Zobrazeno 1 - 10
of 81
pro vyhledávání: '"Richou, Adrien"'
In this work we study the numerical approximation of a class of ergodic Backward Stochastic Differential Equations. These equations are formulated in an infinite horizon framework and provide a probabilistic representation for elliptic Partial Differ
Externí odkaz:
http://arxiv.org/abs/2407.09034
The aim of this paper is to improve the large deviation principle for the number of descents in a random permutation by establishing a sharp large deviation principle of any order. We shall also prove a sharp large deviation principle of any order fo
Externí odkaz:
http://arxiv.org/abs/2407.05708
Chatteerjee and Diaconis have recently shown the asymptotic normality for the joint distribution of the number of descents and inverse descents in a random permutation. A noteworthy point of their results is that the asymptotic variance of the normal
Externí odkaz:
http://arxiv.org/abs/2405.13439
The goal of this paper is to go further in the analysis of the behavior of the number of descents in a random permutation. Via two different approaches relying on a suitable martingale decomposition or on the Irwin-Hall distribution, we prove that th
Externí odkaz:
http://arxiv.org/abs/2210.10382
This paper establishes the well-posedness of reflected backward stochastic differential equations in the non-convex domains that satisfy a weaker version of the star-shaped property. The main results are established (i) in a Markovian framework with
Externí odkaz:
http://arxiv.org/abs/2102.06579
We introduce and study a new class of optimal switching problems, namely switching problem with controlled randomisation, where some extra-randomness impacts the choice of switching modes and associated costs. We show that the optimal value of the sw
Externí odkaz:
http://arxiv.org/abs/2001.11308
Autor:
Briand, Philippe, Richou, Adrien
Publikováno v:
Frontiers in stochastic analysis-BSDEs, SPDEs and their applications, 89-107, Springer Proc. Math. Stat., 289, Springer, Cham, 2019
In this paper we prove some uniqueness results for quadratic backward stochastic differential equations without any convexity assumptions on the generator. The bounded case is revisited while some new results are obtained in the unbounded case when t
Externí odkaz:
http://arxiv.org/abs/1801.00157
In this paper, we study existence and uniqueness to multidimensional Reflected Backward Stochastic Differential Equation in an open convex domain, allowing for oblique directions of reflection. In a Markovian framework, combining \emph{a priori} esti
Externí odkaz:
http://arxiv.org/abs/1710.08989
Publikováno v:
In Stochastic Processes and their Applications February 2022 144:23-71
Akademický článek
Tento výsledek nelze pro nepřihlášené uživatele zobrazit.
K zobrazení výsledku je třeba se přihlásit.
K zobrazení výsledku je třeba se přihlásit.