Valeurs limites pour les éléments des chaos
Valuation and optimal design to defaultable security
Herein, we develop a backward stochastic differential equation (BSDE) valuation of securities with default risk. Consequently, the optimal recovery problem with quasi-linear utility functions is discussed with the help of the stochastic maximum principle. Finally, two important examples: the exponential and power utility cases are studied and their business implications are considered.
Variably skewed Brownian motion.
Variation des solutions d'une E.D.S., d'après J. M. Bismut
Variational representations for continuous time processes
A variational formula for positive functionals of a Poisson random measure and brownian motion is proved. The formula is based on the relative entropy representation for exponential integrals, and can be used to prove large deviation type estimates. A general large deviation result is proved, and illustrated with an example.
Variations sur une formule de Paul Lévy
Vitesse de convergence en loi pour des solutions d'équations différentielles stochastiques vers une diffusion
Volterra equations with fractional stochastic integrals.
Volume de boules sous-riemanniennes et explosion du noyau de la chaleur au sens de Stein