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math.PR2016
Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations
Anthony Le Cavil, Nadia Oudjane, Francesco Russo
We discuss numerical aspects related to a new class of nonlinear Stochastic Differential Equations in the sense of McKean, which are supposed to represent non conservative nonlinea…
math.PR2012
On some expectation and derivative operators related to integral representations of random variables with respect to a PII process
Stéphane Goutte, Nadia Oudjane, Francesco Russo
Given a process with independent increments (not necessarily a martingale) and a large class of square integrable r.v. , being the Fourier transform of a finite m…