Décomposition des martingales locales et formules exponentielles
Décomposition des martingales locales et raréfaction des sauts
Décomposition des processus aléatoires, une comparaison entre les méthodes factorielles et l'analyse spectrale
Décomposition du mouvement brownien avec dérive en un minimum local par juxtaposition de ses excursions positives et négatives
Decomposition in stereological unfolding problems
Decomposition of two parameter martingales.
In this paper we exhibit some decompositions in orthogonal stochastic integrals of two-parameter square integrable martingales adapted to a Brownian sheet which generalize the representation theorem of E. Wong and M. Zakai ([6]). Concretely, a development in a series of multiple stochastic integrals is obtained for such martingales. These results are applied for the characterization of martingales of path independent variation.
Decompositional analysis of Kronecker structured Markov chains.
Décompositions d'un intervalle réel et des ensembles de Cantor
Décompositions multiplicatives de semimartingales exponentielles et applications
Defaultable bonds with an infinite number of Lévy factors
A market with defaultable bonds where the bond dynamics is in a Heath-Jarrow-Morton setting and the forward rates are driven by an infinite number of Lévy factors is considered. The setting includes rating migrations driven by a Markov chain. All basic types of recovery are investigated. We formulate necessary and sufficient conditions (generalized HJM conditions) under which the market is arbitrage-free. Connections with consistency conditions are discussed.
Defaultable game options in a hazard process model.
Defects and transformations of quasi-copulas
Six different functions measuring the defect of a quasi-copula, i. e., how far away it is from a copula, are discussed. This is done by means of extremal non-positive volumes of specific rectangles (in a way that a zero defect characterizes copulas). Based on these defect functions, six transformations of quasi-copulas are investigated which give rise to six different partitions of the set of all quasi-copulas. For each of these partitions, each equivalence class contains exactly one copula being...
Définition et lois de probabilité des répartitions ponctuelles aléatoires
Deformation quantization in white noise analysis.
Degenerate limit laws for the maxima of trigonometric polynomials with random coefficients
Degenerate stochastic differential equations arising from catalytic branching networks.
Degenerate stochastic differential equations for catalytic branching networks
Uniqueness of the martingale problem corresponding to a degenerate SDE which models catalytic branching networks is proven. This work is an extension of the paper by Dawson and Perkins [Illinois J. Math.50 (2006) 323–383] to arbitrary catalytic branching networks. As part of the proof estimates on the corresponding semigroup are found in terms of weighted Hölder norms for arbitrary networks, which are proven to be equivalent to the semigroup norm for this generalized setting.
Degree distribution nearby the origin of a preferential attachment graph.
Delay analysis of an priority queueing system with push-out scheme.
Delay equations driven by rough paths.