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math.PR2022★ 1 cited
Long-time behaviour of stochastic Hamilton-Jacobi equations
Paul Gassiat, Benjamin Gess, Pierre-Louis Lions +1
The long-time behavior of stochastic Hamilton-Jacobi equations is analyzed, including the stochastic mean curvature flow as a special case. In a variety of settings, new and sharpe…
math.PR2022
Perturbations of singular fractional SDEs
Paul Gassiat, Łukasz Mądry
We obtain well-posedness results for a class of ODE with a singular drift and additive fractional noise, whose right-hand-side involves some bounded variation terms depending on th…
q-fin.CP2022
Weak error rates of numerical schemes for rough volatility
Paul Gassiat
Simulation of rough volatility models involves discretization of stochastic integrals where the integrand is a function of a (correlated) fractional Brownian motion of Hurst index…