3 papers
math.PR2026
Signature McKean-Vlasov stochastic differential equations
Fred Espen Benth, Salvador Ortiz-Latorre, Leonardo Tarquini
McKean-Vlasov-type stochastic differential equations (SDEs) are characterized by coefficients depending on both the state and the law of the solution. In this work, we focus on a c…
math.PR2025
Convergence in law for quasi-linear SPDEs
Maria Jolis, Salvador Ortiz-Latorre, LluÃs Quer-Sardanyons
We consider the quasi-linear stochastic wave and heat equations in with and , respectively, and perturbed by an additive Gaussian noise whi…
q-fin.PR2024
A functional variational approach to pricing path dependent insurance policies
David R. Baños, Salvador Ortiz-Latorre, Oriol Zamora Font
The main purpose of this work is the derivation of a functional partial differential equation (FPDE) for the calculations of equity-linked insurance policies, where the payment str…