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math.OC2018
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…
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.…