Théorème de séparation dans le problème d'arrêt optimal
Théorie générale et changement de temps
Time-homogeneous diffusions with a given marginal at a random time
We solve explicitly the following problem: for a given probability measure μ, we specify a generalised martingale diffusion (Xt) which, stopped at an independent exponential time T, is distributed according to μ. The process (Xt) is specified via its speed measure m. We present two heuristic arguments and three proofs. First we show how the result can be derived from the solution of [Bertoin and Le Jan, Ann. Probab. 20 (1992) 538–548.] to the Skorokhod embedding problem. Secondly, we give a proof...
Time-homogeneous diffusions with a given marginal at a random time
We solve explicitly the following problem: for a given probability measure μ, we specify a generalised martingale diffusion (Xt) which, stopped at an independent exponential time T, is distributed according to μ. The process (Xt) is specified via its speed measure m. We present two heuristic arguments and three proofs. First we show how the result can be derived from the solution of [Bertoin and Le Jan, Ann. Probab.20 (1992) 538–548.] to the Skorokhod embedding problem. Secondly, we give...
Topics in Markov Additive Processes.
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Two-sided exit problem for a spectrally negative -stable Ornstein-Uhlenbeck process and the Wright's generalized hypergeometric functions.
Ultimateness and the Azéma-Yor stopping time
Un ensemble progressivement mesurable...
Un nouveau théorème de projection et de section
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Une propriété des temps prévisibles
Une remarque sur les changements de temps et les martingales locales
Uniform semiamarts
Weighted norm inequalities for martingales
What was Nicolo Tartaglia doing in the night to Ash Wednesday of the year 1523 in Verona. (Was machte Nicolo Tartaglia in der Nacht zum Aschermittwoch des Jahres 1523 in Verona.)
Zum Problem des zweiarmigen Bernoulli-Banditen mit einer bekannten Erfolgswahrscheinlichkeit und unendliche vielen Spielen.
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Оценка распределения момента остановки для одной стохастической системы
Построение цены одной последовательной игры