Probability Group:
Recent publications

Preprints

I. Gyongy and G. Michaletzky, On diffusion approximations with delta-martingales.
I. Gyongy and N. Krylov, On splitting up method and stochastic partial differential equations.
I. Gyongy, Approximations of Stochastic Partial Differential Equations.
I. Gyongy and T. Martinez, On finite difference schemes for stochastic partial differential equations of elliptic type.
S. Assing and R. Manthey, Invariant measures for stochastic heat equations with unbounded coefficients.
S. Assing A pregenerator for Burgers equation driven by conservative noise, to appear in Commun. Math. Phys.
A. Camara, X. Mao and S. Sabanis The temporal dimension of cash in an option pricing model.
X. Mao, E. Renshaw and S. Sabanis Asymptotic Behaviour of the Stochastic Lotka-Volterra Model.
X. Mao and S. Sabanis Numerical solutions of stochastic differential delay equations.
S. Sabanis Stochastic Volatility, to appear in International Journal of Theoretical and Applied Finance.
S. Sabanis Stochastic Volatility and the Mean Reverting Process, to appear in The Journal of Futures Markets.

I. Gyongy Approximations of Stochastic Partial Differential Equations. Stochastic Partial Differential Equations and Applications (Eds. G. Da Prato and L. Tubaro), 287-307, Marcel Dekker Inc. New York 2002.

A. Alabert and I. Gyongy On stochastic reaction-diffusion equations with singular force term, Bernoulli 7(1) 145-164
I. Gyongy Tsirel'son's example for stochastic partial differential equations, Acta Mathematica Hungarica 93(3) 243-248
I. Gyongy and M. Martinez, On stochastic differential equations with locally unbounded drift, Czechoslovak Mathematical Journal 51(126) 763-783
S. Assing Infinite dimensional Langevin equations: Uniqueness and rate of convergence for finite dimensional approximations, Probab. Theory Relat. Fields, 120 143-167.

I. Gyongy and C. Rovira, On L^p solutions of semilinear stochastic partial differential equations, Stoch. Processes and their Applns. 90 83-108.

I. Gyongy and D. Nualart, On the stochastic Burgers' equation in the real line, Ann. Prob. 27 782-802.
I. Gyongy Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise II, Potential. Anal. 11 1-37.
I. Gyongy and C. Rovira, On stochastic partial differential equations with polynomial nonlinearities Stochastics and Stochastics Reports 67 123-146.
I. Gyongy Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise II., Potential Analysis 11 1-37.
S. Assing Comparison of Systems of Stochastic Partial Differential Equations, Stoch. Proc. Appl. 82 259-282.

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