Random dynamics and its applications.
Random ergodic theorems for sub-Markovian operators
Randwertprobleme bedingter Wahrscheinlichkeiten.
Realisation of a class of Markov processes through unitary evolutions in Fock space
Refracted Lévy processes
Motivated by classical considerations from risk theory, we investigate boundary crossing problems for refracted Lévy processes. The latter is a Lévy process whose dynamics change by subtracting off a fixed linear drift (of suitable size) whenever the aggregate process is above a pre-specified level. More formally, whenever it exists, a refracted Lévy process is described by the unique strong solution to the stochastic differential equation dUt=−δ1{Ut>b} dt+dXt, where X={Xt : t≥0} is a Lévy...
Regenerative sets on real line
Représentation des martingales engendrées par un processus à accroissements indépendants (cas des martingales de carré intégrable)