V. Bally

most citedIntegration by parts formula for locally smooth laws and applications to sensitivity computations

47 citations · 67 across the 2 of their papers we have counts for

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math.PR2007★ 47 cited

Integration by parts formula for locally smooth laws and applications to sensitivity computations

Vlad Bally, Marie-Pierre Bavouzet, Marouen Messaoud

We consider random variables of the form $F = f (V_{1}, ..., V_{n})$ , where $f$ is a smooth function and $V_{i}, i \in N$ , are random variables with absolutely continuous law $p_i(y) dy…

math.PR2007★ 20 cited

Lower bounds for the density of locally elliptic Itô processes

Vlad Bally

We give lower bounds for the density $p_{T} (x, y)$ of the law of $X_{t}$ , the solution of $d X_{t} = σ (X_{t}) d B_{t} + b (X_{t}) d t, X_{0} = x,$ under the following local ellipticity hypothesis: there exi…