EDSR, convergence en loi et homogénéisation d'EDP paraboliques semi-linéaires
Effects of time delay and noise on asymptotic stability in human quiet standing model.
Effet d'un bruit blanc sur l'oscillateur harmonique de dimension d
Entropic Conditions and Hedging
In many markets, especially in energy markets, electricity markets for instance, the detention of the physical asset is quite difficult. This is also the case for crude oil as treated by Davis (2000). So one can identify a good proxy which is an asset (financial or physical) (one)whose the spot price is significantly correlated with the spot price of the underlying (e.g. electicity or crude oil). Generally, the market could become incomplete. We explicit exact hedging strategies for exponential...
Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching.
Evolution in random environment and structural instability.
Existence and asymptotic behaviour of some time-inhomogeneous diffusions
Let us consider a solution of a one-dimensional stochastic differential equation driven by a standard Brownian motion with time-inhomogeneous drift coefficient . This process can be viewed as a Brownian motion evolving in a potential, possibly singular, depending on time. We prove results on the existence and uniqueness of solution, study its asymptotic behaviour and made a precise description, in terms of parameters , and , of the recurrence, transience and convergence. More precisely, asymptotic...
Exit time, Green function and semilinear elliptic equations.
Exponential functionals of Brownian motion. II: Some related diffusion processes.
Exponential martingales and CIR model
With the use of exponential martingales and the Girsanov theorem we show how to calculate bond prices in a large variety of square root processes. We clarify and correct several errors that abound in financial literature concerning these processes. The most important topics are linear risk premia, the Longstaff double square model, and calculations concerning correlated CIR processes.
Extinction for two parabolic stochastic PDE's on the lattice