Décomposition des martingales locales et formules exponentielles
Decomposition of two parameter martingales.
In this paper we exhibit some decompositions in orthogonal stochastic integrals of two-parameter square integrable martingales adapted to a Brownian sheet which generalize the representation theorem of E. Wong and M. Zakai ([6]). Concretely, a development in a series of multiple stochastic integrals is obtained for such martingales. These results are applied for the characterization of martingales of path independent variation.
Delay equations driven by rough paths.
Démonstration d'un théorème de F. Knight à l'aide de martingales exponentielles
Deux contre-exemples sur la convergence d'intégrales anticipatives
Differential equations driven by fractional Brownian motion.
A global existence and uniqueness result of the solution for multidimensional, time dependent, stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H > 1/2 is proved. It is shown, also, that the solution has finite moments. The result is based on a deterministic existence and uniqueness theorem whose proof uses a contraction principle and a priori estimates.
Distributions, noyaux, symboles, d'après Kree
Distribution-valued iterated gradient and chaotic decompositions of Poisson jump times functionals.
We define a class of distributions on Poisson space which allows to iterate a modification of the gradient of [1]. As an application we obtain, with relatively short calculations, a formula for the chaos expansion of functionals of jump times of the Poisson process.
Duality of chordal SLE, II
We improve the geometric properties of processes derived in an earlier paper, which are then used to obtain more results about the duality of SLE. We find that for κ∈(4, 8), the boundary of a standard chordal SLE(κ) hull stopped on swallowing a fixed x∈ℝ∖{0} is the image of some trace started from a random point. Using this fact together with a similar proposition in the case that κ≥8, we obtain a description of the boundary of a standard chordal SLE(κ) hull for κ>4, at a finite stopping...