On some degenerate large deviation problems.
On spectral measures of strings and excursions of quasi-diffusions
On stopped Feynman-Kac functionals
On subexponentiality of the Lev́y measure of the inverse local time; with applications to penalizations.
On symmetric stable random variables and matrix transposition
On the constructions of the skew Brownian motion.
On the control of the difference between two Brownian motions: a dynamic copula approach
We propose new copulae to model the dependence between two Brownian motions and to control the distribution of their difference. Our approach is based on the copula between the Brownian motion and its reflection. We show that the class of admissible copulae for the Brownian motions are not limited to the class of Gaussian copulae and that it also contains asymmetric copulae. These copulae allow for the survival function of the difference between two Brownian motions to have higher value in the right...
On the control of the difference between two Brownian motions: an application to energy markets modeling
We derive a model based on the structure of dependence between a Brownian motion and its reflection according to a barrier. The structure of dependence presents two states of correlation: one of comonotonicity with a positive correlation and one of countermonotonicity with a negative correlation. This model of dependence between two Brownian motions B1 and B2 allows for the value of [...] to be higher than 1/2 when x is close to 0, which is not the case when the dependence is modeled by a constant...
On the first-passage time of integrated Brownian motion.
On the hypercontractivity of Ornstein-Uhlenbeck semigroups with drift
On the joint distribution of the maximum and its location for a linear diffusion
On the martingale problem for super-brownian motion
On the martingales obtained by an extension due to Saisho, Tanemura and Yor of Pitman's theorem
On the maximum of a diffusion process in a drifted brownian environment
On the noncoalescence of a two point brownian motion reflecting on a circle
On the Onsager-Machlup functional for elliptic diffusion processes
On the principle of smooth fit for killed diffusions.
On the rate of growth of subordinators with slowly varying Laplace exponent
On the sample paths of diagonal brownian motions on the infinite dimensional torus
On the Skew Product of Symmetric Diffusion Processes.