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20172024
most citedInverting the Markovian projection, with an application to local stochastic volatility models

4 citations · 9 across the 5 of their papers we have counts for

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Showing 2020Show all

2 papers · 1 filter

math.PR2020

A characterization of transportation-information inequalities for Markov processes in terms of dimension-free concentration

Daniel Lacker, Lane Chun Yeung

Inequalities between transportation costs and Fisher information are known to characterize certain concentration properties of Markov processes around their invariant measures. Thi…

math.PR2020

Superposition and mimicking theorems for conditional McKean-Vlasov equations

Daniel Lacker, Mykhaylo Shkolnikov, Jiacheng Zhang

We consider conditional McKean-Vlasov stochastic differential equations (SDEs), such as the ones arising in the large-system limit of mean field games and particle systems with mea…