Reflected backward stochastic differential equation with jumps and random obstacle.
Régularisation d'équations de Stratonovitch à sauts entre variétés
Regularity of solutions to stochastic Volterra equations
We study regularity of stochastic convolutions solving Volterra equations on driven by a spatially homogeneous Wiener process. General results are applied to stochastic parabolic equations with fractional powers of Laplacian.
Regularity properties of a stochastic convolution integral
Si studiano proprietà di regolarità di un integrale di convoluzione del tipo Itȏ.
Reliability of difference analogues to preserve stability properties of stochastic Volterra integro-differential equations.
Renewal theorems for linear discrete Volterra equations.
Robust estimates of certain large deviation probabilities for controlled semi-martingales
Motivated by downside risk minimization on the wealth process in an incomplete market model, we have studied in the recent work the asymptotic behavior as time horizon T → ∞ of the minimizing probability that the empirical mean of a controlled semi-martingale falls below a certain level on the time horizon T. This asymptotic behavior relates to a risk-sensitive stochastic control problem in the risk-averse case. Indeed, we obtained an expression of the decay rate of the probability by the Legendre...