Values of brownian intersection exponents III : two-sided exponents
Variably skewed Brownian motion.
Variation des processus mesurables
Variation des solutions d'une E.D.S., d'après J. M. Bismut
Variational Reduction for the Transport Equation in a Multiple Branching Plants Growth Model
Plant growth depends essentially on nutrients coming from the roots and metabolites produced by the plant. Appearance of new branches is determined by concentrations of certain plant hormones. The most important of them are Auxin and Cytokinin. Auxin is produced in the growing, Cytokinin in either roots or in growing parts. Many dynamical models of this phenomena have been studied in [1]. In [5], the authors deal with one branch model. In this work,...
Variational sensitivity analysis of parametric Markovian market models
Parameter sensitivities of prices for derivative contracts play an important role in model calibration as well as in quantification of model risk. In this paper a unified approach to the efficient numerical computation of all sensitivities for Markovian market models is presented. Variational approximations of the integro-differential equations corresponding to the infinitesimal generators of the market model differentiated with respect to the model parameters are employed. Superconvergent approximations...
Variations sur une formule de Paul Lévy
Vervaat et Lévy
Viability, invariance and reachability for controlled piecewise deterministic Markov processes associated to gene networks
We aim at characterizing viability, invariance and some reachability properties of controlled piecewise deterministic Markov processes (PDMPs). Using analytical methods from the theory of viscosity solutions, we establish criteria for viability and invariance in terms of the first order normal cone. We also investigate reachability of arbitrary open sets. The method is based on viscosity techniques and duality for some associated linearized problem. The theoretical results are applied to general...
Viability, invariance and reachability for controlled piecewise deterministic Markov processes associated to gene networks
We aim at characterizing viability, invariance and some reachability properties of controlled piecewise deterministic Markov processes (PDMPs). Using analytical methods from the theory of viscosity solutions, we establish criteria for viability and invariance in terms of the first order normal cone. We also investigate reachability of arbitrary open sets. The method is based on viscosity techniques and duality for some associated linearized problem. The theoretical results are applied to general...
Viability, invariance and reachability for controlled piecewise deterministic Markov processes associated to gene networks
We aim at characterizing viability, invariance and some reachability properties of controlled piecewise deterministic Markov processes (PDMPs). Using analytical methods from the theory of viscosity solutions, we establish criteria for viability and invariance in terms of the first order normal cone. We also investigate reachability of arbitrary open sets. The method is based on viscosity techniques and duality for some associated linearized problem. The theoretical results are applied to general...
Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type.
Vitesse de convergence dans le théorème limite central pour des chaînes de Markov fortement ergodiques
Soit Q une probabilité de transition sur un espace mesurable E, admettant une probabilité invariante, soit (Xn)n une chaîne de Markov associée à Q, et soit ξ une fonction réelle mesurable sur E, et Sn=∑nk=1ξ(Xk). Sous des hypothèses fonctionnelles sur l’action de Q et des noyaux de Fourier Q(t), nous étudions la vitesse de convergence dans le théorème limite central pour la suite . Selon les hypothèses nous obtenons une vitesse enn−τ/2 pour tout τ<1, ou bien en n−1/2. Nous appliquons la...
Vitesse de convergence vers l'état d'équilibre pour des dynamiques markoviennes non höldériennes
Vitesse de fuite et comportement asymptotique du mouvement brownien sur les groupes nilpotents
Vlastnosti difusních procesů určených obecnou laterální podmínkou