2 papers
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…
math.PR2018
Numerical Probabilistic Approach to MFG
Andrea Angiuli, Christy V. Graves, Houzhi Li +3
This project investigates numerical methods for solving fully coupled forward-backward stochastic differential equations (FBSDEs) of McKean-Vlasov type. Having numerical solvers fo…