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pro vyhledávání: '"William Salkeld"'
Autor:
William Salkeld
We study the Small Ball Probabilities (SBPs) of Gaussian rough paths. While many works on rough paths study the Large Deviations Principles (LDPs) for stochastic processes driven by Gaussian rough paths, it is a noticeable gap in the literature that
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d1ded53c14f6d0be2a913f1acc705eb2
We study a class of reflected McKean-Vlasov diffusions over a convex domain with self-stabilizing coefficients. This includes coefficients that do not satisfy the classical Wasserstein Lipschitz condition. Further, the process is constrained to a (no
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::63b4d340858c1d980cd4c7333a9dc591
Publikováno v:
Dos Reis, G, Salkeld, W & Tugaut, J 2019, ' Freidlin-Wentzell LDPs in path space for McKean-Vlasov equations and the Functional Iterated Logarithm Law ', Annals of Applied Probability, vol. 29, no. 3, pp. 1487-1540 . https://doi.org/10.1214/18-AAP1416
Ann. Appl. Probab. 29, no. 3 (2019), 1487-1540
Annals of Applied Probability
Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2019, 29 (3), pp.1487-1540. ⟨10.1214/18-AAP1416⟩
Ann. Appl. Probab. 29, no. 3 (2019), 1487-1540
Annals of Applied Probability
Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2019, 29 (3), pp.1487-1540. ⟨10.1214/18-AAP1416⟩
We show two Freidlin-Wentzell type Large Deviations Principles (LDP) in path space topologies (uniform and H\"older) for the solution process of McKean-Vlasov Stochastic Differential Equations (MV-SDEs) using techniques which directly address the pre
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f7e5ac452a9b7c3f31d1d6f88629dbaf
https://doi.org/10.1214/18-aap1416
https://doi.org/10.1214/18-aap1416
Publikováno v:
Imkeller, P, Reis, G D & Salkeld, W 2019, ' Differentiability of SDEs with drifts of super-linear growth ', Electronic journal of probability, vol. 24, 3 . https://doi.org/10.1214/18-EJP261
Electron. J. Probab.
Electron. J. Probab.
We close an unexpected gap in the literature of stochastic differential equations (SDEs) with drifts of super linear growth (and random coefficients), namely, we prove Malliavin and Parametric Differentiability of such SDEs. The former is shown by pr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::27513d0692de70a2742ddfd45873b467
https://doi.org/10.1214/18-ejp261
https://doi.org/10.1214/18-ejp261