7 citations · 24 across the 14 of their papers we have counts for
10 papers · 1 filter
Near-unit-root persistence of symmetric and asymmetric stable autoregressive sequences
José Ricardo G. Mendonça, Boubaker Smii
For an AR() sequence with coefficient , the probability of staying above zero decays exponentially in the number of steps; at the unit root it decays polynomial…
On the boundedness of Gross' solution to the planar Skorokhod embedding problem
Maher Boudabra, Dhaker Kroumi, Boubaker Smii
In this work, we investigate the problem of the boundedness of the Gross' solutions of the planar Skorokhod embedding problem, where we show that the solution is bounded under some…
Borel summation of the small time expansion of some SDE's driven by Gaussian white noise
Sergio Albeverio, Boubaker Smii
We consider stochastic differential equations driven by Gaussian white noise on . % We provide applications to models for financial %markets. Particular attention is given to…
A class of Lévy driven SDEs and their explicit invariant measures
Sergio Albeverio, Luca Di Persio, Elisa Mastrogiacomo +1
We describe a class of explicit invariant measures for both finite and infinite dimensional Stochastic Differential Equations (SDE) driven by Lévy noise. We first discuss in detail…
Explicit invariant measures for infinite dimensional SDE driven by Lévy noise with dissipative nonlinear drift I
Sergio Albeverio, Luca Di Persio, Elisa Mastrogiacomo +1
We stu\dd y a class of nonlinear stochastic partial differential equations with dissipative nonlinear drift, driven by Lévy noise. Our work is divided in two parts. In the present…
Asymptotic expansions for SDE's with small multiplicative noise
Sergio Albeverio, Boubaker Smii
Asymptotic expansions are derived as power series in a small coefficient entering a nonlinear multiplicative noise and a deterministic driving term in a nonlinear evolution equatio…