A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility.
Anticipative calculus for the Poisson process based on the Fock space
Chaos expansions and local times.
In this note we prove that the Local Time at zero for a multiparametric Wiener process belongs to the Sobolev space D for any ε > 0. We do this computing its Wiener chaos expansion. We see also that this expansion converges almost surely. Finally, using the same technique we prove similar results for a renormalized Local Time for the autointersections of a planar Brownian motion.
A microbiology application of the skew-Laplace distribution.
Flow cytometry scatter are ofen used in microbiology, and their measures are related to bacteria size and granularity. We present an application of the skew-Laplace distribution to flow cytometry data. The goodness of fit is evaluated both graphically and numerically. We also study skewness and kurtosis values to assess usefulness of the skew-Laplace distribution.
Sur certaines relations entre les intégrales trajectorielles et l'opérateur de translation et son dual dans l'espace de Poisson canonique.
We study the relationship between the translation operator, its dual and the pathwise integral on the Poisson space with weak conditions on the processes.
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