21 citations · 25 across the 4 of their papers we have counts for
8 papers · 1 filter
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 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…
Existence of densities for stochastic evolution equations driven by fractional Brownian motion
Jorge A. de Nascimento, Alberto Ohashi
In this work, we prove a version of Hörmander's theorem for a stochastic evolution equation driven by a trace-class fractional Brownian motion with Hurst exponent $\frac{1}{2} < H…
Stochastic Near-Optimal Controls for Path-Dependent Systems
Dorival Leão, Alberto Ohashi, Francys Souza
In this article, we present a general methodology for control problems driven by the Brownian motion filtration including non-Markovian and non-semimartingale state processes contr…