Calculs stochastiques directs sur les trajectoires et propriétés des boréliens porteurs
Caractérisation des martingales à deux paramètres indépendantes du chemin
Caractérisation des semimartingales
Caractérisation des semimartingales, d'après Dellacherie
Caractérisation d'une classe de semimartingales
Caractérisation d’une classe d’ensembles convexes de ou
Caractéristiques locales des semi-martingales et changements de probabilités
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
Chaoticity on a stochastic interval
Characterization of a regular family of semimartingales by line integrals.
Classe et martingales fortes à paramètre bidimensionnel
Closed sets supporting a continuous divergent martingale
Comments on a single server queue.
Comparison principle approach to utility maximization
We consider the problem of optimal investment for maximal expected utility in an incomplete market with trading strategies subject to closed constraints. Under the assumption that the underlying utility function has constant sign, we employ the comparison principle for BSDEs to construct a family of supermartingales leading to a necessary and sufficient condition for optimality. As a consequence, the value function is characterized as the initial value of a BSDE with Lipschitz growth.
Compensation de processus à variation finie non localement intégrables
Complément à l'exposé précédent
Computing the expectation of the Azéma-Yor stopping times
Concentration inequalities for semi-bounded martingales
In this paper, we apply the technique of decoupling to obtain some exponential inequalities for semi-bounded martingale, which extend the results of de la Peña, Ann. probab. 27 (1999) 537–564.
Concentration inequalities for semi-bounded martingales
In this paper, we apply the technique of decoupling to obtain some exponential inequalities for semi-bounded martingale, which extend the results of de la Peña, Ann. probab.27 (1999) 537–564.