4 citations · 7 across the 6 of their papers we have counts for
7 papers
Stochastic processes associated to multidimensional parabolic transmission problems in divergence form
Pierre Etore, Miguel Martinez
In this note we define and study the stochastic process in link with a parabolic transmission operator in divergence form. The transmission operator involves a diffr…
A transformed stochastic Euler scheme for multidimensional transmission PDE
Pierre Etore, Miguel Martinez
In this paper we consider multi-dimensional partial differential equations of parabolic type involving divergence form operators that possess a discontinuous coefficient matrix alo…
L_1-distance for additive processes with time-homogeneous Lévy measures
Pierre Etore, Ester Mariucci
We give an explicit bound for the -distance between two additive processes of local characteristics , . The cases and are bo…
Exact simulation for solutions of one-dimensional Stochastic Differential Equations with discontinuous drift
Pierre Etore, Miguel Martinez
In this note we propose an exact simulation algorithm for the solution of dX_t=dW_t+b(X_t)dt (1) where b is a smooth real function except at point 0 where b(0+)\neq b(0-). The main…
On the existence of a time inhomogeneous skew Brownian motion and some related laws
Pierre Etore, M. Martinez
This article is devoted to the construction of a solution for the "skew inhomogeneous Brownian motion" equation, which first appear in a seminal paper by Sophie Weinryb (1983). We…
Exact Simulation of One-dimensional Stochastic Differential Equations involving the local time at zero of the unknown process
Pierre Etore, Miguel Martinez
In this article we extend the exact simulation methods of Beskos et al. to the solutions of one-dimensional stochastic differential equations involving the local time of the unknow…
Adaptive optimal allocation in stratified sampling methods
Pierre Etore, Benjamin Jourdain
In this paper, we propose a stratified sampling algorithm in which the random drawings made in the strata to compute the expectation of interest are also used to adaptively modify…