2 citations · 3 across the 4 of their papers we have counts for
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The Skorokhod embedding problem for inhomogeneous diffusions
Stefan Ankirchner, Stefan Engelhardt, Alexander Fromm +1
We solve the Skorokhod embedding problem for a class of stochastic processes satisfying an inhomogeneous stochastic differential equation (SDE) of the form $d A_t =μ(t, A_t) d t +…
On the Hausdorff dimension of a 2-dimensional Weierstrass curve
Peter Imkeller, Goncalo dos Reis
We compute the Hausdorff dimension of a two-dimensional Weierstrass function, related to lacunary (Hadamard gap) power series, that has no Lévy area. This is done by interpreting i…
Importance sampling for McKean-Vlasov SDEs
Goncalo dos Reis, Greig Smith, Peter Tankov
This paper deals with the Monte-Carlo methods for evaluating expectations of functionals of solutions to McKean-Vlasov Stochastic Differential Equations (MV-SDE) with drifts of sup…