Editorial - Spring School Mons Random differential equations and gaussian fields
EDPS paraboliques à coefficients non—lipschitziens avec réflexion
EDSR, convergence en loi et homogénéisation d'EDP paraboliques semi-linéaires
Effect of randomly fluctuating environment on autotroph-herbivore model system.
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
Efficiency of the Stochastic Approximation Method
Eigenvalue curves of asymmetric tridiagonal random matrices.
Elementary stochastic calculus for finance with infinitesimals
The concept of an equivalent martingale measure is of key importance for pricing of financial derivative contracts. The goal of the paper is to apply infinitesimals in the non-standard analysis set-up to provide an elementary construction of the equivalent martingale measure built on hyperfinite binomial trees with infinitesimal time steps.
Éléments de probabilités quantiques (exposés I à V)
Éléments de probabilités quantiques (exposés IX et X)
Éléments de probabilités quantiques (exposés VI à VIII)
Elements of stochastic analysis
Elements of uncertainty modeling
The goal of this contribution is to introduce some approaches to uncertainty modeling in a way accessible to non-specialists. Elements of the Monte Carlo method, polynomial chaos method, Dempster-Shafer approach, fuzzy set theory, and the worst (case) scenario method are presented.
Elliptic equations of higher stochastic order
This paper discusses analytical and numerical issues related to elliptic equations with random coefficients which are generally nonlinear functions of white noise. Singularity issues are avoided by using the Itô-Skorohod calculus to interpret the interactions between the coefficients and the solution. The solution is constructed by means of the Wiener Chaos (Cameron-Martin) expansions. The existence and uniqueness of the solutions are established under rather weak assumptions, the main of which...
Embedding of random vectors into continuous martingales
Let E be a real, separable Banach space and denote by the space of all E-valued random vectors defined on the probability space Ω. The following result is proved. There exists an extension of Ω, and a filtration on , such that for every there is an E-valued, continuous -martingale in which X is embedded in the sense that a.s. for an a.s. finite stopping time τ. For E = ℝ this gives a Skorokhod embedding for all , and for general E this leads to a representation of random vectors as...
En cherchant une caractérisation variationnelle des martingales
En cherchant une définition naturelle des intégrales stochastiques optionnelles
Encore une remarque sur la «formule de balayage»
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...