3 papers
math.PR2026
Malliavin calculus for signatures with applications to finance
Eduardo Abi Jaber, Clément Rey, Dimitri Sotnikov
Malliavin calculus is a powerful and general framework for the analysis of square-integrable random variables, but it often suffers from a lack of tractability and explicit represe…
math.PR2025
Discretization of the Ergodic Functional Central Limit Theorem
Gilles Pagès, Clément Rey
In this paper, we study the discretization of the ergodic Functional Central Limit Theorem (CLT) established by Bhattacharya (see \cite{Bhattacharya_1982}) which states the followi…
math.PR2024
Deterministic computation of quantiles in a Lipschitz framework
Yurun Gu, Clément Rey
In this article, we focus on computing the quantiles of a random variable , where is a -valued random variable, , and $f:[0,1]^d\to \mat…