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math.PR2019
Locally interacting diffusions as space-time Markov random fields
Daniel Lacker, Kavita Ramanan, Ruoyu Wu
We consider a countable system of interacting (possibly non-Markovian) stochastic differential equations driven by independent Brownian motions and indexed by the vertices of a loc…
math.PR2019★ 4 cited
Inverting the Markovian projection, with an application to local stochastic volatility models
Daniel Lacker, Mykhaylo Shkolnikov, Jiacheng Zhang
We study two-dimensional stochastic differential equations (SDEs) of McKean--Vlasov type in which the conditional distribution of the second component of the solution given the fir…