Reconstructing a multicolor random scenery seen along a random walk path with bounded jumps.
Refined wing asymptotics for the Merton and Kou jump diffusion models
Refining previously known estimates, we give large-strike asymptotics for the implied volatility of Merton's and Kou's jump diffusion models. They are deduced from call price approximations by transfer results of Gao and Lee. For the Merton model, we also analyse the density of the underlying and show that it features an interesting "almost power law" tail.
Régularisation d'équations de Stratonovitch à sauts entre variétés
Régularité de processus de sauts dégénérés
Régularité de processus de sauts dégénérés
Robust filtering of time-delay jump systems with respect to the finite-time interval.