3 papers
math.PR2025
A Poisson-Alekseev-Gröbner formula through Malliavin calculus for Poisson random integrals
Paul Maurer, Jérémy Zurcher
In this paper, we establish an Alekseev--Gröbner formula for stochastic differential equations (SDEs) driven by a Poisson random measure, which express the global error between a…
math.PR2025
On the -Euler-Maruyama scheme for time-inhomogeneous jump-driven SDEs
Mireille Bossy, Paul Maurer
We consider a class of general SDEs with a jump integral term driven by a time-inhomogeneous Poisson random measure. We propose a two-parameters Euler-type scheme for this SDE clas…
math.PR2025
Weak rough kernel comparison via PPDEs for integrated Volterra processes
Mireille Bossy, Kerlyns Martinez, Paul Maurer
Motivated by applications in physics (e.g., turbulence intermittency) and financial mathematics (e.g., rough volatility), this paper examines a family of integrated stochastic Volt…