8 citations · 31 across the 24 of their papers we have counts for
33 papers
Consistency and Convergence of the Backward-Euler Scheme for Stochastic Functional Differential Equations Driven by Fractional Brownian Motion
Alexander Abreu, Lisandro Fermin, Ernesto Mordecki +1
We study the backward-Euler scheme for a class of stochastic functional differential equations (SFDEs) with memory driven by a fractional Brownian motion with Hurst parameter H > 1…
A contiguity approach to replica symmetric marginals
Ernesto Mordecki, Anas A. Rahman, Manuel Sáenz
We develop a probabilistic cavity-contiguity framework for proving replica-symmetric convergence of local marginals in mean-field Gibbs systems. The approach is based on cavity dec…
Optimal stopping for Markov processes with positive jumps
Fabian Crocce, Ernesto Mordecki
Consider the discounted optimal stopping problem for a real valued Markov process with only positive jumps. We provide a theorem to verify that the optimal stopping region has the…
Two sided ergodic singular control and mean field game for diffusions
Sören Christensen, Ernesto Mordecki, Facundo Oliú Eguren
In a probabilistic mean-field game driven by a linear diffusion an individual player aims to minimize an ergodic long-run cost by controlling the diffusion through a pair of -- inc…
Diffusion spiders: Green kernel, excessive functions and optimal stopping
Jukka Lempa, Ernesto Mordecki, Paavo Salminen
A diffusion spider is a strong Markov process with continuous paths taking values on a graph with one vertex and a finite number of edges (of infinite length). An example is Walsh'…
Large Deviation Principle for the Greedy Exploration Algorithm over Erdös-Rényi Graphs
P. Bermolen, V. Goicoechea, M. Jonckheere +1
We prove a large deviation principle for a greedy exploration process on an Erdös-Rényi (ER) graph when the number of nodes goes to infinity. To prove our main result, we use the g…