5 papers · 1 filter
Regularization of a mean-field SDE by an additive common noise: The conditional expectation case
Pierre Cardaliaguet, Benjamin Jourdain
We investigate a McKean-Vlasov stochastic differential equation with an additive common noise and in which the interaction is through the conditional expectation. We show that, in…
Nonlinear weak error expansion of McKean-Vlasov stochastic differential equations
Benjamin Jourdain, Anh-Dung Le
According to Talay and Tubaro \cite{talay_expansion_1990}, the weak error between the solution to a stochastic differential equation with smooth coefficients and its Euler-Maruyama…
On the surjectivity of the conditional expectation given a real random variable
Julien Guyon, Thibault Jeannin, Benjamin Jourdain
In this paper, we investigate the distributions of random couples with real-valued such that any non-negative integrable random variable can be represented as a…
On the Weak Error for Local Stochastic Volatility Models
Peter K. Friz, Benjamin Jourdain, Thomas Wagenhofer +1
Local stochastic volatility refers to a popular model class in applied mathematical finance that allows for "calibration-on-the-fly", typically via a particle method, derived from…
Weak well-posedness and weak discretization error for stable-driven SDEs with Lebesgue drift
Mathis Fitoussi, Benjamin Jourdain, Stéphane Menozzi
We are interested in the discretization of stable driven SDEs with additive noise for (1, 2) and Lq -- Lp drift under the Serrin type condition /q + d/p < -- 1.…