Remarques sur certaines constructions des mouvements browniens fractionnaires
Remarques sur la convergence des martingales dans les variétés
Remarques sur le prix des actifs contingents
Remarques sur le processus d'Ornstein-Uhlenbeck en dimension infinie
Remarques sur les inégalités de Burkholder-Davis-Gundy
Remarques sur les marches aléatoires dans un demi-groupe avec un idéal compact ayant une probabilité positive
Remarques sur l'intégrale stochastique
Remarques sur l'intégrale stochastique de processus non bornés
Remarques sur une formule de Paul Lévy
Renewal Processes of Mittag-Leffler and Wright Type
2000 MSC: 26A33, 33E12, 33E20, 44A10, 44A35, 60G50, 60J05, 60K05.After sketching the basic principles of renewal theory we discuss the classical Poisson process and offer two other processes, namely the renewal process of Mittag-Leffler type and the renewal process of Wright type, so named by us because special functions of Mittag-Leffler and of Wright type appear in the definition of the relevant waiting times. We compare these three processes with each other, furthermore consider corresponding...
Renewal property of the extrema and tree property of the excursion of a one-dimensional brownian motion
Renewal series and square-root boundaries for Bessel processes.
Renormalization group of and convergence to the LISDLG process
The LISDLG process denoted by J(t) is defined in Iglói and Terdik [ESAIM: PS7 (2003) 23–86] by a functional limit theorem as the limit of ISDLG processes. This paper gives a more general limit representation of J(t). It is shown that process J(t) has its own renormalization group and that J(t) can be represented as the limit process of the renormalization operator flow applied to the elements of some set of stochastic processes. The latter set consists of IGSDLG processes which are generalizations...
Renormalization group of and convergence to the LISDLG process
The LISDLG process denoted by is defined in Iglói and Terdik [ESAIM: PS 7 (2003) 23–86] by a functional limit theorem as the limit of ISDLG processes. This paper gives a more general limit representation of . It is shown that process has its own renormalization group and that can be represented as the limit process of the renormalization operator flow applied to the elements of some set of stochastic processes. The latter set consists of IGSDLG processes which are generalizations of the ISDLG...
Repeated games with asymmetric information modeling financial markets with two risky assets
We consider multistage bidding models where two types of risky assets (shares) are traded between two agents that have different information on the liquidation prices of traded assets. These prices are random integer variables that are determined by the initial chance move according to a probability distribution p over the two-dimensional integer lattice that is known to both players. Player 1 is informed on the prices of both types of shares, but Player 2 is not. The bids may take any integer values....
Representación de variables en el movimiento browniano con deriva.
Se estudia la representación de variables positivas en un movimiento browniano con deriva, mediante tiempos de espera minimales asociados a barreras. Se trata también la representación de procesos crecientes, discretos y continuos por la derecha.
Representation and prediction for locally harmonizable isotropic random fields.
Représentation de martingales d'opérateurs, d'après Parthasarathy-Sinha
Représentation des mesures par des fonctionnelles additives entre deux temps
Représentation du processus d’Ornstein-Uhlenbeck à paramètres