Réflexion discontinue et systèmes stochastiques
Régularité à droite des surmartingales à deux indices et théorème d'arrêt
Regularity and integrator properties of variation processes of two-parameter martingales with jumps
Regularity of Banach lattice valued martingales
Relèvement horizontal d'une semimartingale càdlàg
Remarks on absolute continuity, contiguity and convergence in variation of probability measures
Remarques sur certaines classes de semimartingales et sur les intégrales stochastiques optionnelles
Remarques sur l'intégrale stochastique de processus non bornés
Représentation de martingales d'opérateurs, d'après Parthasarathy-Sinha
Representation theorems for multi-valued (regular) L...-amarts.
Robust estimates of certain large deviation probabilities for controlled semi-martingales
Motivated by downside risk minimization on the wealth process in an incomplete market model, we have studied in the recent work the asymptotic behavior as time horizon T → ∞ of the minimizing probability that the empirical mean of a controlled semi-martingale falls below a certain level on the time horizon T. This asymptotic behavior relates to a risk-sensitive stochastic control problem in the risk-averse case. Indeed, we obtained an expression of the decay rate of the probability by the Legendre...