Add to ORKGInternational audienceWe are interested in studying the sensitivity of diffusion processes or their approximations by Markov Chains with respect to a perturbation of the coefficients. As an important application, we give a first order expansion for the difference of the densities of a diffusion with Hölder coefficients and its approximation by the Euler scheme
This paper studies diffusion processes constrained to the positive orthant under infinitesimal chang...
A new procedure for constructing transition probability density functions and first passage time ...
This work focuses on the asymptotic behavior of the density in small time of a stochastic differenti...
Ich schreibe nicht, euch zu gefallen, Ihr sollt was lernen! – Goethe Markov processes in physics, c...
In a previous investigation (Bigerelle and Iost, 2004), the authors have proposed a physical interpr...
In this paper we study the convergence rate of the numerical approximation of the quantiles of the m...
nonlinear diffusion We show by explicit closed form calculations that a Hurst exponent H≠1/2 does no...
Bogachev VI, Röckner M, Shaposhnikov SV. Estimates of Densities of Stationary Distributions and Tran...
AbstractA variety of continuous parameter Markov chains arising in applied probability (e.g. epidemi...
Assume that one observes the kth,2kth,…,nkth value of a Markov chain X1,h,…,Xnk,h. That means we ass...
International audienceWe study the weak approximation error of a skew diffusion with bounded measura...
AbstractThis work deals with the diffusion approximation of the first integral of a stochastic dynam...
nonlinear diffusion We show by explicit closed form calculations that a Hurst exponent H≠1/2 does no...
Abstract: Markov chains are useful to model various complex systems. In numerous situations, the und...
AbstractThe paper treats the problem of obtaining numerical solutions to the Fokker-Plank equation f...
This paper studies diffusion processes constrained to the positive orthant under infinitesimal chang...
A new procedure for constructing transition probability density functions and first passage time ...
This work focuses on the asymptotic behavior of the density in small time of a stochastic differenti...
Ich schreibe nicht, euch zu gefallen, Ihr sollt was lernen! – Goethe Markov processes in physics, c...
In a previous investigation (Bigerelle and Iost, 2004), the authors have proposed a physical interpr...
In this paper we study the convergence rate of the numerical approximation of the quantiles of the m...
nonlinear diffusion We show by explicit closed form calculations that a Hurst exponent H≠1/2 does no...
Bogachev VI, Röckner M, Shaposhnikov SV. Estimates of Densities of Stationary Distributions and Tran...
AbstractA variety of continuous parameter Markov chains arising in applied probability (e.g. epidemi...
Assume that one observes the kth,2kth,…,nkth value of a Markov chain X1,h,…,Xnk,h. That means we ass...
International audienceWe study the weak approximation error of a skew diffusion with bounded measura...
AbstractThis work deals with the diffusion approximation of the first integral of a stochastic dynam...
nonlinear diffusion We show by explicit closed form calculations that a Hurst exponent H≠1/2 does no...
Abstract: Markov chains are useful to model various complex systems. In numerous situations, the und...
AbstractThe paper treats the problem of obtaining numerical solutions to the Fokker-Plank equation f...
This paper studies diffusion processes constrained to the positive orthant under infinitesimal chang...
A new procedure for constructing transition probability density functions and first passage time ...
This work focuses on the asymptotic behavior of the density in small time of a stochastic differenti...