7 citations · 10 across the 4 of their papers we have counts for
4 papers · 1 filter
Dynamic minimisation of the commute time for a one-dimensional diffusion
Ma. Elena Hernández-Hernández, Saul Jacka
Motivated in part by a problem in simulated tempering (a form of Markov chain Monte Carlo) we seek to minimise, in a suitable sense, the time it takes a (regular) diffusion with in…
A generalisation of the Burkholder-Davis-Gundy inequalities
Saul Jacka, Ma. Elena Hérnandez-Hérnandez
{Consider a càdlàg local martingale with square brackets . In this paper, we provide upper and lower bounds for expectations of the type , for any…
Martingale approach to control for general jump processes
Ma. Elena Hernández-Hernández, Saul Jacka, Aleksandar Mijatović
We provide verification theorems (at different levels of generality) for infinite horizon stochastic control problems in continuous time for semimartingales. The control framework…
On the probabilistic approach to the solution of generalized fractional differential equations of Caputo and Riemann-Liouville type
M. E. Hernández-Hernández, V. N. Kolokoltsov
This paper provides a probabilistic approach to solve linear equations involving Caputo and Riemann-Liouville type derivatives. Using the probabilistic interpretation of these oper…