Théorèmes limite fonctionnels pour les processus de vraisemblance (cadre asymptotiquement non gaussien)
Théorèmes limites avec poids pour les martingales vectorielles
Théorèmes limites avec poids pour les martingales vectorielles à temps continu
On développe une approche générale du théorème limite centrale presque-sûre pour les martingales vectorielles quasi-continues à gauche convenablement normalisées dont on dégage une extension quadratique et un nouveau théorème de la limite centrale. L'application de ce résultat à l'estimation de la variance d'un processus à accroissements indépendants et stationnaires illustre l'usage qu'on peut en faire en statistique.
Théorèmes limites avec poids pour les martingales vectorielles
We give limit theorems specifying weak and strong rates of convergence associated to a quadratic extension of the martingale almost-sure central limit theorem. Some typical examples are discussed to illustrate how to make use of them in statistic.
Théorèmes limites pour certaines fonctionnelles associées aux processus stables sur l'espace de Hölder.
In this paper we study the Hölder regularity property of the local time of a symmetric stable process of index 1 < α ≤ 2 and of its fractional derivative as a doubly indexed process with respect to the space and the time variables. As an application we establish some limit theorems for occupation times of one-dimensional symmetric stable processes in the space of Hölder continuous functions. Our results generalize those obtained by Fitzsimmons and Getoor for stable processes in the space...
Théorèmes limites pour les marches aléatoires sur le dual de
Théorie de Littlewood-Paley-Stein et processus stables
Théorie générale et changement de temps
Théorie géométrique de la Représentation Markovienne
There exists no ultimate solution to Skorokhod's problem
Thin points for brownian motion
Three-dimensional reflected driftless random walks in troughs : new asymptotic behavior
Tightness criteria for laws of semimartingales
Tightness of Continuous Stochastic Processes
Some sufficient conditins for tightness of continuous stochastic processes is given. It is verified that in the classical tightness sufficient conditions for continuous stochastic processes it is possible to take a continuous nondecreasing stochastic process instead of a deterministic function one.
Tightness results for laws of diffusion processes application to stochastic mechanics
Time dependent subordination and Markov processes with jumps
Time reversal for drifted fractional Brownian motion with Hurst index .
Time reversal of non-Markov point processes
Time-homogeneous diffusions with a given marginal at a random time
We solve explicitly the following problem: for a given probability measure μ, we specify a generalised martingale diffusion (Xt) which, stopped at an independent exponential time T, is distributed according to μ. The process (Xt) is specified via its speed measure m. We present two heuristic arguments and three proofs. First we show how the result can be derived from the solution of [Bertoin and Le Jan, Ann. Probab. 20 (1992) 538–548.] to the Skorokhod embedding problem. Secondly, we give a proof...
Time-homogeneous diffusions with a given marginal at a random time
We solve explicitly the following problem: for a given probability measure μ, we specify a generalised martingale diffusion (Xt) which, stopped at an independent exponential time T, is distributed according to μ. The process (Xt) is specified via its speed measure m. We present two heuristic arguments and three proofs. First we show how the result can be derived from the solution of [Bertoin and Le Jan, Ann. Probab.20 (1992) 538–548.] to the Skorokhod embedding problem. Secondly, we give...