Competing super-Brownian motions as limits of interacting particle systems.
Computation of moments for the length of the one dimensional ISE support.
Conditional principles for random weighted measures
In this paper, we prove a conditional principle of Gibbs type for random weighted measures of the form , being a sequence of i.i.d. real random variables. Our work extends the preceding results of Gamboa and Gassiat (1997), in allowing to consider thin constraints. Transportation-like ideas are used in the proof.
Conditional principles for random weighted measures
In this paper, we prove a conditional principle of Gibbs type for random weighted measures of the form , ((Zi)i being a sequence of i.i.d. real random variables. Our work extends the preceding results of Gamboa and Gassiat (1997), in allowing to consider thin constraints. Transportation-like ideas are used in the proof.
Construction of markovian coalescents
Convergence of a “Gibbs-Boltzmann” random measure for a typed branching diffusion
Convergence of lattice trees to super-Brownian motion above the critical dimension.
Convex analysis for sets of local martingales measures
Corrections : «Mesures à accroissements indépendants et P.A.I. non homogènes»
Countable representation for infinite dimensional diffusions derived from the two-parameter Poisson-Dirichlet process.
Cylindrical Measures on Vector Lattices and Random Measures.
Dislocation measure of the fragmentation of a general Lévy tree
Given a general critical or sub-critical branching mechanism and its associated Lévy continuum random tree, we consider a pruning procedure on this tree using a Poisson snake. It defines a fragmentation process on the tree. We compute the family of dislocation measures associated with this fragmentation. This work generalizes the work made for a Brownian tree [R. Abraham and L. Serlet, Elect. J. Probab. 7 (2002) 1–15] and for a tree without Brownian part [R. Abraham and J.-F. Delmas, Probab. Th....
Dislocation measure of the fragmentation of a general Lévy tree
Given a general critical or sub-critical branching mechanism and its associated Lévy continuum random tree, we consider a pruning procedure on this tree using a Poisson snake. It defines a fragmentation process on the tree. We compute the family of dislocation measures associated with this fragmentation. This work generalizes the work made for a Brownian tree [R. Abraham and L. Serlet, Elect. J. Probab.7 (2002) 1–15] and for a tree without Brownian part [R. Abraham and J.-F. Delmas, Probab. Th....
Distributions gaussiennes et temps locaux d'intersection
Dynamic monetary risk measures for bounded discrete-time processes.
Dynamic term structure modelling with default and mortality risk: new results on existence and monotonicity
This paper considers dynamic term structure models like the ones appearing in portfolio credit risk modelling or life insurance. We study general forward rate curves driven by infinitely many Brownian motions and an integer-valued random measure, generalizing existing approaches in the literature. A precise characterization of absence of arbitrage in such markets is given in terms of a suitable criterion for no asymptotic free lunch (NAFL). From this, we obtain drift conditions which are equivalent...
Entropic Projections and Dominating Points
Entropic projections and dominating points are solutions to convex minimization problems related to conditional laws of large numbers. They appear in many areas of applied mathematics such as statistical physics, information theory, mathematical statistics, ill-posed inverse problems or large deviation theory. By means of convex conjugate duality and functional analysis, criteria are derived for the existence of entropic projections, generalized entropic projections and dominating points. Representations...
Équilibre statistique pour les produits de difféomorphismes aléatoires indépendants
Equivalence et orthogonalité des mesures aléatoires engendrées par martingales positives homogènes
Estimate of spectral gap for continuous gas