A diffusion approximation in the ruin problem for a controlled Markov chain
A duality approach to the genealogies of discrete nonneutral Wright-Fisher models.
A Gaussian oscillator.
A generalized fundamental identity
A hitting time for Lévy processes, with application to dams and branching processes
A Markov property for two parameter Gaussian processes.
This paper deals with the relationship between two-dimensional parameter Gaussian random fields verifying a particular Markov property and the solutions of stochastic differential equations. In the non Gaussian case some diffusion conditions are introduced, obtaining a backward equation for the evolution of transition probability functions.
A note on impulsive control of Feller processes with costly information
The paper deals with the optimal inspections and maintenance problem with costly information for a Markov process with positive discount factor. The associated dynamic programming equation is a quasi-variational inequality with first order differential terms. In this paper we study its different formulations: strong, visousity and evolutionary. The case of impulsive control of purely jump Markov processes is studied as a special case.
À propos de la modélisation des niveaux de bruit
A Theorem on Convergence to a Lévy Process.
About increments of additive functionals of diffusion processes.
Approximation d'un flot brownien sur le cercle
Aspects of control for the normal Markov processes.