79 citations · 131 across the 21 of their papers we have counts for
25 papers
On Sdes For Bessel Processes In Low Dimension And Path-dependent Extensions
Alberto Ohashi, Francesco Russo, Alan Teixeira
The Bessel process in low dimension (0 1) is not an It{ô} process and it is a semimartingale only in the cases = 1 and = 0. In this paper we first character…
Rough paths and symmetric-Stratonovich integrals driven by singular covariance gaussian processes
Alberto Ohashi, Francesco Russo
We examine the relation between a stochastic version of the rough path integral with the symmetric-Stratonovich integral in the sense of regularization. Under mild regularity condi…
Rough paths and regularization
André Gomes, Alberto Ohashi, Francesco Russo +1
Calculus via regularizations and rough paths are two methods to approach stochastic integration and calculus close to pathwise calculus. The origin of rough paths theory is purely…
Smoothness of densities for path-dependent SDEs under Hörmander's condition
Alberto Ohashi, Francesco Russo, Evelina Shamarova
We establish the existence of smooth densities for solutions to a broad class of path-dependent SDEs under a Hörmander-type condition. The classical scheme based on the reduced Mal…
uniform random walk-type approximation for fractional Brownian motion with Hurst exponent
Alberto Ohashi, Francys A. de Souza
In this note, we prove an uniform approximation of the fractional Brownian motion with Hurst exponent by means of a family of continuous-time random wal…
Solving non-Markovian Stochastic Control Problems driven by Wiener Functionals
Dorival Leão, Alberto Ohashi, Francys Andrews de Souza
In this article, we present a general methodology for stochastic control problems driven by the Brownian motion filtration including non-Markovian and non-semimartingale state proc…