4 papers
Penalisation techniques for one-dimensional reflected rough differential equations
Alexandre Richard, Etienne Tanré, Soledad Torres
In this paper we solve real-valued rough differential equations (RDEs) reflected on an irregular boundary. The solution is constructed as the limit of a sequence $(Y^n)_{n\in\m…
On the Root solution to the Skorokhod embedding problem given full marginals
Alexandre Richard, Xiaolu Tan, Nizar Touzi
This paper examines the Root solution of the Skorohod embedding problem given full marginals on some compact time interval. Our results are obtained by limiting arguments based on…
Sub-exponential convergence to equilibrium for Gaussian driven Stochastic Differential Equations with semi-contractive drift
Fabien Panloup, Alexandre Richard
The convergence to the stationary regime is studied for Stochastic Differential Equations driven by an additive Gaussian noise and evolving in a semi-contractive environment, i.e.…
Noise sensitivity of functionals of fractional Brownian motion driven stochastic differential equations: Results and perspectives
Alexandre Richard, Denis Talay
We present an innovating sensitivity analysis for stochastic differential equations: We study the sensitivity, when the Hurst parameter~ of the driving fractional Brownian motio…