5 papers · 1 filter
A Small-Noise Analysis of Controlled Functional Differential Equations with Gaussian Noise
David Criens, Max Nendel
We study small-noise asymptotics for controlled functional differential equations driven by additive Gaussian noise. The Gaussian noise is modeled on an abstract Wiener space, cove…
Set-valued propagation of chaos for controlled path-dependent McKean-Vlasov SPDEs
David Criens, Moritz Ritter
We develop a limit theory for controlled path-dependent mean field stochastic partial differential equations (SPDEs) within the semigroup approach of Da Prato and Zabczyk. More pre…
A limit theory for controlled McKean-Vlasov SPDEs
David Criens
We develop a limit theory for controlled mean field stochastic partial differential equations in a variational framework. More precisely, we prove existence results for mean field…
Separating Times for One-Dimensional General Diffusions
David Criens, Mikhail Urusov
The separating time for two probability measures on a filtered space is an extended stopping time which captures the phase transition between equivalence and singularity. More spec…
Robust Market Convergence: From Discrete to Continuous Time
David Criens
Continuous time financial market models are often motivated as scaling limits of discrete time models. The objective of this paper is to establish such a connection for a robust fr…