179 citations · 330 across the 7 of their papers we have counts for
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math.PR2018
The non-linear sewing lemma II: Lipschitz continuous formulation
Antoine Brault, Antoine Lejay
We give an unified framework to solve rough differential equations. Based on flows, our approach unifies the former ones developed by Davie, Friz-Victoir and Bailleul. The main ide…
math.PR2018
The non-linear sewing lemma I : weak formulation
Antoine Brault, Antoine Lejay
We introduce a new framework to deal with rough differential equations based on flows and their approximations. Our main result is to prove that measurable flows exist under weak c…
math.PR2018
Maximum likelihood drift estimation for a threshold diffusion
Antoine Lejay, Paolo Pigato
We study the maximum likelihood estimator of the drift parameters of a stochastic differential equation, with both drift and diffusion coefficients constant on the positive and neg…