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  • 1-10 ل  437 نتائج ل ""[MATH.MATH-PR]Mathematics [math]/Probability [math.PR]""

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Subject : malliavin calculus
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Malliavin calculcus for a Hawkes process.

Subjects: Hawkes process; Malliavin calculus; Dirichlet forms

  • Source: https://hal.science/hal-05332048 ; 2025.

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Multivariate Self-Exciting Processes with Dependencies

Subjects: Multidimensional Hawkes Processes; Dynamic cross dependencies; Poisson imbedding

  • Source: https://hal.science/hal-04997515 ; 2025.

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Malliavin derivative and sensitivity for optimal liquidation

Subjects: Backward stochastic differential equations Malliavin calculus singularity optimal liquidation; Backward stochastic differential equations; Malliavin calculus

  • Source: https://hal.science/hal-05072816 ; 2025.

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Conference

European and Asian Greeks for Exponential Lévy Processes

Subjects: Malliavin Calculus; Asian Greeks; Jump Diffusions

  • Source: ISSN: 1387-5841.

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The spatial average of solutions to SPDEs is asymptotically independent of the solution

Subjects: 2010 AMS Classification Numbers: 60H15; 60H07; 60G15

  • Source: https://hal.science/hal-04549075 ; 2024.

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Academic Journal

An expansion formula for Hawkes processes and application to cyber-insurance derivatives *

Subjects: Hawkes process; Malliavin calculus; pricing formulae

  • Source: ISSN: 0304-4149.

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Academic Journal

Solving the hyperbolic Anderson model 1: Skorohod setting

Subjects: Stochastic wave equation; Malliavin calculus; Skorohod equation

  • Source: ISSN: 0246-0203.

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Approximation for the invariant measure with applications for jump processes (convergence in total variation distance)

Subjects: Invariant measure; Unadjusted Langevin algorithm; Euler scheme with decreasing steps

  • Source: https://hal.science/hal-04112474 ; 2023.

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Approximation schemes for McKean-Vlasov and Boltzmann type equations (error analysis in total variation distance)

Subjects: Mckean-Vlasov equation; Boltzmann equation; Malliavin calculus

  • Source: https://hal.science/hal-03868434 ; 2023.

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Explicit correlations for the Hawkes processes *

Subjects: Hawkes processes; Poisson imbedding representation; Malliavin calculus

  • Source: https://hal.science/hal-04058740 ; 2023.

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  • 1-10 ل  437 نتائج ل ""[MATH.MATH-PR]Mathematics [math]/Probability [math.PR]""