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Nous examinons la vie et l'œuvre de Wolfgang Doeblin à partir de sa correspondance et de ses papiers personnels déposés dans les différentes archives accessibles.

La σ-algèbre asymptotique d'une chaîne de Galton-Watson

J. C. Lootgieter (1977)

Annales de l'I.H.P. Probabilités et statistiques

Lagrangeovy násobitelé a optimalizace nepřetržitých Markovových řetězců

Petr Mandl (1969)

Kybernetika

L'algèbre de Lie des gradients itérés d'un générateur markovien---développements de moyennes et entropies

M. Ledoux (1995)

Annales scientifiques de l'École Normale Supérieure

LAMN property for hidden processes : the case of integrated diffusions

Arnaud Gloter, Emmanuel Gobet (2008)

Annales de l'I.H.P. Probabilités et statistiques

In this paper we prove the Local Asymptotic Mixed Normality (LAMN) property for the statistical model given by the observation of local means of a diffusion process X. Our data are given by ∫01X(s+i)/n dμ(s) for i=0, …, n−1 and the unknown parameter appears in the diffusion coefficient of the process X only. Although the data are neither markovian nor gaussian we can write down, with help of Malliavin calculus, an explicit expression for the log-likelihood of the model, and then study the asymptotic...

LAN and LAMN for systems of interacting diffusions with branching and immigration

Eva Löcherbach (2002)

Annales de l'I.H.P. Probabilités et statistiques

LAN property for ergodic diffusions with discrete observations

Emmanuel Gobet (2002)

Annales de l'I.H.P. Probabilités et statistiques

Laplace asymptotics for generalized K.P.P. equation

Jean-Philippe Rouquès (2010)

ESAIM: Probability and Statistics

Consider a one dimensional nonlinear reaction-diffusion equation (KPP equation) with non-homogeneous second order term, discontinuous initial condition and small parameter. For points ahead of the Freidlin-KPP front, the solution tends to 0 and we obtain sharp asymptotics (i.e. non logarithmic). Our study follows the work of Ben Arous and Rouault who solved this problem in the homogeneous case. Our proof is probabilistic, and is based on the Feynman-Kac formula and the large deviation principle...

Laplace asymptotics for generalized K.P.P. equation

Jean-Philippe Rouques (1997)

ESAIM: Probability and Statistics

Laplace transform identities for diffusions, with applications to rebates and barrier options

Hardy Hulley, Eckhard Platen (2008)

Banach Center Publications

We start with a general time-homogeneous scalar diffusion whose state space is an interval I ⊆ ℝ. If it is started at x ∈ I, then we consider the problem of imposing upper and/or lower boundary conditions at two points a,b ∈ I, where a < x < b. Using a simple integral identity, we derive general expressions for the Laplace transform of the transition density of the process, if killing or reflecting boundaries are specified. We also obtain a number of useful expressions for the Laplace transforms...

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