
Christian Olivera, Alexandre Richard, Milica Tomasevic
In this work we obtain rates of convergence for two moderately interacting stochastic particle systems with singular kernels associated to the viscous Burgers and Keller-Segel equa…
Long time Hurst regularity of fractional SDEs and their ergodic means
El Mehdi Haress, Alexandre Richard
The fractional Brownian motion can be considered as a Gaussian field indexed by , where is the Hurst parameter. On compact time intervals…
Numerical approximation of SDEs with fractional noise and distributional drift
Ludovic Goudenège, El Mehdi Haress, Alexandre Richard
We study the numerical approximation of SDEs with singular drifts (including distributions) driven by a fractional Brownian motion. Under the Catellier-Gubinelli condition that imp…
Lipschitz continuity in the Hurst parameter of functionals of stochastic differential equations driven by a fractional Brownian motion
Alexandre Richard, Denis Talay
Sensitivity analysis w.r.t. the long-range/memory noise parameter for probability distributions of functionals of solutions to stochastic differential equations is an important sto…