36 citations · 126 across the 37 of their papers we have counts for
4 papers · 1 filter
Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme
A. Alfonsi, B. Jourdain, A. Kohatsu-Higa
In the present paper, we prove that the Wasserstein distance on the space of continuous sample-paths equipped with the supremum norm between the laws of a uniformly elliptic one-di…
Strong convergence of some drift implicit Euler scheme. Application to the CIR process
Aurélien Alfonsi
We study the convergence of a drift implicit scheme for one-dimensional SDEs that was considered by Alfonsi for the Cox-Ingersoll-Ross (CIR) process. Under general conditions, we o…
Optimal execution and price manipulations in time-varying limit order books
Aurélien Alfonsi, José Infante Acevedo
This paper focuses on an extension of the Limit Order Book (LOB) model with general shape introduced by Alfonsi, Fruth and Schied. Here, the additional feature allows a time-varyin…
Capacitary measures for completely monotone kernels via singular control
Aurélien Alfonsi, Alexander Schied
We give a singular control approach to the problem of minimizing an energy functional for measures with given total mass on a compact real interval, when energy is defined in terms…