6 citations · 16 across the 14 of their papers we have counts for
10 papers · 1 filter
Consistency and Convergence of the Backward-Euler Scheme for Stochastic Functional Differential Equations Driven by Fractional Brownian Motion
Alexander Abreu, Lisandro Fermin, Ernesto Mordecki +1
We study the backward-Euler scheme for a class of stochastic functional differential equations (SFDEs) with memory driven by a fractional Brownian motion with Hurst parameter H > 1…
Stochastic Differential Equations with Discontinuous Diffusions
Soledad Torres, Lauri Viitasaari
We study one-dimensional stochastic differential equations of form , where is a suitable Hölder continuous driver such as the fractional Brownian motion $B^H…
Oscillating Gaussian Processes
Pauliina Ilmonen, Soledad Torres, Lauri Viitasaari
In this article we introduce and study oscillating Gaussian processes defined by , where are free parameters an…
Numerical scheme for stochastic differential equations driven by fractional Brownian motion with 1/4 < H < 1/2
H. Araya, J. A. León, S. Torres
In this article, we study a numerical scheme for stochastic differential equations driven by fractional Brownian motion with Hurst parameter H in (1/4; 1/2). Towards this end, we a…
Penalisation techniques for one-dimensional reflected rough differential equations
Alexandre Richard, Etienne Tanré, Soledad Torres
In this paper we solve real-valued rough differential equations (RDEs) reflected on an irregular boundary. The solution is constructed as the limit of a sequence $(Y^n)_{n\in\m…
On generalized ARCH model with stationary liquidity
Pauliina Ilmonen, Soledad Torres, Ciprian Tudor +2
We study a generalized ARCH model with liquidity given by a general stationary process. We provide minimal assumptions that ensure the existence and uniqueness of the stationary so…