38 citations · 150 across the 39 of their papers we have counts for
Showing 2019Show all
2 papers · 1 filter
math.PR2019★ 4 cited
Inverting the Markovian projection, with an application to local stochastic volatility models
Daniel Lacker, Mykhaylo Shkolnikov, Jiacheng Zhang
We study two-dimensional stochastic differential equations (SDEs) of McKean--Vlasov type in which the conditional distribution of the second component of the solution given the fir…
math.PR2019★ 38 cited
Global solutions to the supercooled Stefan problem with blow-ups: regularity and uniqueness
Francois Delarue, Sergey Nadtochiy, Mykhaylo Shkolnikov
We consider the supercooled Stefan problem, which captures the freezing of a supercooled liquid, in one space dimension. A probabilistic reformulation of the problem allows to defi…