Au sujet du contenu probabiliste d'un lemme d'Henri Poincaré
Boundedness on stochastic Petri nets.
Stochastic Petri nets generalize the notion of queuing systems and are a useful model in performance evaluation of parallel and distributed systems. We give necessary and sufficient conditions for the boundedness of a stochastic process related to these nets.
Brownian penalisations related to excursion lengths, VII
Limiting laws, as t→∞, for brownian motion penalised by the longest length of excursions up to t, or up to the last zero before t, or again, up to the first zero after t, are shown to exist, and are characterized.
Carthaginian enlargement of filtrations
This work is concerned with the theory of initial and progressive enlargements of a reference filtration F with a random timeτ. We provide, under an equivalence assumption, slightly stronger than the absolute continuity assumption of Jacod, alternative proofs to results concerning canonical decomposition of an F -martingale in the enlarged filtrations. Also, we address martingales’ characterization in the enlarged filtrations in terms of martingales in the reference filtration, as well as predictable...
Changing time for two-parameter strong martingales
Chemins croissants optionnels et théorème de section
Classes of measures which can be embedded in the simple symmetric random walk.
Contrôle impulsionnel avec retard pour des processus de Markov
Convergence analysis for asymmetric Deffuant-Weisbuch model
In this paper, we investigate the convergence behavior of the asymmetric Deffuant-Weisbuch (DW) models during the opinion evolution. Based on the convergence of the asymmetric DW model that generalizes the conventional DW model, we first propose a new concept, the separation time, to study the transient behavior during the DW model's opinion evolution. Then we provide an upper bound of the expected separation time with the help of stochastic analysis. Finally, we show relations of the separation...
Convergence faible et compacité des temps d'arrêt, d'après Baxter et Chacón
Convergence of values in optimal stopping and convergence of optimal stopping times.
Correction : «Sur l'arrêt optimal de processus à temps multidimensionnel continu»
Correction to "Prophet inequalities for averages of independent non-negative random variables".
Correlated equilibria in competitive staff selection problem
This paper deals with an extension of the concept of correlated strategies to Markov stopping games. The Nash equilibrium approach to solving nonzero-sum stopping games may give multiple solutions. An arbitrator can suggest to each player the decision to be applied at each stage based on a joint distribution over the players' decisions. This is a form of equilibrium selection. Examples of correlated equilibria in nonzero-sum games related to the staff selection competition in the case of two departments...
Corrigendum to “Stability of solutions of BSDEs with random terminal time”
This paper is a corrigendum to paper Toldo, ESAIM, P&S10 (2006) 141–163 where we study the stability of the solutions of Backward Stochastic Differential Equations (BSDE for short) with an almost surely finite random terminal time.
Curve crossing for the reflected Lev́y process at zero and infinity.
Der diskontierte Einarmige Bandit.
Deux remarques sur la séparabilité optionnelle
Die Stoppverteilungen eines Markoff-Prozesses mit lokalendlichem Potential.
Differentiability of excessive functions of one-dimensional diffusions and the principle of smooth fit
The principle of smooth fit is probably the most used tool to find solutions to optimal stopping problems of one-dimensional diffusions. It is important, e.g., in financial mathematical applications to understand in which kind of models and problems smooth fit can fail. In this paper we connect-in case of one-dimensional diffusions-the validity of smooth fit and the differentiability of excessive functions. The basic tool to derive the results is the representation theory of excessive functions;...