Majoration dans du type Métivier-Pellaumail pour les semimartingales
Markov dilation of diffusion type processes and its application to the financial mathematics.
Martingale measures in the market with restricted information.
Maximal Inequalities for Stochastic Integrals
Maximal regularity for stochastic convolutions in spaces
We prove an optimal regularity result for stochastic convolutions in certain Banach spaces. It is stated in terms of real interpolation spaces.
Métrisabilité de quelques espaces de processus aléatoires
Milstein’s type schemes for fractional SDEs
Weighted power variations of fractional brownian motion B are used to compute the exact rate of convergence of some approximating schemes associated to one-dimensional stochastic differential equations (SDEs) driven by B. The limit of the error between the exact solution and the considered scheme is computed explicitly.
Minimization of the Kullback information of diffusion processes
Moments of some random functionals
The paper deals with nonnegative stochastic processes X(t,ω)(t ≤ 0) not identically zero with stationary and independent increments right-continuous sample functions and fulfilling the initial condition X(0,ω)=0. The main aim is to study the moments of the random functionals for a wide class of functions f. In particular a characterization of deterministic processes in terms of the exponential moments of these functionals is established.
m-order integrals and generalized Itô's formula ; the case of a fractional brownian motion with any Hurst index
Multiple stochastic integrals. A counter example