A Hájek-Rényi-type maximal inequality and strong laws of large numbers for multidimensional arrays.
A Haussmann-Clark-Ocone formula for functionals of diffusion processes with Lipschitz coefficients.
A heavy-traffic theorem for the GI/G/1 queue with a Pareto-type service time distribution.
A hidden Markov model for an inventory system with perishable items.
A Hilbert transform for non-homogeneous martingales
A hitting time for Lévy processes, with application to dams and branching processes
A Hölder inequality for holomorphic functions.
A Hölderian FCLT for some multiparameter summation process of independent non-identically distributed random variables.
A horizontal Lévy process on the bundle of orthonormal frames over a complete riemannian manifold
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.
A joint limit theorem for compactly regenerative ergodic transformations
We study conservative ergodic infinite measure preserving transformations satisfying a compact regeneration property introduced by the second-named author in J. Anal. Math. 103 (2007). Assuming regular variation of the wandering rate, we clarify the asymptotic distributional behaviour of the random vector (Zₙ,Sₙ), where Zₙ and Sₙ are respectively the time of the last visit before time n to, and the occupation time of, a suitable set Y of finite measure.
A Journey from Statistics and Probability to Risk Theory An interview with Ludger Rüschendorf
A -out-of- reliability system with an unreliable server and phase type repairs and services: The policy.
A la recherche de la démonstration perdue de Bienaymé
Nous publions et commentons brièvement une démonstration du théorème critique des processus de branchement très vraisemblablement due à Bienaymé.
A large deviation result for the subcritical Bernoulli percolation
A large deviation theorem for the empirical eigenvalue distribution of random unitary matrices
A large Wiener sausage from crumbs.
A lattice gas model for the incompressible Navier–Stokes equation
We recover the Navier–Stokes equation as the incompressible limit of a stochastic lattice gas in which particles are allowed to jump over a mesoscopic scale. The result holds in any dimension assuming the existence of a smooth solution of the Navier–Stokes equation in a fixed time interval. The proof does not use nongradient methods or the multi-scale analysis due to the long range jumps.
A Law of the Iterated Logarithm for a Class of Polynomial Hypergroups.
A law of the iterated logarithm for general lacunary series
We prove a law of the iterated logarithm for sums of the form where the satisfy a Hadamard gap condition. Here we assume that f is a Dini continuous function on ℝⁿ which has the property that for every cube Q of sidelength 1 with corners in the lattice ℤⁿ, f vanishes on ∂Q and has mean value zero on Q.