Zobrazeno 1 - 10 of 41 pro vyhledávání: '"Lucia Caramellino"'
1
Convergence rate of Markov chains and hybrid numerical schemes to jump-diffusions with application to the Bates model
Autor: Maya Briani, Lucia Caramellino, Giulia Terenzi
Publikováno v: SIAM journal on numerical analysis
(2021).
info:cnr-pdr/source/autori:M. Briani, L. Caramellino, G. Terenzi/titolo:Convergence rate of Markov chains and hybrid numerical schemes to jump-diffusions with application to the Bates model/doi:/rivista:SIAM journal on numerical analysis (Print)/anno:2021/pagina_da:/pagina_a:/intervallo_pagine:/volume
We study the rate of weak convergence of Markov chains to diffusion processes under quite general assumptions. We give an example in the financial framework, applying the convergence analysis to a multiple jumps tree approximation of the CIR process.
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::49f284e3e96b5066a72be444f386702a
http://www.cnr.it/prodotto/i/413555
Zobrazit plný text záznamu
3
Large deviations of conditioned diffusions and applications
Autor: Paolo Baldi, Maurizia Rossi, Lucia Caramellino
We provide Large Deviation estimates for the bridge of a d -dimensional general diffusion process as the conditioning time tends to 0 and show that these results can be applied to the evaluation of the asymptotics of its exit time probabilities.
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5b3269c5c6f2afd09835385ab74a70dd
https://hdl.handle.net/2108/214919
Zobrazit plný text záznamu
4
Regularization lemmas and convergence in total variation
Autor: Lucia Caramellino, Guillaume Poly, Vlad Bally
Publikováno v: Electronic Journal of Probability
Electronic Journal of Probability, Institute of Mathematical Statistics (IMS), 2020, 25, paper no. 74, 20 pp. ⟨10.1214/20-EJP481⟩
Electron. J. Probab.
Electronic Journal of Probability, 2020, 25, paper no. 74, 20 pp. ⟨10.1214/20-EJP481⟩
We provide a simple abstract formalism of integration by parts under which we obtain some regularization lemmas. These lemmas apply to any sequence of random variables $(F_n)$ which are smooth and non-degenerated in some sense and enable one to upgra
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d5d5f2efc46ae8835307224ae60b5d27
https://hal.archives-ouvertes.fr/hal-02429512/file/RegLemmaVar-18-09-2019.pdf
Zobrazit plný text záznamu
5
Tube estimates for diffusions under a local strong Hörmander condition
Autor: Vlad Bally, Paolo Pigato, Lucia Caramellino
Publikováno v: Ann. Inst. H. Poincaré Probab. Statist. 55, no. 4 (2019), 2320-2369
Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques
Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, Institut Henri Poincaré (IHP), 2019, 55 (4), pp.2320--2369. ⟨10.1214/18-AIHP950⟩
Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 2019, 55 (4), pp.2320--2369. ⟨10.1214/18-AIHP950⟩
On etudie des bornes inferieures et superieures pour la probabilite qu’un processus de diffusion dans $R^{n}$ reste dans un petit tube autour d’un squelette deterministe jusqu’a un temps fixe. Les coefficients de diffusion $\sigma_{1},\dots,\si
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3e8a72a81ed2f2a09b24ef46b6d0604d
https://projecteuclid.org/euclid.aihp/1573203631
Zobrazit plný text záznamu
6
Numerical stability of a hybrid method for pricing options
Autor: Lucia Caramellino, Antonino Zanette, Maya Briani, Giulia Terenzi
Publikováno v: International Journal of Theoretical and Applied Finance
International Journal of Theoretical and Applied Finance, World Scientific Publishing, 2019, pp.1950036. ⟨10.1142/S0219024919500365⟩
International journal of theoretical and applied finance (2019). doi:10.1142/S0219024919500365
info:cnr-pdr/source/autori:Briani M.; Caramellino L.; Terenzi G.; Zanette A./titolo:NUMERICAL STABILITY of A HYBRID METHOD for PRICING OPTIONS/doi:10.1142%2FS0219024919500365/rivista:International journal of theoretical and applied finance/anno:2019/pagina_da:/pagina_a:/intervallo_pagine:/volume
International Journal of Theoretical and Applied Finance, 2019, pp.1950036. ⟨10.1142/S0219024919500365⟩
We develop and study stability properties of a hybrid approximation of functionals of the Bates jump model with stochastic interest rate that uses a tree method in the direction of the volatility and the interest rate and a finite-difference approach
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::634458c0a35cfaf70f892d04ec0394a2
https://hal.archives-ouvertes.fr/hal-02380723/file/Bates-Hybrid-revised-1.pdf
Zobrazit plný text záznamu
7
Non universality for the variance of the number of real roots of random trigonometric polynomials
Autor: Guillaume Poly, Vlad Bally, Lucia Caramellino
Publikováno v: Probability Theory and Related Fields
Probability Theory and Related Fields, Springer Verlag, 2019, 174 (3-4), pp.887-927. ⟨10.1007/s00440-018-0869-2⟩
Probability Theory and Related Fields, 2019, 174 (3-4), pp.887-927. ⟨10.1007/s00440-018-0869-2⟩
In this article, we consider the following family of random trigonometric polynomials $$p_n(t,Y)=\sum _{k=1}^n Y_{k}^1 \cos (kt)+Y_{k}^2\sin (kt)$$ for a given sequence of i.i.d. random variables $$Y^i_{k}$$ , $$i\in \{1,2\}$$ , $$k\ge 1$$ , which ar
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5b5c6a0e6fef1a5d9af5f62c4008f5d2
https://hal.archives-ouvertes.fr/hal-01634848
Zobrazit plný text záznamu
8
Total variation distance between stochastic polynomials and invariance principles
Autor: Vlad Bally, Lucia Caramellino
Publikováno v: Annals of Probability
Annals of Probability, Institute of Mathematical Statistics, 2019, 47, pp.3762-3811. ⟨10.1214/19-AOP1346⟩
Ann. Probab. 47, no. 6 (2019), 3762-3811
Annals of Probability, 2019, 47, pp.3762-3811. ⟨10.1214/19-AOP1346⟩
International audience; The goal of this paper is to estimate the total variation distance between two general stochastic polynomials. As a consequence, one obtains an in-variance principle for such polynomials. This generalizes known results concern
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6a987a9f5a257e95e0014b74dd21eed0
https://hal-upec-upem.archives-ouvertes.fr/hal-02429560
Zobrazit plný text záznamu
9
Convergence and regularity of probability laws by using an interpolation method
Autor: Lucia Caramellino, Vlad Bally
Publikováno v: Annals of Probability
Annals of Probability, 2017
Annals of Probability, 2017, 45 (2)
Annals of Probability, Institute of Mathematical Statistics, 2017, 45 (2)
Ann. Probab. 45, no. 2 (2017), 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: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fe2c087e4e772451f1904c030b8cc2cc
https://hal.archives-ouvertes.fr/hal-01677407/file/Last-version-for-AP.pdf
Zobrazit plný text záznamu
10
Convergence in distribution norms in the CLT for non identical distributed random variables
Autor: Lucia Caramellino, Vlad Bally, Guillaume Poly
Publikováno v: Electronic Journal of Probability
Electronic Journal of Probability, Institute of Mathematical Statistics (IMS), 2018, 23, paper 45, 51 p. ⟨10.1214/18-EJP174⟩
Electron. J. Probab.
Electronic Journal of Probability, 2018, 23, paper 45, 51 p. ⟨10.1214/18-EJP174⟩
We study the convergence in distribution norms in the Central Limit Theorem for non identical distributed random variables that is \[ \varepsilon _{n}(f):={\mathbb{E} }\Big (f\Big (\frac 1{\sqrt n}\sum _{i=1}^{n}Z_{i}\Big )\Big )-{\mathbb{E} }\big (f
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::19b44959367bbea786f8c2b2f9c3adfd
https://hal-upec-upem.archives-ouvertes.fr/hal-01413548
Zobrazit plný text záznamu

Vyhledávací nástroje:

Upřesnit hledání

Omezení vyhledávání
Plný text Recenzováno Digitální knihovna AV ČR
Zdroje