The notion of -weak dependence and its applications to bootstrapping time series.
The number of absorbed individuals in branching brownian motion with a barrier
We study supercritical branching Brownian motion on the real line starting at the origin and with constant drift . At the point , we add an absorbing barrier, i.e. individuals touching the barrier are instantly killed without producing offspring. It is known that there is a critical drift , such that this process becomes extinct almost surely if and only if . In this case, if denotes the number of individuals absorbed at the barrier, we give an asymptotic for as goes to infinity. If ...
The numerical valuation of options with underlying jumps.
The ODE method for some self-interacting diffusions on ℝd
The aim of this paper is to study the long-term behavior of a class of self-interacting diffusion processes on ℝd. These are solutions to SDEs with a drift term depending on the actual position of the process and its normalized occupation measure μt. These processes have so far been studied on compact spaces by Benaïm, Ledoux and Raimond, using stochastic approximation methods. We extend these methods to ℝd, assuming a confinement potential satisfying some conditions. These hypotheses on the confinement...
The one dimensional annealed δ-Lyapounov exponent
The Operators Aγ = γA + -γA for a Class of Nondissipative Operators A with a Limit of the Corresponding Correlation Function
2000 Mathematics Subject Classification: Primary 47A48, Secondary 60G12In this work we present the operators Aγ = γA + -γA with Re γ = 1/2 in the case of an operator A from the class of nondissipative operators generating nonselfadjoint curves, whose correlation functions have a limit as t → ±∞. The asympthotics of the stationary curves e^(itAγ)f as t → ±∞ onto the absolutely continuous subspace of Aγ are obtained. These asymptotics and the obtained asymptotics in [9] of the nondissipative curves...
The Optimal Control in Batch Arrival Queue With Server Vacations, Startup and Breakdowns
The optional sampling theorem for convex set valued martingales.
The Order Aspect of the Fuzzy Real Line.
The ordering of experimental designs. A Hilbert space approach
The ordinary differential equation approach to asymptotically efficient schemes for solution of stochastic differential equations
The outer-distance of nodes in random trees.
The packing measure of the trajectory of a one-dimensional symmetric Cauchy process.
The parabolic Anderson model in a dynamic random environment: Basic properties of the quenched Lyapunov exponent
In this paper we study the parabolic Anderson equation , , , where the -field and the -field are -valued, is the diffusion constant, and is the discrete Laplacian. The -field plays the role of adynamic random environmentthat drives the equation. The initial condition , , is taken to be non-negative and bounded. The solution of the parabolic Anderson equation describes the evolution of a field of particles performing independent simple random walks with binary branching: particles jump...
The parabolic-parabolic Keller-Segel equation
I present in this note recent results on the uniqueness and stability for the parabolic-parabolic Keller-Segel equation on the plane, obtained in collaboration with S. Mischler in [11].
The partial inner product space method: a quick overview.
The partial Malliavin calculus
The perfection of multiplicative functionals
The PH/M/c queue with varying environment
The Picard boundary value problem for a third order stochastic difference equation