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math.PR2026
A Small-Noise Analysis of Controlled Functional Differential Equations with Gaussian Noise
David Criens, Max Nendel
We study small-noise asymptotics for controlled functional differential equations driven by additive Gaussian noise. The Gaussian noise is modeled on an abstract Wiener space, cove…
math.PR2025
Chernoff-Mehler Approximation for Lévy Processes with Drift
Max Nendel
In this paper, we study an approximation scheme for Lévy processes with drift in terms of a representation that is akin to the celebrated Mehler formula for Lévy-Ornstein-Uhlenbe…