Determinism and martingale decompositions of strictly stationary random processes
Deterministic characterization of viability for stochastic differential equation driven by fractional brownian motion
In this paper, using direct and inverse images for fractional stochastic tangent sets, we establish the deterministic necessary and sufficient conditions which control that the solution of a given stochastic differential equation driven by the fractional Brownian motion evolves in some particular sets K. As a consequence, a comparison theorem is obtained.
Deux applications de la décomposition de Galtchouk-Kunita-Watanabe
Deux exemples d'utilisation de mesures majorantes
Deux remarques sur la séparabilité optionnelle
Développement des distributions suivant les chaos de Wiener et applications à l'analyse stochastique
Deviation inequalities and moderate deviations for estimators of parameters in bifurcating autoregressive models
The purpose of this paper is to investigate the deviation inequalities and the moderate deviation principle of the least squares estimators of the unknown parameters of general th-order asymmetric bifurcating autoregressive processes, under suitable assumptions on the driven noise of the process. Our investigation relies on the moderate deviation principle for martingales.
Die Anzahl der lokalen Maximalstellen eines stationären Gauszschen Prozesses.
Die Stoppverteilungen eines Markoff-Prozesses mit lokalendlichem Potential.
Different approaches to stochastic parabolic differential equations
Differentation along algebras.
Differentiability of excessive functions of one-dimensional diffusions and the principle of smooth fit
The principle of smooth fit is probably the most used tool to find solutions to optimal stopping problems of one-dimensional diffusions. It is important, e.g., in financial mathematical applications to understand in which kind of models and problems smooth fit can fail. In this paper we connect-in case of one-dimensional diffusions-the validity of smooth fit and the differentiability of excessive functions. The basic tool to derive the results is the representation theory of excessive functions;...
Differentiability of multiplicative processes related to branching random walks
Differential equations driven by gaussian signals
We consider multi-dimensional gaussian processes and give a new condition on the covariance, simple and sharp, for the existence of Lévy area(s). gaussian rough paths are constructed with a variety of weak and strong approximation results. Together with a new RKHS embedding, we obtain a powerful – yet conceptually simple – framework in which to analyze differential equations driven by gaussian signals in the rough paths sense.
Différents types de martingales à deux indices
Différents types de variations-produit pour une semi-martingale représentable à deux paramètres
Nous étendons les notions de processus croissants associés à un processus au cas des processus à paramètre bidimensionnel : existence et égalité de limites de sommes de carrés d’accroissements (conditionnés ou non) sur des rectangles, sur des segments parallèles, ou mixtes.
Diffusion in long-range correlated Ornstein-Uhlenbeck flows.
Diffusions à coefficients continus, d'après Stroock et Varadhan
Dimension and Entropy of a Non-ergodic Markovian Process and its Relation to Rademacher Riesz Products.
Directional Analysis of Fibre Processes Related to Boolean Models.