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math.PR2025
On the density of singular SDEs with fractional noise and applications to McKean-Vlasov equations
Lukas Anzeletti, Lucio Galeati, Alexandre Richard +1
We investigate properties of the (conditional) law of the solution to SDEs driven by fractional Brownian noise with a singular, possibly distributional, drift. Our results on the l…
math.PR2016★ 2 cited
An unbiased Monte Carlo estimator for derivatives. Application to CIR
Victor Reutenauer, Etienne Tanré
In this paper, we present extensions of the exact simulation algorithm introduced by Beskos et al. (2006). First, a modification in the order in which the simulation is done accele…
math.PR2014★ 1 cited
Particle systems with a singular mean-field self-excitation. Application to neuronal networks
F. Delarue, J. Inglis, S. Rubenthaler +1
We discuss the construction and approximation of solutions to a nonlinear McKean-Vlasov equation driven by a singular self-excitatory interaction of the mean-field type. Such an eq…