Convergence and regularity of probability laws by using an interpolation method

Autor: Bally, V., Caramellino, L.

Publikováno v: Annals of Probability 2017, Vol. 45, No. 2, 1110-1159

In [18] Fournier and Printems establish a methodology which allows to prove the absolute continuity of the law of the solution of some stochastic equations with H\"{o}lder continuous coefficients. This is of course out of reach by using already class

Externí odkaz: http://arxiv.org/abs/1409.3118

Positivity and lower bounds for the density of Wiener functionals

Autor: Bally, V., Caramellino, L.

Publikováno v: Potential Analysis 39, 141-168, 2013

We consider a functional on the Wiener space which is smooth and not degenerated in Malliavin sense and we give a criterion of strict positivity of the density. We also give lower bounds for the density. These results are based on the representation

Externí odkaz: http://arxiv.org/abs/1004.5269

Using moment approximations to study the density of jump driven SDEs

Autor: Bally, V, Caramellino, L, Kohatsu-Higa, A

Publikováno v: Electronic Journal of Probability
Electronic Journal of Probability, 2022, 27, ⟨10.1214/22-ejp785⟩
Electronic Journal of Probability, Institute of Mathematical Statistics (IMS), 2022, 27, ⟨10.1214/22-ejp785⟩

International audience; In order to study the regularity of the density of a solution of a infinite activity jump driven stochastic differential equation we consider the following two-step approximation method. First, we use the solution of the momen

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::58f70a2a9b909b76b5b7202986353afd
https://hal.science/hal-03808176/document

FIRST-ORDER SCHEMES IN THE NUMERICAL QUANTILIZATION METHOD.

Autor: Bally, V.¹, Pagès, G.², Printems, J.³

Publikováno v: Mathematical Finance. Jan2003, Vol. 13 Issue 1, p1-16. 16p.

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