papers
Publications (12)
math.PR2017
Statistical estimation of the Oscillating Brownian Motion
Antoine Lejay, Paolo Pigato
math.PR2007
On the constructions of the skew Brownian motion
Antoine Lejay
math.PR2016
The snapping out Brownian motion
Antoine Lejay
math.PR2009
Global existence for rough differential equations under linear growth conditions
Massimiliano Gubinelli, Antoine Lejay
math.PR2019
The non-linear sewing lemma I : weak formulation
Antoine Brault, Antoine Lejay
math.PR2006
A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
Antoine Lejay, Miguel Martinez
math.PR2011
Is a Brownian skew?
Antoine Lejay, Ernesto Mordecki, Soledad Torres
math.PR2017
Sensitivity of rough differential equations: an approach through the Omega lemma
Laure Coutin, Antoine Lejay
math.PR2010
Simulation of diffusions by means of importance sampling paradigm
Madalina Deaconu, Antoine Lejay
q-fin.CP2019
A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data
Antoine Lejay, Paolo Pigato
math.ST2008
Estimation of the Brownian dimension of a continuous Itô process
Jean Jacod, Antoine Lejay, Denis Talay
math.PR2004
Young integrals and SPDEs
Antoine Lejay, Massimiliano Gubinelli, Samy Tindel