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From Tiziano Vargiolu
* General conditions of weak convergence - Convergence of sums - Multiplicative scheme* Monotonicity along the diagonal of a triangular matrix in the Cholesky… -
From Tiziano Vargiolu
- Asymptotic behavior of maximal functionals - Representation results for Gaussian processes that create the generalized quasi-helix - Representation theorems for Holder… -
From Tiziano Vargiolu
Introduction Model of asset price and payoff function: additional assumptions, auxiliary properties Elements of Malliavin calculus and application to option pricing The… -
From Tiziano Vargiolu
1. Cox-Ingersoll-Ross equations with fBm. 2. Equations with unbounded drift. 3. Reflected Ornstein-Uhlenbeck equations. -
From Tiziano Vargiolu
1. Integration with respect to fBm. 2. Elements of fractional and fractional stochastic calculus. 3. Stochastic differential equations with fBm and smooth coefficients.