Représentation du processus d’Ornstein-Uhlenbeck à paramètres
Displaying 321 – 340 of 444
Résultats récents de A. Benveniste en théorie des flots
Paul-André Meyer (1977)
Séminaire de probabilités de Strasbourg
Return probabilities of a simple random walk on percolation clusters.
Heicklen, Deborah, Hoffman, Christopher (2005)
Electronic Journal of Probability [electronic only]
Reversibility for diffusions via quasi-invarience
Omar Revasplata, Jan Rychtář, Byron Schmuland (2007)
Acta Universitatis Carolinae. Mathematica et Physica
Reversible distributions of multi-allelic Gillespie–Sato diffusion models
Kenji Handa (2004)
Annales de l'I.H.P. Probabilités et statistiques
Riesz transforms : a simpler analytic proof of P. A. Meyer's inequality
Gilles Pisier (1988)
Séminaire de probabilités de Strasbourg
Second-order asymptotic expansion for a non-synchronous covariation estimator
Arnak Dalalyan, Nakahiro Yoshida (2011)
Annales de l'I.H.P. Probabilités et statistiques
In this paper, we consider the problem of estimating the covariation of two diffusion processes when observations are subject to non-synchronicity. Building on recent papers [Bernoulli11 (2005) 359–379, Ann. Inst. Statist. Math.60 (2008) 367–406], we derive second-order asymptotic expansions for the distribution of the Hayashi–Yoshida estimator in a fairly general setup including random sampling schemes and non-anticipative random drifts. The key steps leading to our results are a second-order decomposition...
Self-interacting diffusions II : convergence in law
Michel Benaïm, Olivier Raimond (2003)
Annales de l'I.H.P. Probabilités et statistiques
Self-stabilizing processes: uniqueness problem for stationary measures and convergence rate in the small-noise limit
Samuel Herrmann, Julian Tugaut (2012)
ESAIM: Probability and Statistics
In the context of self-stabilizing processes, that is processes attracted by their own law, living in a potential landscape, we investigate different properties of the invariant measures. The interaction between the process and its law leads to nonlinear stochastic differential equations. In [S. Herrmann and J. Tugaut. Electron. J. Probab. 15 (2010) 2087–2116], the authors proved that, for linear interaction and under suitable conditions, there exists a unique symmetric limit measure associated...
Self-stabilizing processes: uniqueness problem for stationary measures and convergence rate in the small-noise limit
Samuel Herrmann, Julian Tugaut (2012)
ESAIM: Probability and Statistics
In the context of self-stabilizing processes, that is processes attracted by their own law, living in a potential landscape, we investigate different properties of the invariant measures. The interaction between the process and its law leads to nonlinear stochastic differential equations. In [S. Herrmann and J. Tugaut. Electron. J. Probab. 15 (2010) 2087–2116], the authors proved that, for linear interaction and under suitable conditions, there...
Self-tuning controls of linear stochastic systems in presence of drift
Monika Boschková (1988)
Kybernetika
Sharp estimates for the convergence of the density of the Euler scheme in small time.
Gobet, Emmanuel, Labart, Céline (2008)
Electronic Communications in Probability [electronic only]
Sharp estimates of the Green function of hyperbolic Brownian motion
Kamil Bogus, Tomasz Byczkowski, Jacek Małecki (2015)
Studia Mathematica
The main objective of the work is to provide sharp two-sided estimates of the λ-Green function, λ ≥ 0, of the hyperbolic Brownian motion of a half-space. We rely on the recent results obtained by K. Bogus and J. Małecki (2015), regarding precise estimates of the Bessel heat kernel for half-lines. We also substantially use the results of H. Matsumoto and M. Yor (2005) on distributions of exponential functionals of Brownian motion.
Shrinkage strategies in some multiple multi-factor dynamical systems
Sévérien Nkurunziza (2012)
ESAIM: Probability and Statistics
In this paper, we are interested in estimation problem for the drift parameters matrices of m independent multivariate diffusion processes. More specifically, we consider the case where the m-parameters matrices are supposed to satisfy some uncertain constraints. Given such an uncertainty, we develop shrinkage estimators which improve over the performance of the maximum likelihood estimator (MLE). Under an asymptotic distributional quadratic risk criterion, we study the relative dominance of the...
Shrinkage strategies in some multiple multi-factor dynamical systems
Sévérien Nkurunziza (2012)
ESAIM: Probability and Statistics
In this paper, we are interested in estimation problem for the drift parameters matrices of m independent multivariate diffusion processes. More specifically, we consider the case where the m-parameters matrices are supposed to satisfy some uncertain constraints. Given such an uncertainty, we develop shrinkage estimators which improve over the performance of the maximum likelihood estimator (MLE). Under an asymptotic distributional quadratic risk criterion, we study the relative dominance of the...
Simplified Malliavin calculus
James R. Norris (1986)
Séminaire de probabilités de Strasbourg
Singular perturbation of differential integral equations describing biased random walks.
Wolfgang Alt (1981)
Journal für die reine und angewandte Mathematik
Skew products, regular conditional probabilities and stochastic differential equations : a technical remark
John C. Taylor (1992)
Séminaire de probabilités de Strasbourg
Small-time asymptotic estimates in local Dirichlet spaces.
Ariyoshi, Teppei, Hino, Masanori (2005)
Electronic Journal of Probability [electronic only]
Smoothing and occupation measures of stochastic processes
Mario Wschebor (2006)
Annales de la faculté des sciences de Toulouse Mathématiques
This is a review paper about some problems of statistical inference for one-parameter stochastic processes, mainly based upon the observation of a convolution of the path with a non-random kernel. Most of the results are known and presented without proofs. The tools are first and second order approximation theorems of the occupation measure of the path, by means of functionals defined on the smoothed paths. Various classes of stochastic processes are considered starting with the Wiener process,...