4 citations · 4 across the 7 of their papers we have counts for
7 papers
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…
The implied volatility of Forward-Start options: ATM short-time level, skew and curvature
Elisa Alos, Antoine Jacquier, Jorge Leon
Using Malliavin Calculus techniques, we derive closed-form expressions for the at-the-money behaviour of the forward implied volatility, its skew and its curvature, in general Mark…
Stability for a class of semilinear fractional stochastic integral equations
Allan Fiel, Jorge A. León, David Márquez-Carreras
In this paper we study some stability criteria for some semilinear integral equations with a function as initial condition and with additive noise, which is a Young integral that c…
A strong uniform approximation of sub-fractional Brownian motion
Johanna Garzon, Luis G. Gorostiza, Jorge A. Leon
Sub-fractional Brownian motion is a process analogous to fractional Brownian motion but without stationary increments. In \cite{GGL1} we proved a strong uniform approximation with…
Malliavin calculus for fractional delay equations
Jorge A. Leon, Samy Tindel
In this paper we study the existence of a unique solution to a general class of Young delay differential equations driven by a Hölder continuous function with parameter greater tha…
Itô's formula for linear fractional PDEs
Jorge A. Leon, Samy Tindel
In this paper we introduce a stochastic integral with respect to the solution X of the fractional heat equation on [0,1], interpreted as a divergence operator. This allows to use t…