82 citations · 154 across the 37 of their papers we have counts for
3 papers · 2 filters
Sensitivity Analysis with respect to a Stock Price Model with Rough Volatility via a Bismut-Elworthy-Li Formula for Singular SDEs
Emmanuel Coffie, Sindre Duedahl, Frank Proske
In this paper, we show the existence of unique Malliavin differentiable solutions to SDE`s driven by a fractional Brownian motion with Hurst parameter H<1/2 and singular, unbounded…
Stability, uniqueness and existence of solutions to McKean-Vlasov SDEs: a multidimensional Yamada-Watanabe approach
Alexander Kalinin, Thilo Meyer-Brandis, Frank Proske
We establish stability and pathwise uniqueness of solutions to Wiener noise driven McKean-Vlasov equations with random non-Lipschitz continuous coefficients. In the deterministic c…
Small Noise Perturbations in Multidimensional Case
Andrey Pilipenko, Frank Norbert Proske
In this paper we study zero-noise limits of stable noise perturbed ODE's which are driven by an irregular vector field with asymptotics $% A(x)\sim \overline{a}(\frac{x}{\l…