(Conférence n°4) Accouplement de processus linéaires. Images de probabilités cylindriques par certaines applications non linéaires
Confidence bands for spectral characteristics [Abstract of thesis]
Conformal martingales and analytic functions.
Conjugate Characterizations of H1 Dyadic Martingales.
Conjugate martingale transforms
Characterizations of H₁, BMO and VMO martingale spaces generated by bounded Vilenkin systems via conjugate martingale transforms are studied.
Connected allocation to Poisson points in .
Connectivity bounds for the vacant set of random interlacements
The model of random interlacements on ℤd, d≥3, was recently introduced in [Vacant set of random interlacements and percolation. Available at http://www.math.ethz.ch/u/sznitman/preprints]. A non-negative parameter u parametrizes the density of random interlacements on ℤd. In the present note we investigate connectivity properties of the vacant set left by random interlacements at level u, in the non-percolative regime u>u∗, with u∗ the non-degenerate critical parameter for the percolation...
Connexions et martingales dans les groupes de Lie
Consistent minimal displacement of branching random walks.
Consistent price systems for subfiltrations
Asymmetric or partial information in financial markets may be represented by different filtrations. We consider the case of a larger filtration F – the natural filtration of the “model world” – and a subfiltration that represents the information available to an agent in the “real world”. Given a price system on the larger filtration that is represented by a martingale measure Q and an associated numeraire S, we show that there is a canonical and nontrivial numeraire Ŝ such that the price system...
Constrained portfolio liquidation in a limit order book model
We consider the problem of optimally placing market orders so as to minimize the expected liquidity costs from buying a given amount of shares. The liquidity price impact of market orders is described by an extension of a model for a limit order book with resilience that was proposed by Obizhaeva and Wang (2006). We extend their model by allowing for a time-dependent resilience rate, arbitrary trading times, and general equilibrium dynamics for the unaffected bid and ask prices. Our main results...
Construction de quasimartingales s'annulant sur un ensemble donné
Construction d'un processus prévisible ayant une valeur donnée en un temps d'arrêt
Construction d'une martingale réelle continue de filtration naturelle donnée
Construction of a class of stationary processes with applications in reliability
Construction of diffusion processes with Wentzell's boundary conditions by means of Poisson point processes of Brownian excursions
Construction of markovian coalescents
Construction of semimartingales from pieces by the method of excursion point processes
Contiguity and LAN-property of sequences of Poisson processes
Using the concept of Hellinger integrals, necessary and sufficient conditions are established for the contiguity of two sequences of distributions of Poisson point processes with an arbitrary state space. The distribution of logarithm of the likelihood ratio is shown to be infinitely divisible. The canonical measure is expressed in terms of the intensity measures. Necessary and sufficient conditions for the LAN-property are formulated in terms of the corresponding intensity measures.
Continuité des fonctions aléatoires sphériquement invariantes