Showing math.PRShow all
3 papers · 1 filter
math.PR2023
HJB equation for maximization of wealth under insider trading
Jorge A. León, Liliana Peralta, Iván Rodríguez
In this paper, we combine the techniques of enlargement of filtrations and stochastic control theory to establish an extension of the verification theorem, where the coefficients o…
math.PR2023
Euler scheme for SDEs driven by fractional Brownian motions: integrability and convergence in law
Jorge León, Yanghui Liu, Samy Tindel
In this note we consider stochastic differential equations driven by fractional Brownian motions (fBm) with Hurst parameter . We prove that the corresponding modified Euler…
math.PR2023
Euler scheme for SDEs driven by fractional Brownian motions: Malliavin differentiability and uniform upper-bound estimates
Jorge A. León, Yanghui Liu, Samy Tindel
The Malliavin differentiability of a SDE plays a crucial role in the study of density smoothness and ergodicity among others. For Gaussian driven SDEs the differentiability propert…