Zobrazeno 1 - 10
of 280
pro vyhledávání: '"Jourdain Benjamin"'
Autor:
Jourdain, Benjamin, Pagès, Gilles
Motivated by the study of the propagation of convexity by semi-groups of stochastic differential equations and convex comparison between the distributions of solutions of two such equations, we study the comparison for the convex order between a Gaus
Externí odkaz:
http://arxiv.org/abs/2410.07958
Autor:
Andrès, Hervé, Jourdain, Benjamin
We show the existence and uniqueness of a continuous solution to a path-dependent volatility model introduced by Guyon and Lekeufack (2023) to model the price of an equity index and its spot volatility. The considered model for the trend and activity
Externí odkaz:
http://arxiv.org/abs/2408.02477
We are interested in the discretization of stable driven SDEs with additive noise for $\alpha$ $\in$ (1, 2) and Lq -- Lp drift under the Serrin type condition $\alpha$/q + d/p < $\alpha$ -- 1. We show weak existence and uniqueness as well as heat ker
Externí odkaz:
http://arxiv.org/abs/2405.08378
We propose a new model for the coherent forecasting of both the implied volatility surfaces and the underlying asset returns.In the spirit of Guyon and Lekeufack (2023) who are interested in the dependence of volatility indices (e.g. the VIX) on the
Externí odkaz:
http://arxiv.org/abs/2312.15950
Autor:
Jourdain, Benjamin, Pagès, Gilles
In this paper, we are interested in the propagation of convexity by the strong solution to a one-dimensional Brownian stochastic differential equation with coefficients Lipschitz in the spatial variable uniformly in the time variable and in the conve
Externí odkaz:
http://arxiv.org/abs/2312.09779
Autor:
Jourdain, Benjamin, Shao, Kexin
In this note, we complete the analysis of the Martingale Wasserstein Inequality started in arXiv:2011.11599 by checking that this inequality fails in dimension $d\ge 2$ when the integrability parameter $\rho$ belongs to $[1,2)$ while a stronger Maxim
Externí odkaz:
http://arxiv.org/abs/2310.08492
Autor:
Flenghi, Roberta, Jourdain, Benjamin
The stratified resampling mechanism is one of the resampling schemes commonly used in the resampling steps of particle filters. In the present paper, we prove a central limit theorem for this mechanism under the assumption that the initial positions
Externí odkaz:
http://arxiv.org/abs/2308.02186
Autor:
Flenghi, Roberta, Jourdain, Benjamin
In this work, we prove the joint convergence in distribution of $q$ variables modulo one obtained as partial sums of a sequence of i.i.d. square integrable random variables multiplied by a common factor given by some function of an empirical mean of
Externí odkaz:
http://arxiv.org/abs/2308.01874
Publikováno v:
ESAIM: Proceedings and Surveys, Vol 59, Pp I-II (2017)
Externí odkaz:
https://doaj.org/article/b099b39c289f4137bd2e7e3566a21d19
Autor:
Jourdain, Benjamin, Shao, Kexin
For many examples of couples $(\mu,\nu)$ of probability measures on the real line in the convex order, we observe numerically that the Hobson and Neuberger martingale coupling, which maximizes for $\rho=1$ the integral of $|y-x|^\rho$ with respect to
Externí odkaz:
http://arxiv.org/abs/2305.00565