24 citations · 100 across the 41 of their papers we have counts for
43 papers
Limit theorems for signatures
Yuri Kifer
We obtain strong moment invariance principles for normalized multiple iterated sums and integrals of the form $\mathbb{S}^{(ν)}(t)=N^{-ν/2}\sum_{0\leq k_1<...<k_ν\leq Nt}ξ(k_1)\oti…
Some strong limit theorems in averaging
Yuri Kifer
The paper deals with the fast-slow motions setups in the discrete time , and the continuous time $\frac {dX^ε(t)}{dt}=B(X^ε(…
Almost sure diffusion approximation in averaging via rough paths theory
Peter Friz, Yuri Kifer
The paper deals with the fast-slow motions setups in the continuous time $\frac {dX^\ve(t)}{dt}=\frac 1\ve\sig(X^\ve(t))ξ(t/\ve^2)+b(X^\ve(t)),\, t\in [0,T]$ and the discrete time…
Strong diffusion approximation in averaging with dynamical systems fast motion
Yuri Kifer
The paper deals with the fast-slow motions setups in the continuous time $\frac {dX^(t)}{dt}=\frac 1\varepsilon B(X^\varepsilon(t),ξ(t/\varepsilon^2))+b(X^\varepsilon(t),\,ξ(t/\var…
Error estimates for discrete approximations of game options with multivariate diffusion asset prices
Yuri Kifer
We obtain error estimates for strong approximations of a diffusion with a diffusion matrix and a drift b by the discrete time process defined recursively X_N((n+1)/N) = X_N(n/N…
Strong diffusion approximation in averaging and value computation in Dynkin's games
Yuri Kifer
It is known that the slow motion in the time-scaled multidimensional averaging setup $\frac {dX^\varepsilon(t)}{dt}=\frac 1\varepsilon B(X^\varepsilon(t),\,ξ(t/\var…