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math.PR2026
Pontryagin Maximum Principle in Free Probability Theory
Georg Schlüchtermann, Michael Wibmer
Motivated by the classical stochastic maximum principle, random matrices and free stochastic differential equations we, develop an analog maximum principle for control problems dri…
math.PR2025
On Milstein-Type Methods for Free Stochastic Differential Equations
Michael Wibmer, Georg Schlüchtermann
Previously, the authors derived an analog of the Euler-Maru\-yama method (fEMM) for free stochastic differential equations (fSDEs) and proved strong convergence of order in…
math.PR2019
Free CIR Processes
Holger Fink, Henry Port, Georg Schlüchtermann
For stochastic processes of non-commuting random variables we formulate a Cox-Ingersoll-Ross (CIR) stochastic differential equation in the context of free probability theory which…