Les filtrations de certaines martingales du mouvement brownien dans
Les intervalles de constance de
Les processus à accroissements indépendants et les équations de structure
Les semi-martingales formelles
Lévy's area under conditioning
Lifting theorems for some classes of two parameter martingales.
Limit theorems for the canonical von Mises statistics with dependent data.
L'intégrale stochastique considérée comme une intégrale par rapport à une mesure vectorielle
Local martingales and filtration shrinkage
A general theory is developed for the projection of martingale related processes onto smaller filtrations, to which they are not even adapted. Martingales, supermartingales, and semimartingales retain their nature, but the case of local martingales is more delicate, as illustrated by an explicit case study for the inverse Bessel process. This has implications for the concept of No Free Lunch with Vanishing Risk, in Finance.
Local martingales and filtration shrinkage
A general theory is developed for the projection of martingale related processes onto smaller filtrations, to which they are not even adapted. Martingales, supermartingales, and semimartingales retain their nature, but the case of local martingales is more delicate, as illustrated by an explicit case study for the inverse Bessel process. This has implications for the concept of No Free Lunch with Vanishing Risk, in Finance.
Local times and singularities of continuous local martingales
Lois de martingale, densités et décomposition de Föllmer Schweizer
Majoration dans du type Métivier-Pellaumail pour les semimartingales
Markov dilation of diffusion type processes and its application to the financial mathematics.
Martingale measures in the market with restricted information.
Maximal Inequalities for Stochastic Integrals
Maximal regularity for stochastic convolutions in spaces
We prove an optimal regularity result for stochastic convolutions in certain Banach spaces. It is stated in terms of real interpolation spaces.
Métrisabilité de quelques espaces de processus aléatoires
Milstein’s type schemes for fractional SDEs
Weighted power variations of fractional brownian motion B are used to compute the exact rate of convergence of some approximating schemes associated to one-dimensional stochastic differential equations (SDEs) driven by B. The limit of the error between the exact solution and the considered scheme is computed explicitly.
Minimization of the Kullback information of diffusion processes