114 citations · 979 across the 103 of their papers we have counts for
7 papers · 1 filter
Dynamical properties and characterization of gradient drift diffusions
Sébastien Darses, Ivan Nourdin
We study the dynamical properties of the Brownian diffusions having as diffusion coefficient matrix and as drift vector. We characterize this class through…
Trees and asymptotic developments for fractional stochastic differential equations
Andreas Neuenkirch, Ivan Nourdin, Andreas Rößler +1
In this paper we consider a n-dimensional stochastic differential equation driven by a fractional Brownian motion with Hurst parameter H>1/3. After solving this equation in a rathe…
On the absolute continuity of Lévy processes with drift
Ivan Nourdin, Thomas Simon
We consider the problem of absolute continuity for the one-dimensional SDE \[X_t=x+\int_0^ta(X_s) ds+Z_t,\] where is a real Lévy process without Brownian part and a functio…
Optimal control for rough differential equations
Laurent Mazliak, Ivan Nourdin
In this note, we consider an optimal control problem associated to a differential equation driven by a Hölder continuous function g of index greater than 1/2. We split our study in…
Stochastic derivatives for fractional diffusions
Sébastien Darses, Ivan Nourdin
In this paper, we introduce some fundamental notions related to the so-called stochastic derivatives with respect to a given -field . In our framework, we recall we…
Correcting Newton--Côtes integrals by Lévy areas
Ivan Nourdin, Thomas Simon
In this note we introduce the notion of Newton--Côtes functionals corrected by Lévy areas, which enables us to consider integrals of the type where is…