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math.PR2019
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…
math.PR2018
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.…
math.PR2017
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…