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math.PR2019
A control variate method driven by diffusion approximation
Josselin Garnier, Laurent Mertz
In this paper we examine a control variate estimator for a quantity that can be expressed as the expectation of a functional of a random process, that is itself the solution of a d…
math.PR2018
Penalization of non-smooth dynamical systems with noise : ergodicity and asymptotic formulae for threshold crossings probabilities
Mathieu Lauriere, Laurent Mertz
The purpose of this paper is to prove ergodicity and provide asymptotic formulae for probabilities of threshold crossing related to smooth approximations of three fundamental nonli…