5 papers
The indifference value of the weak information
Fabrice Baudoin, Oleksii Mostovyi
We propose indifference pricing to estimate the value of the weak information. Our framework allows for tractability, quantifying the amount of additional information, and permits…
Dimension-independent functional inequalities by tensorization and projection arguments
Fabrice Baudoin, Maria Gordina, Rohan Sarkar
We study stability under tensorization and projection-type operations of gradient-type estimates and other functional inequalities for Markov semigroups on metric spaces. Using tra…
Fractional stable random fields on the Sierpiński gasket
Fabrice Baudoin, Céline Lacaux
We define and study fractional stable random fields on the Sierpiński gasket. Such fields are formally defined as , where is the Laplace operator on the gask…
Functional inequalities for a family of infinite-dimensional diffusions with degenerate noise
Fabrice Baudoin, Maria Gordina, David Herzog +2
For a family of infinite-dimensional diffusions with degenerate noise, we develop a modified calculus on finite-dimensional projections of the equation in order to produce expl…
Integration by parts and quasi-invariance for the horizontal Wiener measure on a foliated compact manifold
Fabrice Baudoin, Maria Gordina, Qi Feng
We prove several versions of Driver's integration by parts formula for the horizontal Wiener measure on a totally geodesic Riemannian foliation and prove that the horizontal Wiener…