Search Results - "Bally, Vlad"

A PROBABILISTIC INTERPRETATION OF THE PARAMETRIX METHOD by Bally, Vlad, Kohatsu-Higa, Arturo

“…In this article, we introduce the parametrix technique in order to construct fundamental solutions as a general method based on semigroups and their…”
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A generic construction for high order approximation schemes of semigroups using random grids by Alfonsi, Aurélien, Bally, Vlad

“…Our aim is to construct high order approximation schemes for general semigroups of linear operators P t , t ≥ 0 . In order to do it, we fix a time horizon T…”
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CONVERGENCE AND REGULARITY OF PROBABILITY LAWS BY USING AN INTERPOLATION METHOD by Bally, Vlad, Caramellino, Lucia

“…Fournier and Printems [Bernoulli 16 (2010) 343-360] have recently established a methodology which allows to prove the absolute continuity of the law of the…”
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Total variation distance between a jump-equation and its Gaussian approximation by Bally, Vlad, Qin, Yifeng

“…We deal with stochastic differential equations with jumps. In order to obtain an accurate approximation scheme, it is usual to replace the “small jumps” by a…”
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Using moment approximations to study the density of jump driven SDEs by Bally, Vlad, Caramellino, Lucia, Kohatsu-Higa, Arturo

“…In order to study the regularity of the density of a solution of a infinite activity jump driven stochastic differential equation we consider the following…”
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Integration by parts formula and applications to equations with jumps by Bally, Vlad, Clément, Emmanuelle

“…We establish an integration by parts formula in an abstract framework in order to study the regularity of the law for processes arising as the solution of…”
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Regularization properties of the 2D homogeneous Boltzmann equation without cutoff by Bally, Vlad, Fournier, Nicolas

“…We consider the 2-dimensional spatially homogeneous Boltzmann equation for hard potentials. We assume that the initial condition is a probability measure that…”
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A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS by Bally, Vlad, Pagès, Gilles, Printems, Jacques

“…We present here the quantization method which is well‐adapted for the pricing and hedging of American options on a basket of assets. Its purpose is to compute…”
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Approximation for the invariant measure with applications for jump processes (convergence in total variation distance) by Bally, Vlad, Qin, Yifeng

“…In this paper, we establish an abstract framework for the approximation of the invariant probability measure for a Markov semigroup. Following Pagès and…”
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Integration by Parts Formula for Locally Smooth Laws and Applications to Sensitivity Computations by Bally, Vlad, Bavouzet, Marie-Pierre, Messaoud, Marouen

“…We consider random variables of the form $F=f(V_{1},\ldots ,V_{n})$, where f is a smooth function and $V_{i}$, $i\in {\Bbb N}$, are random variables with…”
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Error analysis of the optimal quantization algorithm for obstacle problems by Bally, Vlad, Pagès, Gilles

“…In the paper Bally and Pagès (2000) an algorithm based on an optimal discrete quantization tree is designed to compute the solution of multi-dimensional…”
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UPPER BOUNDS FOR THE FUNCTION SOLUTION OF THE HOMOGENEOUS 2D BOLTZMANN EQUATION WITH HARD POTENTIAL by Bally, Vlad

“…We deal with ft (dv), the solution of the homogeneous 2D Boltzmann equation without cutoff. The initial condition f₀(dv) may be any probability distribution…”
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The central limit theorem for a nonlinear algorithm based on quantization by Bally, Vlad

“…In a series of papers we have presented an algorithm based on quantization for pricing American options. More generally, this amounts to solving numerically an…”
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Upper bounds for the function solution of the homogenuous 2D Boltzmann equation with hard potential by Bally, Vlad

“…We deal with $f_{t}(dv),$ the solution of the homogeneous $2D$ Boltzmannequation without cutoff. The initial condition $f_{0}(dv)$ may be anyprobability…”
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TOTAL VARIATION DISTANCE BETWEEN STOCHASTIC POLYNOMIALS AND INVARIANCE PRINCIPLES by Bally, Vlad, Caramellino, Lucia

“…The goal of this paper is to estimate the total variation distance between two general stochastic polynomials. As a consequence, one obtains an invariance…”
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Asymptotic development for the CLT in total variation distance by BALLY, VLAD, CARAMELLINO, LUCIA

“…The aim of this paper is to study the asymptotic expansion in total variation in the central limit theorem when the law of the basic random variable is locally…”
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Non universality for the variance of the number of real roots of random trigonometric polynomials by Bally, Vlad, Caramellino, Lucia, Poly, Guillaume

“…In this article, we consider the following family of random trigonometric polynomials p n ( t , Y ) = ∑ k = 1 n Y k 1 cos ( k t ) + Y k 2 sin ( k t ) for a…”
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Construction of Boltzmann and McKean–Vlasov type flows (the sewing lemma approach) by Alfonsi, Aurélien, Bally, Vlad

“…We are concerned with a mixture of Boltzmann and McKean–Vlasov-type equations, this means (in probabilistic terms) equations with coefficients depending on the…”
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On the distances between probability density functions by Bally, Vlad, Caramellino, Lucia

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REGULARITY OF WIENER FUNCTIONALS UNDER A HÖRMANDER TYPE CONDITION OF ORDER ONE by Bally, Vlad, Caramellino, Lucia

“…We study the local existence and regularity of the density of the law of a functional on the Wiener space which satisfies a criterion that generalizes the…”
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