Étude des extrêmes d'une suite stationnaire m-dépendante avec une application relative aux accroissements du processus de Wiener
Étude du renouvellement sur le groupe affine de la droite réelle
Étude d'un processus d'auto-organisation
Étude d'une équation différentielle stochastique avec temps local
Étude d'une fonctionnelle liée au pont de Bessel
Étude probabiliste de l'opérateur de Schrödinger
Étude probabiliste des transformées de Riesz et de l’espace sur les sphères
Étude probabiliste d'un problème de Dirichlet
Euclidean quantum mechanics : analytical approach
Euler schemes and half-space approximation for the simulation of diffusion in a domain
This paper is concerned with the problem of simulation of , the solution of a stochastic differential equation constrained by some boundary conditions in a smooth domain : namely, we consider the case where the boundary is killing, or where it is instantaneously reflecting in an oblique direction. Given discretization times equally spaced on the interval , we propose new discretization schemes: they are fully implementable and provide a weak error of order under some conditions. The construction...
Euler schemes and half-space approximation for the simulation of diffusion in a domain
This paper is concerned with the problem of simulation of (Xt)0≤t≤T, the solution of a stochastic differential equation constrained by some boundary conditions in a smooth domain D: namely, we consider the case where the boundary ∂D is killing, or where it is instantaneously reflecting in an oblique direction. Given N discretization times equally spaced on the interval [0,T], we propose new discretization schemes: they are fully implementable and provide a weak error of order N-1 under some conditions....
Evaluating default priors with a generalization of Eaton’s Markov chain
We consider evaluating improper priors in a formal Bayes setting according to the consequences of their use. Let be a class of functions on the parameter space and consider estimating elements of under quadratic loss. If the formal Bayes estimator of every function in is admissible, then the prior is strongly admissible with respect to . Eaton’s method for establishing strong admissibility is based on studying the stability properties of a particular Markov chain associated with the inferential...
Évaluation de politiques de maintenance pour un système complexe
Eventual intersection for sequences of Lévy processes.
Every continuous first order autoregressive stochastic process is a Gaussian process
Exact asymptotics for boundary crossing probabilities of Brownian motion with piecewise linear trend.
Exact mixing in an unknown Markov chain.
Exact rates of convergence to the local times of symmetric Lévy processes
Exact solution of the Bellman equation for a -discounted reward in a two-armed bandit with switching arms.
Exact transient solution of a state-dependent birth-death process.