2 papers
math.PR2024
Lipschitz continuity in the Hurst parameter of functionals of stochastic differential equations driven by a fractional Brownian motion
Alexandre Richard, Denis Talay
Sensitivity analysis w.r.t. the long-range/memory noise parameter for probability distributions of functionals of solutions to stochastic differential equations is an important sto…
math.ST2024
A hypothesis test for the domain of attraction of a random variable
Héctor Olivero, Denis Talay
In this work we address the problem of detecting whether a sampled probability distribution of a random variable has infinite first moment. This issue is notably important when…