The basic idea of importance sampling is to use independent samples from a proposal
measure in order to approximate expectations with respect to a target measure. It is key to …

Since we will never really know why the prices of financial assets move, we should at least
make a faithful model of how they move. This was the motivation of Bachelier in 1900, when …

The main aim of this work is to study the asymptotic behavior for multi-scale McKean–Vlasov
stochastic dynamical systems. Firstly, we obtain a central limit type theorem, ie the deviation …

We provide a unified treatment of pathwise large and moderate deviations principles for a
general class of multidimensional stochastic Volterra equations with singular kernels, not …

In this paper, we study the combined mean field and homogenization limits for a system of
weakly interacting diffusions moving in a two-scale, locally periodic confining potential, of …

Introduced recently in mathematical finance by Bayer et al.(2016), the rough Bergomi model
has proved particularly efficient to calibrate option markets. We investigate some of its …

We consider a collection of fully coupled weakly interacting diffusion processes moving in a
two-scale environment. We study the moderate deviations principle of the empirical …

We describe a simple form of importance sampling designed to bound and compute large-
deviation rate functions for time-extensive dynamical observables in continuous-time Markov …

We consider a collection of weakly interacting diffusion processes moving in a two-scale
locally periodic environment. We study the large deviations principle of the empirical …

In this paper, we prove the moderate deviations principle (MDP) for a general system of slow-
fast dynamics. We provide a unified approach, based on weak convergence ideas and …