On the ergodicity of a three-factor CIR model
This work illustrates a tri-factor model referred to as the $ CIR^ 3$ model, where both the
trend and the volatility are stochastic and correlated. For the said model we prove that a …
trend and the volatility are stochastic and correlated. For the said model we prove that a …
Credit default swap spreads modeling and forecasting with a stochastic square-root three-factor model
In this study, we consider the CIR 3 model, a three-factor stochastic model with correlated
trends and volatilities for modeling and forecasting credit default swap (CDS) spreads. After …
trends and volatilities for modeling and forecasting credit default swap (CDS) spreads. After …
Gaussian estimates for the solutions of some one-dimensional stochastic equations
Using covariance identities based on the Clark-Ocone representation formula we derive
Gaussian density bounds and tail estimates for the probability law of the solutions of several …
Gaussian density bounds and tail estimates for the probability law of the solutions of several …
Analytical approximations of BSDEs with nonsmooth driver
E Gobet, S Pagliarani - SIAM Journal on Financial Mathematics, 2015 - SIAM
We provide and analyze analytical approximations of backward SDEs in the limit of small
nonlinearity and short time, in the case of nonsmooth drivers. We identify the first and …
nonlinearity and short time, in the case of nonsmooth drivers. We identify the first and …
On the Malliavin differentiability of BSDEs
T Mastrolia, D Possamaï, A Réveillac - 2017 - projecteuclid.org
In this paper we provide new conditions for the Malliavin differentiability of solutions of
Lipschitz or quadratic BSDEs. Our results rely on the interpretation of the Malliavin derivative …
Lipschitz or quadratic BSDEs. Our results rely on the interpretation of the Malliavin derivative …
Density analysis for coupled forward–backward SDEs with non-Lipschitz drifts and applications
RL Pellat, OM Pamen - Stochastic Processes and their Applications, 2024 - Elsevier
We explore the existence of a continuous marginal law with respect to the Lebesgue
measure for each component (X, Y, Z) of the solution to coupled quadratic forward …
measure for each component (X, Y, Z) of the solution to coupled quadratic forward …
Density analysis of BSDEs
T Mastrolia, D Possamaï, A Réveillac - 2016 - projecteuclid.org
In this paper, we study the existence of densities (with respect to the Lebesgue measure) for
marginal laws of the solution (Y,Z) to a quadratic growth BSDE. Using the (by now) well …
marginal laws of the solution (Y,Z) to a quadratic growth BSDE. Using the (by now) well …
Density Analysis for coupled forward-backward SDEs with non-Lipschitz drifts
RL Pellat, OM Pamen - arXiv preprint arXiv:2309.08061, 2023 - arxiv.org
We explore the existence of a continuous marginal law with respect to the Lebesgue
measure for each component $(X, Y, Z) $ of the solution to coupled quadratic forward …
measure for each component $(X, Y, Z) $ of the solution to coupled quadratic forward …
Density for solutions to stochastic differential equations with unbounded drift
Density for solutions to stochastic differential equations with unbounded drift Page 1 Brazilian
Journal of Probability and Statistics 2019, Vol. 33, No. 3, 520–531 https://doi.org/10.1214/18-BJPS400 …
Journal of Probability and Statistics 2019, Vol. 33, No. 3, 520–531 https://doi.org/10.1214/18-BJPS400 …
[HTML][HTML] The density of the solution to the stochastic transport equation with fractional noise
We consider the transport equation driven by the fractional Brownian motion. We study the
existence and the uniqueness of the weak solution and, by using the tools of the Malliavin …
existence and the uniqueness of the weak solution and, by using the tools of the Malliavin …