1 citations · 1 across the 7 of their papers we have counts for
9 papers
Malliavin calculus for signatures with applications to finance
Eduardo Abi Jaber, Clément Rey, Dimitri Sotnikov
Malliavin calculus is a powerful and general framework for the analysis of square-integrable random variables, but it often suffers from a lack of tractability and explicit represe…
Deterministic computation of quantiles in a Lipschitz framework
Yurun Gu, Clément Rey
In this article, we focus on computing the quantiles of a random variable , where is a -valued random variable, , and $f:[0,1]^d\to \mat…
High order weak approximation of Stochastic Differential Equations for bounded and measurable test functions
Clément Rey
We present a method for approximating solutions of Stochastic Differential Equations (SDEs) with arbitrary rates. This approximation is derived for bounded and measurable test func…
Hörmander properties of discrete time Markov processes
Clément Rey
We present an abstract framework for establishing smoothing properties within a specific class of inhomogeneous discrete-time Markov processes. These properties, in turn, serve as…
Arbitrary order total variation Convergence of Markov semigroups using random grids
Clément Rey
We provide a abstract framework to prove total variation convergence result with arbitrary rate for numerical scheme for SDE. In particular we show that under standard weak approxi…
Recursive computation of the invariant distributions of Feller processes: Revisited examples and new applications
Gilles Pagès, Clément Rey
In this paper, we show that the abstract framework developed in Pages & Rey (2017) and inspired by Lamberton & Pages (2002) can be used to build invariant distributions for Brownia…