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Conditional principles for random weighted measures

Nathael Gozlan (2005)

ESAIM: Probability and Statistics

In this paper, we prove a conditional principle of Gibbs type for random weighted measures of the form L n = 1 n i = 1 n Z i δ x i n , ( Z i ) 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.

Conditional principles for random weighted measures

Nathael Gozlan (2010)

ESAIM: Probability and Statistics

In this paper, we prove a conditional principle of Gibbs type for random weighted measures of the form L n = 1 n i = 1 n Z i δ x i n , ((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.

Dislocation measure of the fragmentation of a general Lévy tree

Guillaume Voisin (2011)

ESAIM: Probability and Statistics

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

Guillaume Voisin (2012)

ESAIM: Probability and Statistics

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....

Dynamic term structure modelling with default and mortality risk: new results on existence and monotonicity

Thorsten Schmidt, Stefan Tappe (2015)

Banach Center Publications

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

Christian Léonard (2010)

ESAIM: Probability and Statistics

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...

Currently displaying 21 – 40 of 150