2 papers
math.PR2026
Moments in Rough Bergomi and Boundary Attainment in Rough Heston
Arthur Bourdon, Thibault Jeannin
We study two probabilistic questions for stochastic Volterra equations arising in rough volatility. These equations underlie some of the most popular non-Markovian stochastic volat…
math.PR2025
On the surjectivity of the conditional expectation given a real random variable
Julien Guyon, Thibault Jeannin, Benjamin Jourdain
In this paper, we investigate the distributions of random couples with real-valued such that any non-negative integrable random variable can be represented as a…