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math.PR2026
Rearranged Stochastic Heat Equations with an Entropy Gradient Structure
Francois Delarue, Rhoss Likibi Pellat
We extend a previously introduced one-dimensional diffusion model on the space of probability measures, defined via the rearranged stochastic heat equation by, penalizing the dynam…
math.PR2024
Time discretization of Quadratic Forward-Backward SDEs with singular drifts
Rhoss Likibi Pellat, Emmanuel Che Fonka, Olivier Menoukeu Pamen
We investigate the convergence rate for the time discretization of a class of quadratic backward SDEs -- potentially involving path-dependent terminal values -- when coupled with n…
math.PR2022
Differentiability of quadratic forward-backward SDEs with rough drift
Peter Imkeller, Rhoss Likibi Pellat, Olivier Menoukeu Pamen
In this paper, we consider quadratic forward-backward SDEs (QFBSDEs), for {which} the drift in the forward equation does not satisfy the standard globally Lipschitz condition and t…