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q-fin.MF2024
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…
math.PR2024
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…
math.PR2024
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…