-norm of infinitely divisible random vectors and certain stochastic integrals.
La classe des semimartingales qui permettent d'intégrer les processus optionnels
La formule d'Ito pour le mouvement brownien, d'après G. Brosamler
L'approximation u.c.p. et la continuité de certaines intégrales stochastiques dépendant d'un paramètre
Large deviations for some Poisson random integrals
Les filtrations de certaines martingales du mouvement brownien dans
Les intervalles de constance de
Les processus à accroissements indépendants et les équations de structure
Les semi-martingales formelles
Lévy's area under conditioning
Lifting theorems for some classes of two parameter martingales.
Limit theorems for the canonical von Mises statistics with dependent data.
L'intégrale stochastique considérée comme une intégrale par rapport à une mesure vectorielle
Local martingales and filtration shrinkage
A general theory is developed for the projection of martingale related processes onto smaller filtrations, to which they are not even adapted. Martingales, supermartingales, and semimartingales retain their nature, but the case of local martingales is more delicate, as illustrated by an explicit case study for the inverse Bessel process. This has implications for the concept of No Free Lunch with Vanishing Risk, in Finance.
Local martingales and filtration shrinkage
A general theory is developed for the projection of martingale related processes onto smaller filtrations, to which they are not even adapted. Martingales, supermartingales, and semimartingales retain their nature, but the case of local martingales is more delicate, as illustrated by an explicit case study for the inverse Bessel process. This has implications for the concept of No Free Lunch with Vanishing Risk, in Finance.
Local times and singularities of continuous local martingales
Lois de martingale, densités et décomposition de Föllmer Schweizer