4 papers
Convergence rates for the extreme value theorem via Stein's method
B. Costacèque, N. Privault
We derive convergence rates for the approximation of the Fréchet distribution with parameter by sequences of renormalized maxima in the extreme value theore…
Normal approximation of subgraph counts in the random-connection model
Qingwei Liu, Nicolas Privault
This paper derives normal approximation results for subgraph counts written as multiparameter stochastic integrals in a random-connection model based on a Poisson point process. By…
Existence of solutions for nonlinear elliptic PDEs with fractional Laplacians on open balls
Guillaume Penent, Nicolas Privault
We prove the existence of viscosity solutions for fractional semilinear elliptic PDEs on open balls with bounded exterior condition in dimension . Our approach relies on a…
Deep self-consistent learning of local volatility
Zhe Wang, Ameir Shaa, Nicolas Privault +1
We present an algorithm for the calibration of local volatility from market option prices through deep self-consistent learning, by approximating both market option prices and loca…