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Alan Teixeira

Publications and source records attributed to Alan Teixeira.

4 recordsLinked to original sources
arXiv2024

About semilinear low dimension Bessel PDEs

We prove existence and uniqueness of solutions of a semilinear PDE driven by a Bessel type generator$L^\delta$ with low dimension $0 < \delta < 1$. $L^\delta$ is a local operator, whose drift is thederivative of $x \mapsto \log (\vert x\vert)$:in particular it is a Schwartz distribution, whichis not the derivative of a continuous function.The solutions are intended in a duality (''weak'') sensewith respect to state space$L^2(\mathbb{R}_+, d\mu),$ $\mu$ being an invariant measure for the Bessel semigroup.

math.PR↗
arXiv2022

On Sdes For Bessel Processes In Low Dimension And Path-dependent Extensions

The Bessel process in low dimension (0 $\le$ $δ$ $\le$ 1) is not an It{ô} process and it is a semimartingale only in the cases $δ$ = 1 and $δ$ = 0. In this paper we first characterize it as the unique solution of an SDE with distributional drift or more precisely its related martingale problem. In a second part, we introduce a suitable notion of path-dependent Bessel processes and we characterize them as solutions of path-dependent SDEs with distributional drift.

math.PR↗
arXiv2021

Rough paths and regularization

Calculus via regularizations and rough paths are two methods to approach stochastic integration and calculus close to pathwise calculus. The origin of rough paths theory is purely deterministic, calculus via regularization is based on deterministic techniques but there is still a probability in the background. The goal of this paper is to establish a connection between stochastically controlled-type processes, a concept reminiscent from rough paths theory, and the so-called weak Dirichlet processes. As a by-product, we present the connection between rough and Stratonovich integrals for c{à}dl{à}g weak Dirichlet processes integrands and continuous semimartingales integrators.

math.PR↗