A combinatorial derivation of the PASEP stationary state.
A comparison of algorithms to filter noisy observations of a linear differential system driven by Brownian motion and a simple Markov switching process
A comparison theorem for semimartingales and its applications
A compensator characterization of point processes on topological lattices.
A connection between Gaussian processes and Markov processes.
A conservative evolution of the Brownian excursion.
A constructive sharp approach to functional quantization of stochastic processes.
A continuous martingale in the plane that may spiral away to infinity
A continuous-time model for claims reserving
Prediction of outstanding liabilities is an important problem in non-life insurance. In the framework of the Solvency II Project, the best estimate must be derived by well defined probabilistic models properly calibrated on the relevant claims experience. A general model along these lines was proposed earlier by Norberg (1993, 1999), who suggested modelling claim arrivals and payment streams as a marked point process. In this paper we specify that claims occur in [0,1] according to a Poisson point...
A continuous-time search model with finite horizon
A controller and a stopper game with degenerate variance control.
A counterexample related to -weights in martingale theory
A counting process model of survival of parallel load-sharing system
A system composed from a set of independent and identical parallel units is considered and its resistance (survival) against an increasing load is modelled by a counting process model, in the framework of statistical survival analysis. The objective is to estimate the (nonparametrized) hazard function of the distribution of loads breaking the units of the system (i. e. their breaking strengths), to derive the large sample properties of the estimator, and to propose a goodness-of-fit test. We also...
A Cramér type theorem for weighted random variables.
A critical function for the planar brownian convex hull
A description of stochastic systems using chaotic maps.
A deterministic discretisation-step upper bound for state estimation via Clark transformations.
A deterministic displacement theorem for Poisson processes.
A different construction of gaussian fields from Markov chains : Dirichlet covariances
A differentiable isomorphism between Wiener space and path group