3 papers
math.PR2025
Nonlinear weak error expansion of McKean-Vlasov stochastic differential equations
Benjamin Jourdain, Anh-Dung Le
According to Talay and Tubaro \cite{talay_expansion_1990}, the weak error between the solution to a stochastic differential equation with smooth coefficients and its Euler-Maruyama…
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…
math.PR2025
On the Weak Error for Local Stochastic Volatility Models
Peter K. Friz, Benjamin Jourdain, Thomas Wagenhofer +1
Local stochastic volatility refers to a popular model class in applied mathematical finance that allows for "calibration-on-the-fly", typically via a particle method, derived from…