3 citations · 7 across the 6 of their papers we have counts for
8 papers
The Bismut-Elworthy-Li formula for semi-linear distribution-dependent SDEs driven by fractional Brownian motion
M. Tahmasebi
In this work, we will show the existence, uniqueness, and weak differentiability of the solution to semi-linear mean-field stochastic differential equations driven by fractional Br…
Malliavin differentiability and regularity of densities in semi-linear stochastic delay equations driven by weighted fractional Brownian motion
Mahdieh Tahmasebi
In this work, we will show the existence and uniqueness of the solution to the semi linear stochastic differential equations driven by weighted fractional Brownian motion with dela…
Multilevel Path Simulation to Jump-Diffusion Process with Superlinear Drift
Azadeh Ghasemifard, Mahdieh Tahmasebi
In this work, we will show strong convergence of the Multilevel Monte-Carlo (MLMC) algorithm with split-step backward Euler (SSBE) and backward (drift-implicit) Euler (BE) schemes…
Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump
A. S. Fatemion Aghdas, Seyed Mohammad Hossein, Mahdieh Tahmasebi
In this work, we propose the balanced implicit method (BIM) to approximate the solution of the delay Cox-Ingersoll-Ross (CIR) model with jump which often gives rise to model an ass…
Finite-time Stability Analysis for Random Nonlinear Systems
Sina Sanjari, Mahdieh Tahmasebi
This paper presents an analysis approach to finite-time attraction in probability concerns with nonlinear systems described by nonlinear random differential equations (RDE). RDE pr…
Integration by Parts Formula and Smoothness of Densities of Solutions to SDEs with Locally Lipschitz Coefficients
M. Tahmasebi, S. Zamani
In this work we prove the existence of a smooth density for the solution to an SDE with locally Lipschitz and semimonotone drift, and will derive an exponential decay for this dens…
Smooth density for the Solution of Scalar SDEs with Locally Lipschitz Coefficients under Hörmander Condition
Mahdieh Tahmasebi
In this paper the existence of a smooth density is proved for the solution of an SDE, with locally Lipschitz coefficients and semi-monotone drift, under Hörmander condition. We pro…
Weak Differentiability of Solutions to SDEs With Semi-Monotone Drifts
Mahdieh Tahmasebi, Shiva Zamani
In this work we prove Malliavin differentiability for the solution to an SDE with locally Lipschitz and semi-monotone drift. To this end we construct a sequence of SDEs with global…