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math.PR2026

Rearranged Stochastic Heat Equations with an Entropy Gradient Structure

Francois Delarue, Rhoss Likibi Pellat

The paper extends a one-dimensional diffusion model on probability measures by adding an entropy-driven gradient descent term to the rearranged stochastic heat equation, proving th…

math.PR2024

Time discretization of Quadratic Forward-Backward SDEs with singular drifts

Rhoss Likibi Pellat, Emmanuel Che Fonka, Olivier Menoukeu Pamen

We investigate the convergence rate for the time discretization of a class of quadratic backward SDEs -- potentially involving path-dependent terminal values -- when coupled with n…