33 citations · 135 across the 41 of their papers we have counts for
19 papers · 1 filter
On some semi-parametric estimates for European option prices
Carlo Marinelli
We show that an estimate by de la Peña, Ibragimov and Jordan for , with a constant and a random variable of which the mean, the variance, and $\mathbb{P}…
On pointwise Malliavin differentiability of solutions to semilinear parabolic SPDEs
Carlo Marinelli
We obtain estimates on the first-order Malliavin derivative of mild solutions, evaluated at fixed points in time and space, to a class of parabolic dissipative stochastic PDEs on b…
On the differentiability of solutions to singularly perturbed SPDEs
Carlo Marinelli
We consider semilinear stochastic evolution equations on Hilbert spaces with multiplicative Wiener noise and linear drift term of the type , with and max…
Singular perturbations and asymptotic expansions for SPDEs with an application to term structure models
Sergio Albeverio, Carlo Marinelli, Elisa Mastrogiacomo
We study the dependence of mild solutions to linear stochastic evolution equations on Hilbert space driven by Wiener noise, with drift having linear part of the type $A+\varepsilon…
Absolute continuity of solutions to reaction-diffusion equations with multiplicative noise
Carlo Marinelli, Lluís Quer-Sardanyons
We prove absolute continuity of the law of the solution, evaluated at fixed points in time and space, to a parabolic dissipative stochastic PDE on , where is an open bo…
Fréchet differentiability of mild solutions to SPDEs with respect to the initial datum
Carlo Marinelli, Luca Scarpa
We establish n-th order Fréchet differentiability with respect to the initial datum of mild solutions to a class of jump-diffusions in Hilbert spaces. In particular, the coefficien…