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20152026
most citedNonnegativity preserving convolution kernels. Application to Stochastic Volterra Equations in closed convex domains and their approximation

1 citations · 5 across the 16 of their papers we have counts for

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Showing 2019 · math.PRShow all

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math.PR2019

A generic construction for high order approximation schemes of semigroups using random grids

Aurélien Alfonsi, Vlad Bally

Our aim is to construct high order approximation schemes for general semigroups of linear operators . In order to do it, we fix a time horizon and the discretiz…

math.PR2019

Approximation of Optimal Transport problems with marginal moments constraints

Aurélien Alfonsi, Rafaël Coyaud, Virginie Ehrlacher +1

Optimal Transport (OT) problems arise in a wide range of applications, from physics to economics. Getting numerical approximate solution of these problems is a challenging issue of…