On different classes of algebraic polynomials with random coefficients.
On domains of attraction of record value distributions
On ℝd-valued peacocks
In this paper, we consider ℝd-valued integrable processes which are increasing in the convex order, i.e. ℝd-valued peacocks in our terminology. After the presentation of some examples, we show that an ℝd-valued process is a peacock if and only if it has the same one-dimensional marginals as an ℝd-valued martingale. This extends former results, obtained notably by Strassen [Ann. Math. Stat. 36 (1965) 423–439], Doob [J. Funct. Anal. 2 (1968) 207–225] and Kellerer [Math. Ann. 198 (1972) 99–122].
On equivalent martingale measures with bounded densities
On estimates of mean values of random AR-fields.
On estimating the memory for finitarily markovian processes
On estimation in random fields generated by linear stochastic partial differential equations
On exchangeable random variables and the statistics of large graphs and hypergraphs.
On Existence of Local Martingale Measures for Insiders who Can Stop at Honest Times
We consider a market with two types of agents with different levels of information. In addition to a regular agent, there is an insider whose additional knowledge consists of being able to stop at an honest time Λ. We show, using the multiplicative decomposition of the Azéma supermartingale, that if the martingale part of the price process has the predictable representation property and Λ satisfies some mild assumptions, then there is no equivalent local martingale measure for the insider. This...
On Expectation of the Maximum for Sums of Independent Random Variables.
On extrapolation in multiple ARMA processes
On Extrapolation of Moving Average and Autoregressive Processes
On extremal dependence of block vectors
Due to globalization and relaxed market regulation, we have assisted to an increasing of extremal dependence in international markets. As a consequence, several measures of tail dependence have been stated in literature in recent years, based on multivariate extreme-value theory. In this paper we present a tail dependence function and an extremal coefficient of dependence between two random vectors that extend existing ones. We shall see that in weakening the usual required dependence allows to...
On extremal solutions of martingale problems
On factorization components of the sojourn times for semicontinuous random walks in a strip.
On Feller's criterion for the law of the iterated logarithm.
On filtrations related to purely discontinuous martingales
On fractional fields indexed by metric spaces.
On fully coupled continuous time random walks
Continuous time random walks with jump sizes equal to the corresponding waiting times for jumps are considered. Sufficient conditions for the weak convergence of such processes are established and the limiting processes are identified. Furthermore one-dimensional distributions of the limiting processes are given under an additional assumption.
On Gaussian Brunn-Minkowski inequalities
We are interested in Gaussian versions of the classical Brunn-Minkowski inequality. We prove in a streamlined way a semigroup version of the Ehrhard inequality for m Borel or convex sets based on a previous work by Borell. Our method also yields semigroup proofs of the geometric Brascamp-Lieb inequality and of its reverse form, which follow exactly the same lines.