相关论文: A Stratonovich-Skorohod integral formula for Gauss…

The generalized perturbative approach is an all purpose variant of Stein's method used to obtain rates of normal approximation. Originally developed for functions of independent random variables this method is here extended to functions of…

In this paper we define the fractional Cox-Ingersoll-Ross process as $X_t:=Y_t^2\mathbf{1}_{\{t<\inf\{s>0:Y_s=0\}\}}$, where the process $Y=\{Y_t,t\ge0\}$ satisfies the SDE of the form…

The aim of this note is to propose a novel numerical scheme for drift-less one dimensional stochastic differential equations of It\^o's type driven by standard Brownian motion. Our approximation method is equivalent to the well known…

A new algorithm for the approximation and simulation of twofold iterated stochastic integrals together with the corresponding L\'{e}vy areas driven by a multidimensional Brownian motion is proposed. The algorithm is based on a truncated…

Within the context of rough path analysis via fractional calculus, we show how variability can be used to prove the existence of integrals with respect to H\"older continuous multiplicative functionals in the case of Lipschitz coefficients…

In this paper, we introduce a new simple approach to developing and establishing the convergence of splitting methods for a large class of stochastic differential equations (SDEs), including additive, diagonal and scalar noise types. The…

We derive the optimal rate of convergence for the mean squared error at the terminal point for anticipating linear stochastic differential equations, where the integral is interpreted in Skorohod sense. Although alternative proof techniques…

In this article, we show a result of approximation in law to subfractional Brownian motion, with $H>\frac{1}{2}$, in the Skorohod topology. The construction of these approximations is based on a sequence of I.I.D random variables

Consider the Skorokhod problem in the closed non-negative orthant: find a solution $(g(t),m(t))$ to \[ g(t)= f(t)+ Rm(t),\] where $f$ is a given continuous vector-valued function with $f(0)$ in the orthant, $R$ is a given $d\times d$ matrix…

We prove a change of variable formula for the 2D fractional Brownian motion of index H bigger of equal to 1/4. For H strictly bigger than 1/4, our formula coincides with that obtained by using the rough paths theory. For H=1/4 (the more…

In this paper we revisit the integral functional of geometric Brownian motion $I_t= \int_0^t e^{-(\mu s +\sigma W_s)}ds$, where $\mu\in\mathbb{R}$, $\sigma > 0$, and $(W_s )_s>0$ is a standard Brownian motion. Specifically, we calculate the…

This paper deals with a Skorokhod's integral based least squares type estimator $\widehat\theta_N$ of the drift parameter $\theta_0$ computed from $N\in\mathbb N^*$ (possibly dependent) copies $X^1,\dots,X^N$ of the solution $X$ of $dX_t…

We revisit the Markov approximation necessary to derive ordinary Brownian motion from a model widely adopted in literature for this specific purpose. We show that this leads to internal inconsistencies, thereby implying that further search…

We build a connection between rough path theory and noncommutative algebra, and interpret the integration of geometric rough paths as an example of a non-abelian Young integration. We identify a class of slowly-varying one-forms, and prove…

In this work we study the smoothing effect of rough differential equations driven by a fractional Brownian motion with parameter $H>1/4$. The regularization estimates we obtain generalize to the fractional Brownian motion previous results…

The book is devoted to the strong approximation of iterated stochastic integrals (ISIs) in the context of numerical integration of Ito SDEs and non-commutative semilinear SPDEs with nonlinear multiplicative trace class noise. The monograph…

The Kaczmarz method is a row-action method for solving consistent non-square linear systems, and Gearhart-Koshy acceleration is a line-search that minimizes the Euclidean norm of the error along a ray in the direction of a Kaczmarz step.…

We present a new approach to noncommutative stochastic calculus that is, like the classical theory, based primarily on the martingale property. Using this approach, we introduce a general theory of stochastic integration and quadratic…

Adapting ideas of Daubechies and Klauder [J. Math. Phys. {\bf 26} (1985) 2239] we derive a rigorous continuum path-integral formula for the semigroup generated by a spin Hamiltonian. More precisely, we use spin-coherent vectors parametrized…

We consider Riemann sum approximations of stochastic integrals with respect to the fractional Browian motion of index $H\geq \frac12$. We show the convergence of these schemes at first and second order. The processes obtained in the limit…