170 citations · 345 across the 27 of their papers we have counts for
11 papers · 1 filter
Stability of backward propagation of chaos
Antonis Papapantoleon, Alexandros Saplaouras, Stefanos Theodorakopoulos
The purpose of the present paper is to introduce and establish a notion of stability for the backward propagation of chaos with respect to (initial) data sets. Consider, for exampl…
Existence, uniqueness and propagation of chaos for general McKean-Vlasov and mean-field BSDEs
Antonis Papapantoleon, Alexandros Saplaouras, Stefanos Theodorakopoulos
We consider backward stochastic differential equations (BSDEs) with mean-field and McKean-Vlasov interaction in their generators in a general setting, where the drivers are square-…
Convergence rates for Backward SDEs driven by Lévy processes
Chenguang Liu, Antonis Papapantoleon, Alexandros Saplaouras
We consider Lévy processes that are approximated by compound Poisson processes and, correspondingly, BSDEs driven by Lévy processes that are approximated by BSDEs driven by their c…
Stability of backward stochastic differential equations: the general case
Antonis Papapantoleon, Dylan Possamaï, Alexandros Saplaouras
In this paper, we obtain stability results for backward stochastic differential equations with jumps (BSDEs) in a very general framework. More specifically, we consider a convergen…
Stability results for martingale representations: the general case
Antonis Papapantoleon, Dylan Possamai, Alexandros Saplaouras
In this paper, we obtain stability results for martingale representations in a very general framework. More specifically, we consider a sequence of martingales each adapted to its…
Marginal and dependence uncertainty: bounds, optimal transport, and sharpness
Daniel Bartl, Michael Kupper, Thibaut Lux +2
Motivated by applications in model-free finance and quantitative risk management, we consider Fréchet classes of multivariate distribution functions where additional information on…
Existence and uniqueness results for BSDEs with jumps: the whole nine yards
Antonis Papapantoleon, Dylan Possamaï, Alexandros Saplaouras
This paper is devoted to obtaining a wellposedness result for multidimensional BSDEs with possibly unbounded random time horizon and driven by a general martingale in a filtration…
Improved FréchetHoeffding bounds on -copulas and applications in model-free finance
Thibaut Lux, Antonis Papapantoleon
We derive upper and lower bounds on the expectation of under dependence uncertainty, i.e. when the marginal distributions of the random vector $\mathbf{S}=(S_1,\dot…
Computation of copulas by Fourier methods
Antonis Papapantoleon
We provide an integral representation for the (implied) copulas of dependent random variables in terms of their moment generating functions. The proof uses ideas from Fourier metho…
Strong Taylor approximation of stochastic differential equations and application to the Lévy LIBOR model
Antonis Papapantoleon, Maria Siopacha
In this article we develop a method for the strong approximation of stochastic differential equations (SDEs) driven by Lévy processes or general semimartingales. The main ingredien…
Esscher transform and the duality principle for multidimensional semimartingales
Ernst Eberlein, Antonis Papapantoleon, Albert N. Shiryaev
The duality principle in option pricing aims at simplifying valuation problems that depend on several variables by associating them to the corresponding dual option pricing problem…