82 citations · 154 across the 37 of their papers we have counts for
3 papers · 2 filters
Strong Solutions of Mean-Field Stochastic Differential Equations with irregular drift
Martin Bauer, Thilo Meyer-Brandis, Frank Proske
We investigate existence and uniqueness of strong solutions of mean-field stochastic differential equations with irregular drift coefficients. Our direct construction of strong sol…
A Bismut-Elworthy-Li Formula for Singular SDE's Driven by a Fractional Brownian Motion and Applications to Rough Volatility Modeling
Oussama Amine, Emmanuel Coffie, Fabian Harang +1
In this paper we derive a Bismut-Elworthy-Li type formula with respect to strong solutions to singular stochastic differential equations (SDE's) with additive noise given by a mult…
Regularity Properties of the Stochastic Flow of a Skew Fractional Brownian Motion
Oussama Amine, David R. Baños, Frank Proske
In this paper we prove, for small Hurst parameters, the higher order differentiability of a stochastic flow associated with a stochastic differential equation driven by an additive…