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math.PR2014
A Multi-Step Richardson-Romberg Extrapolation Method For Stochastic Approximation
Noufel Frikha, Lorick Huang
We obtain an expansion of the implicit weak discretization error for the target of stochastic approximation algorithms introduced and studied in [Frikha2013]. This allows us to ext…
math.PR2014
A Parametrix Approach for some Degenerate Stable Driven SDEs
Lorick Huang, Stephane Menozzi
We consider a stable driven degenerate stochastic differential equation, whose coefficients satisfy a kind of weak H{ö}rmander condition. Under mild smoothness assumptions we prove…