2 papers
math.PR2025
Martingales On A Euclidean Manifold With A Boundary And Reflected BSDES In Non-Convex Domains
Marc Arnaudon, Jean-François Chassagneux, Sergey Nadtochiy +1
The purpose of this paper is twofold. First, we introduce the notion of a -martingale on a Euclidean manifold with a boundary (i.e., the closure of an open connected domain in…
math.ST2025
Consistency of MLE in partially observed diffusion models on a torus
Ibrahim Ekren, Sergey Nadtochiy
In this paper, we consider a general partially observed diffusion model with periodic coefficients and with non-degenerate diffusion component. The coefficients of such a model dep…