Factorization representations in the boundary crossing problems for random walks on a Markov chain.
Factorizations of the sojourn times of semi-Markov random walks.
Fast deterministic pricing of options on Lévy driven assets
Arbitrage-free prices of European contracts on risky assets whose log-returns are modelled by Lévy processes satisfy a parabolic partial integro-differential equation (PIDE) . This PIDE is localized to bounded domains and the error due to this localization is estimated. The localized PIDE is discretized by the -scheme in time and a wavelet Galerkin method with degrees of freedom in log-price space. The dense matrix for can be replaced by a sparse matrix in the wavelet basis, and the linear...
Fast deterministic pricing of options on Lévy driven assets
Arbitrage-free prices u of European contracts on risky assets whose log-returns are modelled by Lévy processes satisfy a parabolic partial integro-differential equation (PIDE) . This PIDE is localized to bounded domains and the error due to this localization is estimated. The localized PIDE is discretized by the θ-scheme in time and a wavelet Galerkin method with N degrees of freedom in log-price space. The dense matrix for can be replaced by a sparse matrix in the wavelet basis, and the...
Fast sets and points for fractional brownian motion
Fermeture de et de
Fernique type inequalities and moduli of continuity for l2-valued Ornstein-Uhlenbeck Processes
Feynman-Kac formula, λ-Poisson kernels and λ-Green functions of half-spaces and balls in hyperbolic spaces
We apply the Feynman-Kac formula to compute the λ-Poisson kernels and λ-Green functions for half-spaces or balls in hyperbolic spaces. We present known results in a unified way and also provide new formulas for the λ-Poisson kernels and λ-Green functions of half-spaces in ℍⁿ and for balls in real and complex hyperbolic spaces.
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Fill's algorithm for absolutely continuous stochastically monotone kernels.
Filtering and fixed-point smoothing from an innovation approach in systems with uncertainty.
Filtering of signals transmitted in multichannel from Chandrasekhar and Riccati recursions.
In this paper two recursive algorithms are proposed and compared as a solution of the least mean-squared error linear filtering problem of a wide-sense stationary scalar signal from uncertain observations perturbed by white and coloured additive noises. Considering that the state-space model of the signal is not available and that the variables modelling the uncertainty are not independent, the proposed algorithms are derived by using covariance information. The difference between both algorithms...
Filtering the Wright-Fisher diffusion
We consider a Wright-Fisher diffusion (x(t)) whose current state cannot be observed directly. Instead, at times t1 < t2 < ..., the observations y(ti) are such that, given the process (x(t)), the random variables (y(ti)) are independent and the conditional distribution of y(ti) only depends on x(ti). When this conditional distribution has a specific form, we prove that the model ((x(ti),y(ti)), i≥1) is a computable filter in the sense that all distributions involved in filtering, prediction...
Filtering with a limiter (improved performance).
Filtrage de diffusions bidirectionnelles pour une observation ponctuelle de Poisson à deux paramètres
Filtrage non linéaire dans des espaces de Hilbert réels et séparables
Filtration d'une marche aléatoire stationnaire sur le cercle
Filtrations browniennes et balayage
Fine connectedness and alpha-excessive functions
In this article, for any Standard Process and for any , the conditions under which an -excessive function, vanishing at a point, vanishes identically are investigated.
Fine structure of the zeros of orthogonal polynomials. I: A tale of two pictures.