most citedA learning scheme by sparse grids and Picard approximations for semilinear parabolic PDEs

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math.PR2020

Probabilistic representation of integration by parts formulae for some stochastic volatility models with unbounded drift

Junchao Chen, Noufel Frikha, Houzhi Li

In this paper, we establish a probabilistic representation as well as some integration by parts formulae for the marginal law at a given time maturity of some stochastic volatility…