63 citations · 110 across the 9 of their papers we have counts for
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math.PR2012
A new numerical scheme for the Zakaï equation
Bruno Saussereau
The aim of this paper is to propose a new method for numerical approximations of the solution of the linear stochastic partial differential equation arising in non-linear filtering…
math.PR2012
Deviation probability bounds for fractional martingales and related remarks
Bruno Saussereau
In this paper we prove exponential inequalities (also called Bernstein's inequality) for fractional martingales. As an immediate corollary, we will discuss weak law of large number…
math.ST2012★ 63 cited
Transportation inequalities for stochastic differential equations driven by a fractional Brownian motion
Bruno Saussereau
We establish Talagrand's and inequalities for the law of the solution of a stochastic differential equation driven by a fractional Brownian motion with Hurst parameter…