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20122026
most citedA stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance

14 citations · 44 across the 33 of their papers we have counts for

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Showing 2022 · math.PRShow all

3 papers · 2 filters

math.PR2022

Diffusion Approximation for Transport Equations with Dissipative Drifts for Time Dependent Coefficients

Luca Di Persio, Yuri Kondratiev, Viktorya Vardanyan

We consider a generalization of classical results of Freidlin and Wentzell to the case of time dependent dissipative drifts. We show the convergence of diffusions with multiplicati…

math.PR2022

Feynman-Kac formula for BSDEs with jumps and time delayed generators associated to path-dependent nonlinear Kolmogorov equations

Luca Di Persio, Matteo Garbelli, Adrian Zălinescu

We consider a system of Forward Backward Stochastic Differential Equations (FBSDEs), with time delayed generator and driven by Lèvy-type noise. We establish a non linear Feynman Ka…

math.PR2022★ 1 cited

Explosion and non-explosion for the continuous-time frog model

Viktor Bezborodov, Luca Di Persio, Peter Kuchling

We consider the continuous-time frog model on . At time , there are particles at , each of which is represented by a random variable. In…