Random models on regularity-integrability structures

2023/10/16 by I. Bailleul, Bailleul, I., Masato Hoshino +1 · 2 citations
Economics, Econometrics and Finance · #Stochastic processes and financial applications #Financial Risk and Volatility Modeling #Credit Risk and Financial Regulations

paper · pdf · doi:10.48550/arxiv.2310.10202

Abstract

We prove a convergence result for a large class of random models that encompasses the case of the BPHZ models used in the study of singular stochastic PDEs. We introduce for that purpose a useful variation on the notion of regularity structure called a regularity-integrability structure. It allows to deal in a single elementary setting with models on a usual regularity structure and their first order Malliavin derivative.

Cited by

• Transportation cost inequalities for singular SPDEs
• An inductive approach to stochastic estimates for the φ⁴₂-equation with correlated coefficient field
• Renormalisation of singular SPDEs with Correlated Coefficients

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