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math.PR2019★ 7 cited
An asymptotic radius of convergence for the Loewner equation and simulation of traces via splitting
James Foster, Terry Lyons, Vlad Margarint
In this paper, we shall study the convergence of Taylor approximations for the backward Loewner differential equation (driven by Brownian motion) near the origin. More concretely,…
math.PR2019★ 1 cited
Convergence to closed-form distribution for the backward at some random times and the phase transition at
Terry J. Lyons, Vlad Margarint, Sina Nejad
We study a one-dimensional SDE that we obtain by performing a random time change of the backward Loewner dynamics in . The stationary measure for this SDE has a closed-…