Search Results - "Menozzi, Stéphane"

A Forward-Backward Stochastic Algorithm for Quasi-Linear PDEs by Delarue, François, Menozzi, Stéphane

“…We propose a time-space discretization scheme for quasi-linear parabolic PDEs. The algorithm relies on the theory of fully coupled forward-backward SDEs, which…”
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An interpolated stochastic algorithm for quasi-linear PDEs by Delarue, François, Menozzi, Stéphane

“…In this paper, we improve the forward-backward algorithm for quasi-linear PDEs introduced in Delarue and Menozzi (2006). The new discretization scheme takes…”
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Convergence rate of the Euler–Maruyama scheme applied to diffusion processes with Lq−Lρ drift coefficient and additive noise by Jourdain, Benjamin, Menozzi, Stéphane

“…We are interested in the time discretization of stochastic differential equations with additive d-dimensional Brownian noise and Lq − Lρ drift coefficient when…”
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Convergence Rate of the Euler-Maruyama Scheme Applied to Diffusion Processes with L Q − L ρ Drift Coefficient and Additive Noise by Jourdain, Benjamin, Menozzi, Stéphane

“…We are interested in the time discretization of stochastic differential equations with additive d-dimensional Brownian noise and L q − L ρ drift coefficient…”
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Weak error for the Euler scheme approximation of diffusions with non-smooth coefficients by Konakov, Valentin, Menozzi, Stéphane

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Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme by Gobet, Emmanuel, Menozzi, Stéphane

“…We are interested in approximating a multidimensional hypoelliptic diffusion process ( X t ) t⩾0 killed when it leaves a smooth domain D. When a discrete Euler…”
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Non Linear Singular Drifts and Fractional Operators: when Besov meets Morrey and Campanato by Chamorro, Diego, Menozzi, Stéphane

“…Within the global setting of singular drifts in Morrey-Campanato spaces presented in Chamorro and Menozzi (Revista Matemática Iberoamericana 32 (N ∘ 4):…”
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Stopped diffusion processes: Boundary corrections and overshoot by Gobet, Emmanuel, Menozzi, Stéphane

“…For a stopped diffusion process in a multidimensional time-dependent domain D , we propose and analyse a new procedure consisting in simulating the process…”
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Weak Error for Stable Driven Stochastic Differential Equations: Expansion of the Densities by Konakov, Valentin, Menozzi, Stéphane

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Strong regularization by Brownian noise propagating through a weak Hörmander structure by Chaudru de Raynal, Paul-Éric, Honoré, Igor, Menozzi, Stéphane

“…We establish strong uniqueness for a class of degenerate SDEs of weak Hörmander type under suitable Hölder regularity conditions for the associated drift term…”
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On multidimensional stable-driven stochastic differential equations with Besov drift by Chaudru de Raynal, Paul-Éric, Menozzi, Stéphane

“…We establish well-posedness results for multidimensional non degenerate α-stable driven SDEs with time inhomogeneous singular drifts in L^r-B^{−1+γ}_{p,q} with…”
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Heat kernel of supercritical SDEs with unbounded drifts by Menozzi, Stéphane, Zhang, Xicheng

“…Let $\alpha\in(0,2)$ and $d\in{\mathbb N}$. Consider the following SDE in ${\mathbb R}^d$:$${\rm d}X_t=b(t,X_t){\rm d} t+a(t,X_{t-}){\rm d} L^{(\alpha)}_t,\ \…”
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Density estimates for a random noise propagating through a chain of differential equations by Delarue, François, Menozzi, Stéphane

“…We here provide two sided bounds for the density of the solution of a system of n differential equations of dimension d, the first one being forced by a…”
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Concentration bounds for stochastic approximations by Frikha, Noufel, Menozzi, Stéphane

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Weak Error for Stable Driven Stochastic Differential Equations: Expansion of the Densities by Konakov, Valentin, Menozzi, Stéphane

“…Consider a multidimensional stochastic differential equation of the form , where ( Z s ) s ≥0 is a symmetric stable process. Under suitable assumptions on the…”
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Two-Sided Bounds for Degenerate Processes with Densities Supported in Subsets of ℝ N by Cinti, Chiara, Menozzi, Stéphane, Polidoro, Sergio

“…We obtain two-sided bounds for the density of stochastic processes satisfying a weak Hörmander condition. In particular we consider the cases when the support…”
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Parametrix techniques and martingale problems for some degenerate Kolmogorov equations by Menozzi, Stephane

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Strong approximations of BSDEs in a domain by BOUCHARD, BRUNO, MENOZZI, STÉPHANE

“…We study the strong approximation of a backward SDE with finite stopping time horizon, namely the first exit time of a forward SDE from a cylindrical domain…”
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The Landau equation for Maxwellian molecules and the Brownian motion on SON(R) by Delarue, François, Menozzi, Stéphane, Nualart, Eulàlia

“…In this paper we prove that the spatially homogeneous Landau equation for Maxwellian moleculescan be represented through the product of two elementary…”
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Improved Simulation for the Killed Brownian Motion in a Cone by Menozzi, Stéphane

“…In this paper, we first give an error expansion of the weak error associated to a discretely killed Brownian motion in a cone that writes as an intersection of…”
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