On the exponentials of fractional Ornstein-Uhlenbeck processes.
On the extremal behavior of a Pareto process: an alternative for ARMAX modeling
In what concerns extreme values modeling, heavy tailed autoregressive processes defined with the minimum or maximum operator have proved to be good alternatives to classical linear ARMA with heavy tailed marginals (Davis and Resnick [8], Ferreira and Canto e Castro [13]). In this paper we present a complete characterization of the tail behavior of the autoregressive Pareto process known as Yeh-Arnold-Robertson Pareto(III) (Yeh et al. [32]). We shall see that it is quite similar to the first order...
On the extremal behavior of sub-sampled solutions of stochastic difference equations.
On the first-passage time of integrated Brownian motion.
On the fixed point index of non-compact mappings
On the functional central limit theorem for stationary processes
On the group pulse processes. I. Classification
On the group pulse processes. II. Power spectrum of the processes with independent points
On the group pulse processes. III. Power spectrum of the processes with independent intervals
On the Haagerup inequality and groups acting on -buildings
Let be a group endowed with a length function , and let be a linear subspace of . We say that satisfies the Haagerup inequality if there exists constants such that, for any , the convolutor norm of on is dominated by times the norm of . We show that, for , the Haagerup inequality can be expressed in terms of decay of random walks associated with finitely supported symmetric probability measures on . If is a word length function on a finitely generated group , we show that,...
On the hedging of American options in discrete time markets with proportional transaction costs.
On the infinite time horizon linear-quadratic regulator problem under a fractional brownian perturbation
In this paper we solve the basic fractional analogue of the classical infinite time horizon linear-quadratic gaussian regulator problem. For a completely observable controlled linear system driven by a fractional brownian motion, we describe explicitely the optimal control policy which minimizes an asymptotic quadratic performance criterion.
On the infinite time horizon linear-quadratic regulator problem under a fractional Brownian perturbation
In this paper we solve the basic fractional analogue of the classical infinite time horizon linear-quadratic Gaussian regulator problem. For a completely observable controlled linear system driven by a fractional Brownian motion, we describe explicitely the optimal control policy which minimizes an asymptotic quadratic performance criterion.
On the innovations conjecture of nonlinear filtering with dependent data.
On the integrability of Banach space valued Walsh polynomials
On the integrability of the ergodic maximal function
On the invariant measure of the random difference equation Xn = AnXn−1 + Bn in the critical case
We consider the autoregressive model on ℝd defined by the stochastic recursion Xn = AnXn−1 + Bn, where {(Bn, An)} are i.i.d. random variables valued in ℝd× ℝ+. The critical case, when , was studied by Babillot, Bougerol and Elie, who proved that there exists a unique invariant Radon measureν for the Markov chain {Xn}. In the present paper we prove that the weak limit of properly dilated measure ν exists and defines a homogeneous measure on ℝd ∖ {0}.
On the Kaczmarz algorithm of approximation in infinite-dimensional spaces
The Kaczmarz algorithm of successive projections suggests the following concept. A sequence of unit vectors in a Hilbert space is said to be effective if for each vector x in the space the sequence (xₙ) converges to x where (xₙ) is defined inductively: x₀ = 0 and , where . We prove the effectivity of some sequences in Hilbert spaces. We generalize the concept of effectivity to sequences of vectors in Banach spaces and we prove some results for this more general concept.
On the Karhunen-Loeve expansion for transformed processes.
We discuss the influence of the transformation {X(t)} → {f(t) X(τ(t))} on the Karhunen-Loève expansion of {X(t)}. Our main result is that, in general, the Karhunen-Loève expansion of {X(t)} with respect to Lebesgue's measure is transformed in the Karhunen-Loève expansion of {f(t) X(τ(t))} with respect to the measure f-2(t)dτ(t). Applications of this result are given in the case of Wiener process, Brownian bridge, and Ornstein-Uhlenbeck process.
On the law of large numbers for continuous-time martingales and applications to statistics.
In order to develop a general criterion for proving strong consistency of estimators in Statistics of stochastic processes, we study an extension, to the continuous-time case, of the strong law of large numbers for discrete time square integrable martingales (e.g. Neveu, 1965, 1972). Applications to estimation in diffusion models are given.