Displaying similar documents to “Polynomial deviation bounds for recurrent Harris processes having general state space”

Simulation and approximation of Lévy-driven stochastic differential equations

Nicolas Fournier (2011)

ESAIM: Probability and Statistics

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We consider the approximate Euler scheme for Lévy-driven stochastic differential equations. We study the rate of convergence in law of the paths. We show that when approximating the small jumps by Gaussian variables, the convergence is much faster than when simply neglecting them. For example, when the Lévy measure of the driving process behaves like ||d near , for some ∈ (1,2), we obtain an error of order 1/√ with a computational cost of order . For a similar error when neglecting...

Relaxation in BV of integrals with superlinear growth

Parth Soneji (2014)

ESAIM: Control, Optimisation and Calculus of Variations

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We study properties of the functional ℱ loc ( u , Ω ) : = inf ( u j ) lim inf j → ∞ ∫ Ω f ( ∇ u j ) x ( u j ) ⊂ W loc 1 , r Ω , u j u in Ω , , F loc ( u,Ω ) : = inf ( u j ) lim inf j → ∞ ∫ Ω f ( ∇ u j ) d x , whereu ∈ BV(Ω;R N ), and f:R N × n → R is continuous and satisfies 0 ≤ f(ξ)...

Linear diffusion with stationary switching regime

Xavier Guyon, Serge Iovleff, Jian-Feng Yao (2010)

ESAIM: Probability and Statistics

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Let be a Ornstein–Uhlenbeck diffusion governed by a stationary and ergodic process : ddd. We establish that under the condition with the stationary distribution of the regime process , the diffusion is ergodic. We also consider conditions for the existence of moments for the invariant law of when is a Markov jump process having a finite number of states. Using results on random difference equations on one hand and the fact that conditionally to , is Gaussian on the other...

Adding constraints to BSDEs with jumps: an alternative to multidimensional reflections

Romuald Elie, Idris Kharroubi (2014)

ESAIM: Probability and Statistics

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This paper is dedicated to the analysis of backward stochastic differential equations (BSDEs) with jumps, subject to an additional global constraint involving all the components of the solution. We study the existence and uniqueness of a minimal solution for these so-called constrained BSDEs with jumps a penalization procedure. This new type of BSDE offers a nice and practical unifying framework to the notions of constrained BSDEs presented in [S. Peng and M. Xu, (2007)] and BSDEs with...