Prépublications de l'Equipe d'Analyse et Probabilités

1. Francis Hirsch :
   Potential theory related to some multiparameter processes.
2. Francis Hirsch :
   Quasi-sure analysis of some non negative Brownian martingales.
3. Nicole El Karoui, Monique Jeanblanc-Picqué :
   Robustness of the Black and Scholes formula.
4. Francis Hirsch, Shiqi Song:
   Inequalities for Bochner's subordinates of two-parameter symmetric Markov processes.
5. Shiqi Song:
   Markov uniqueness and essential self-adjointness of perturbed Orstein-Uhlenbeck operators.
6. Shiqi Song:
   Construction d'un processus à deux paramètres à partir d'un semi groupe à un paramètre.
7. Denis Feyel:
   Régularité et intégrabilité des fonctionnelles de Wiener (PS).
   
8. Didier Dacunha-Castelle, Elisabeth Gassiat :
   The estimation of the order of a mixture model.
9. Yi-Lun Xiao:
   Estimations de volume pour la suite de type (0,s) en base bs 2.
10. Laurent Denis:
    Quasi-sure analysis for the Euler approximation and the flow related to an S.D.E.
11. Yi-Lun Xiao:
    Volume-discrepancy estimates in one and two dimension
12. Philippe Soulier :
    Non parametric estimation of the diffusion coefficient of a diffusion process.
13. Denis Feyel et Arnaud de La Pradelle :
    Sur les draps de dimension infinie (PS).
    
14. Francis Hirsch, Shiqi Song:
    Markov properties of multiparameter processes and capacities.
15. Laurent Denis:
    Quasi-sure analysis related to a sub-Markovian semi-group.
16. Francis Hirsch, Shiqi Song:
    Symmetric Skohorod topology on n-variable functions and hierarchical Markov properties of n-parameter processes.
17. Nicolas Privault:
    A transfer principle from Wiener space to Poisson space and applications (PS).
18. Shiqi Song:
    C-semigroups on Banach spaces and functional inequalities.
19. Nicolas Privault:
    Calcul des variations stochastique pour la mesure de densité uniforme (PS).
20. Elisabeth Gassiat, Emmanuelle Gautherat:
    Identification of noisy linear systems with discrete random input.
21. Denis Feyel:
    Polynômes harmoniques et inégalités de Nelson (PS).
    
22. Francis Hirsch:
    Theory of capacity on the Wiener space (PS).
23. Nicolas Privault :
    Girsanov theorem for anticipative shifts on Poisson space. (PS)
24. Claude Martini :
    Propagation de la convexité par des semi-groupes de Markov martingaliens sur la demi-droite positive (PS).
25. Didier Dacunha-Castelle, Elisabeth Gassiat :
    Testing in locally conic models (PS).
26. Francis Hirsch et Shiqi Song :
    Criteria of positivity for the density of the law of a Wiener functional (PS).
27. Fabrice Gamboa et Elisabeth Gassiat:
    Source separation when the input sources are discrete or have constant modulus
28. Marc Chesney, Monique Jeanblanc-Picqué, Marc Yor :
    Brownian Excursions and Parisian Options (PS).
29. Nicolas Privault :
    A different quantum stochastic calculus for the Poisson process (PS).
30. Nicolas Privault :
    On the independence of multiple Poisson stochastic integrals (PS).
31. Nicolas Privault :
    Linear Skohorod stochastic differential equations on Poisson space (PS).
32. Nicolas Privault :
    Absolute continuity in infinite dimension and anticipating stochastic calculus (PS).
33. Nicolas Privault :
    Stochastic calculus of variations for martingales (PS).
34. Nicole El Karoui, Monique Jeanblanc-Picqué, Steve Shreve :
    Robustness of the Black and Scholes formula.
35. Claude Martini :
    Propagation de la convexité pour l'e.d.s. dS_t=(A(0) +f(S_u)du) S_t dB_t.
36. Pierre-Gilles Lemarié-Rieusset :
    Some remarks on orthogonal and bi-orthogonal wavelets.
37. Pierre-Gilles Lemarié-Rieusset :
    More regular wavelets.
38. Marc Chesney, Helyette Geman, Monique Jeanblanc-Picqué, Marc Yor :
    Some combinations of Asian, Parisian and Barrier Options (PS).
39. Denis Feyel et Arnaud de La Pradelle :
    Fractional integrals and Brownian Processes. (PS)
    
40. Francis Hirsch et Shiqi Song :
    Properties of the set of positivity for the density of a regular Wiener functional
41. Modeste N'Zi et Toussef Ouknine :
    Multivalued backward stochastic differential equations with continuous coefficients.
42. Nicolas Privault :
    A new calculus on Fock space and its probabilistic interpretations (PS).
43. Monique Jeanblanc-Picqué, Jim Pitman, Marc Yor :
    The Feynman-Kac formula and decomposition of Brownian paths (PS).
44. Didier Dacunha-Castelle et Elizabeth Gassiat :
    Testing the order of a model using locally conic parametrization: population mixtures and stationary ARMA processes (PS).
45. Shiqi Song :
    Recherche aveugle des solutions aux problèmes de grossissements de filtrations. Illustrations dans l'exemple des grossissements progressifs de filtrations.
46. Nicole El Karoui et Monique Jeanblanc-Picqué :
    Optimization of consumption with labor income (PS).
47. Elizabeth Gassiat et Emmanuelle Gautherat :
    Speed of convergence for the blind deconvolution of a linear system with discrete random input (PS).
48. Shiqi Song :
    La partie modérément grossie associée à un couple de filtrations ordonnées, calculs stochastiques sur un ouvert aléatoire.
49. Nicolas Privault :
    An extension of stochastic calculus to certain non-Markovian processes (PS).
50. Francis Hirsch :
    Lipschitz functions and fractional Sobolev spaces.
51. Sylvie Mas-Gallic :
    A vortex in cell method for the 2-d isentropic gas
52. Abdelmejid Bayad et Gilles Robert :
    Note sur une forme de Jacobi méromorphe.
53. Shiqi Song :
    Intégrale stochastique par rapport aux semi-martingales sur un ouvert borné prévisible.
54. Shiqi Song:
    Results on semi-martingales defined on an open set. Application to a problem of enlargement of filtration.
55. Eric Moulines et Philippe Soulier:
    Log-periodogram regression of times series with long range dependence.
56. Giulia Furioli, Pierre Gilles Lemarié-Rieusset et Elide Terraneo:
    Uniqueness of "mild" solutions for the Navier-Stokes equations (PS).
57. Nadine Bellamy et Monique Jeanblanc-Picqué:
    Incompleteness of markets driven be a mixed diffusion.
58. René L. Schilling:
    Growth and Hölder conditions for the sample paths of Feller processes.
59. Jean-Marc Bardet:
    Local correlation and Hausdorff dimensions of continuous random fields.
60. Sylvie Mas-Gallic :
    A presentation of the diffusion velocity method.
61. Christine Keribin:
    Consistent estimation of the order of mixture models.
62. Francis Hirsch et Shiqi Song:
    Multiparameter Markov processes and capacity.
63. Abdelmejid Bayad:
    Sur le "théorème de Hilbert-Speiser" relatif.
64. Jean-Marc Bardet:
    A test of self-similarity using wavelet analysis.
65. Gilles Hargé:
    Une inégalité de décorrélation pour la mesure gaussienne.
66. Gilles Hargé:
    Continuité approximative pour les variables aléatoires de deuxième chaos.
67. Alain Veeravalli:
    Rigidity of the Ricci curvature of compact hypersurfaces.
68. Francis Hirsch et Shiqi Song:
    Two-parameter Bessel processes.
69. Pierre Gilles Lemarié-Rieusset:
    Some remarks on the Navier-Stokes equation.
70. Eric Moulines et Philippe Soulier:
    Data driven order selection for projection estimator of the spectral density of time series with long range dependence.
71. Philippe Soulier:
    Some new bounds and a central limit theorem for non stationary sequences of Gaussian vectors.
72. Abdelmejid Bayad:
    Un analogue p-adique à une formule complexe généralisée de Weber.
73. Antoine Frachot et Mohamed Jadoui:
    Modèles factoriels en présence de sauts, comportement du taux long.
74. Antoine Frachot et Mohamed Jadoui:
    Hypothèses d'anticipation, cas du modèle quadratique gaussien et d'une diffusion avec sauts.
75. Alain Veeravalli:
    A sharp lower bound for the Ricci curvature of bounded hypersurfaces in space forms (PS).
    
76. Nicolas Privault:
    Equivalence of gradients on configuration spaces .
77. Imre Csiszár, Fabrice Gamboa et Elizabeth Gassiat:
    MEM pixel correlated solutions for generalized moments and interpolation problems.
78. Nicolas Privault:
    Multiple stochastic integral expansions of arbitrary Poisson jump times functionals (PS).
79. Shiqi Song :
    L. Schwartz's formal semimartingale and local solutions to the problem of enlargement of filtrations.
80. Shiqi Song:
    Deux applications de la théorie du grossissement de filtration.
81. Ghislaine Gayraud :
    Minimax estimation of a discontinuity in the density model.
82. Shiqi Song :
    A remark on a result of Duffie and Lando.
83. Thomas Simon :
    Subordination in the wide sense for Lévy processes (PS).
    
84. Pierre-Gilles Lemarié-Rieusset :
    Quelques remarques sur les équations de Navier-Stokes dans $R^3$.
85. Giulia Furioli, Pierre-Gilles Lemarié-Rieusset, Elide Terraneo :
    Unicité dans $L^3(R^3)$ et d'autres espaces fonctionnels limites pour Navier-Stokes.
86. Nicolas Privault et Ciprian A. Tudor :
    Skorohod and pathwise stochastic calculus with respect to an $L^2$ process.
87. Robert J. Elliott et Monique Jeanblanc :
    Incomplete Markets with jumps and informed agents (PS).
    
88. Alain Veeravalli :
    On convex hypersurfaces of space forms.
89. Gilles Lacombe and Sylvie Mas-Gallic :
    Presentation and Analysis of a Diffusion-Velocity Method (PS).
    Résumé en format html.
90. Pierre-Gilles Lemarié-Rieusset :
    Cinq petits théorèmes d'unicité $L^3$ des solutions des équations de Navier-Stokes sur $R^3$ (PS).
91. Ali Lazrak :
    Optimal martingale restrictions and horizon effect on portfolio selection.
92. Pierre-Gilles Lemarié-Rieusset :
    Weak infinite-energy solutions for Navier-Stokes in $R^3$ (PS).
    
    1999
93. Gilles Hargé :
    Limites approximatives par rapport à des normes quadratiques.
94. Christine Keribin et Dominique Haughton :
    Asymptotic probabilities of over-estimating and under-estimating the order of a model in general regular families.
95. Cécile Cot :
    Stochastic dichotomic models for digital video sequences.
96. Nadine Bellamy :
    Optimisation de la richesse dans un marché incomplet dirigé par une diffusion mixte.
97. Gilles Fay, Eric Moulines et Philippe Soulier :
    Central limit theorem for non linear functionals of the periodogram of a stationary non Gaussian linear time series (PS).
98. Thomas Simon :
    Support theorem for jump processes (PS).
    
99. Richard Emilion :
    Maximal and stochastic Galois lattices.
100. Jean-Marie Bernard :
     Weak and classical solutions of equations of motion for third grade fluids.
     Résumé en format html.
101. Jean-Marie Bernard :
     Stationary problems of second grade fluids in three dimensions : existence, uniqueness and regularity.
     Résumé en format html.
102. Monique Jeanblanc et Nicolas Privault :
     A complete market model with Poisson and Brownian components.
103. Thomas Simon :
     Sur les petites déviations d'un processus de Lévy.
104. Robert J. Elliott, Monique Jeanblanc et Marc Yor :
     On models of Default Risk (PS).
     
105. Shiqi Song :
     C-semigroup property on manifold and formulae on path spaces.
106. Alain Veeravalli :
     On a characterization of the geodesic spheres.
107. Gilles Lacombe :
     Analyse d'une équation de vitesse de diffusion.
108. Shiqi Song :
     A Dirichlet form on path space and its associated symetric Markov process.
109. Alain Veeravalli :
     Fáry-Fenchel type inequalities for Riemannian loops.
110. Anatoli Iouditsky, Eric Moulines et Philippe Soulier :
     Adaptative estimation of the fractional differencing coefficient.
111. Denis Feyel et Arnaud de La Pradelle :
     L'espace des chemins sans la géomérie différentielle.
112. Gilles Fay et Philippe Soulier :
     The periodogram of an i.i.d. sequence (PS).
113. Nadine Bellamy :
     Asian options in a market driven by a discontinuous process.
114. Philippe Soulier :
     Estimation adaptative de la densité spectrale d'un processus gaussien fractionnaire (PS).
115. Monique Jeanblanc et Marcel Rutkowski :
     Modelling of Default Risk : an Overview (PS).
116. Ali Lazrak et Marie-Claire Quenez :
     A generalized stochastic differential utility.
117. Alain Veeravalli :
     Hypersurfaces in Riemannian manifolds carrying a gradient conformal vector field.
     2000
118. Christian Walter :
     Lévy-Stability-under-addition and Fractal stucture of markets.
119. Giulia Furioli et Elide Terraneo :
     Molecules of the Hardy space and the Navier-Stokes equations.
120. Giulia Furioli :
     Une remarque sur l'article de F. Ribaud et A. Youssfi "Regular and self-similar solutions of the non-linear Schrödinger equation".
121. Eric Moulines et Philippe Soulier :
     Semiparametric estimation for fractional processes  (PS).
122. Ali Lazrak et Fernando Zapatero :
     Efficient consumption set under recursive utility and unknown beliefs.
123. Abdelmejid Bayad :
     Sommes de Dedekind multiples et formes modulaires.
124. Francis Hirsch et Shiqi Song :
     Markovian uniqueness on Bessel space.
125. Nicole El Karoui et Monique Jeanblanc :
     Options exotiques (PS).
126. Monique Jeanblanc et Marek Rutkowski :
     Modelling of default risk : mathematical tools (PS).
127. Jaksa Cvitanic, Ali Lazrak, Marie-Claire Quenez et Fernando Zapatero :
     Incomplete Information with recursive preferences.
128. Abdelghani Bellouquid :
     The global existence for the BGK model with a cross section.
129. Alain Veeravalli :
     On the first Laplacian eigenvalue of compact hypersurfaces.
130. Jean-Paul Descamps, Thomas Mariotti et Stéphane Villeneuve :
     Optimal stopping for a partially observable process.
131. Abdelghani Bellouquid :
     Limite hydrodynamique de quelques modèles de la théorie cinétique discrète.
132. Jean-Marie Bernard et E. H. Ouazar :
     Stationary problem of third grade fluids in two and three dimensions : existence and uniqueness.
133. Clifford M. Hurvich, Eric Moulines et Philippe Soulier :
     The FEXP estimator for potentially non-stationary linear time series.
134. Damien Lamberton et Stéphane Villeneuve :
     Critical price near maturity for an American option on a dividend-paying stock.
135. Jean-Marie Bernard :
     Non standard Stokes and Navier-Stokes problems : existence and regularity in stationary case.
136. Frédéric Ksas :
     An estimation of variation for regular functions.
137. Christophette Blanchet-Scalliet et Monique Jeanblanc :
     Information et risque de défaut.
138. Clifford M. Hurvich et Philippe Soulier :
     Testing for long memory in volatility.
139. Pierre-Louis Lions et Sylvie Mas-Gallic :
     Une méthode particulaire déterministe pour des équations diffusives non-linéaires.
     2001
140. Daria Loukianova :
     Maximal likelyhood for multidimensional diffusions.
141. Javier Hidalgo et Philippe Soulier :
     Estimation of the location and exponent of the spectral singularity of a long memory process.
142. Jean-Marie Bernard :
     Time-dependent Stokes and Navier-Stokes problem with boundary conditions involving pressure, existence and regularity.
143. Stefanella Boatto et François Golse :
     Diffusion approximation of a model Knudsen gas : dependence of the diffusion constant upon the boundary condition.
144. Nicole El Karoui, Monique Jeanblanc et Vincent Lacoste :
     Optimal portfolio management with American capital guarantee.
145. Christophette Blanchet-Scalliet et Monique Jeanblanc :
     Hazard rate for credit risk and hedging defaultable contingent claims (PS).
     
146. Abdelghani Bellouquid :
     Global existence and asymptotic limit for kinetic models.
147. Julia Matos et Philippe Souplet :
     Universal blow-up estimates and decay rates for a semilinear heat equation.
148. Francis Hirsch :
     Intrinsic metrics and Lipschitz functions.
149. Gilles Hargé :
     Inequalities for Gaussian measure and an application to Wiener space.
150. Monique Jeanblanc, Jim Pitman et Marc Yor :
     Self-similar process with independent increments associated with Lévy and Bessel processes (PS).
151. Monique Jeanblanc, Peter Lakner :
     Optimal bankruptcy time and consumption/investment policies on an infinite horizon with a continuous debt payment until bankruptcy(PS).
     
152. Imed Bachar, Habib Maâgli et Noureddine Zeddini :
     Estimates on the Green function and existence of positive solutions of nonlinear singular elliptic equations.
153. C.M. Hurvich, E. Moulines et Ph. Soulier :
     Estimating long memory in stochastic volatility.
154. Philippe Soulier :
     Minimax rates of convergence for the estimation for the memory parameter of a stationary time series.
     2002
155. Raphaël Douady et Monique Jeanblanc :
     A rating-based model for credit derivatives (PS).
     
156. Gilles Fay, Eric Moulines et Philippe Soulier :
     Edgewoth expansions for infinite triangular arrays and applications to short and long memory processes.
157. Thomas Simon :
     Small deviations in p-variation norm for multidimensinal Lévy processes.
158. Jean-Marie Bernard :
     Spectral discretizations of the Stokes equations with non standard boundary conditions
159. Jean-Marie Bernard :
     Solutions $W^{2,p}$, p>3, for second grade fluid equations with a boundary of class $C^{1,1}$.
160. Jaksa Cvitanic, Ali Lazrak, Lionel Martellini et Fernando Zapatero :
     Revisiting Treynor and Black (1973) : an intertemporal model of active portfolio management.
161. Pierre Gilles Lemarié-Rieusset :
     Espaces de Lorentz et Navier-Stokes : le problème des solutions auto-similaires de Leray (PS).
     
162. Ali Lazrak :
     Information neutrality in the stochastic differential utility and related BSDEs.
163. Alexandre Ern, Stéphane Villeneuve et Antonino Zanette :
     Adaptative finite element methods for local volatility European option pricing.
164. Abdelmajid Bayad et Jesús Gómez Ayala :
     Formes de Jacobi et formules de distribution
165. Abdelmajid Bayad :
     Une relation de distribution satisfaite par la fonction zêta de Weierstrass associée à un réseau complexe.
166. Marc Chesney et Monique Jeanblanc :
     Pricing American currency options in a jump diffusion model (PDF).
167. Guillaume Bernis et Monique Jeanblanc :
     Hedging defaultable derivatives via utility theory.
168. Christophette Blanchet-Scalliet, Nicole El Karoui, Monique Jeanblanc et Lionel Martellini:
     Optimal investment and consumption decisions when time horizon is uncertain. (PDF)
169. Jean-Marie Bernard :
     Spectral approximation of the Navier-Stokes equations coupled with the heat equation.
170. Clifford Hurvich, Gabriel Land et Philippe Soulier :
     Estimation of long memory in the presence of a smooth nonparametric trend.
171. Randal Douc, Gersende Fort, Eric Moulines et Philippe Soulier :
     Practical drift conditions for subgeometric rates of convergence.
     2003
172. Pierre Gilles Lemarié-Rieusset et Ramzi May:
     Uniqueness for the Navier-Stokes equations and multipliers between Sobolev spaces.
173. Nadine Bellamy :
     Real option in case of a unique perturbation.
174. Daria Loukianova et Oleg Loukianov :
     Random rate of convergence of maximum likelihood estimators for multidimensional Harris diffusions.
175. Daria Loukianova et Oleg Loukianov :
     Uniform law of large numbers and consistency of estimators for multidimensional Harris diffusions.
176. Nadine Bellamy :
     Impact of market crises on real options.
177. Mikhail Lifshits et Thomas Simon :
     Small deviations for fractional stable processes.
178. Abdellatif Jouini et Pierre Gilles Lemarié-Rieusset :
     Wavelet bases on the L-shaped domain.
179. Thomas Simon :
     Small ball estimates in p-variation for stable processes.
180. Gilles Hargé :
     Characterization of equality in the correlation inequality for convex functions, the U-conjecture.
181. Monique Jeanblanc et Marek Rutkowski :
     Modelling and hedging of default risk.(PDF)
182. Mengchen Hsieh, Clifford M. Hurvich. et Philippe Soulier :
     Asymptotics for duration-driven long range dependent processes.
183. Ivan Marin :
     On the representation theory of braid groups.
184. Francis Hirsch :
     Measurable metrics and Gaussian concentration.(PDF)
185. Jean-Marie Bernard :
     Conforming and nonconforming finite element methods for solving the Darcy's equation.
186. Randal Douc, Eric Moulines et Philippe Soulier :
     Computable bounds for subgeometric ergodicity.
187. Stéphane Crépey :
     Delta hedging vega risk?
     2004
188. Francis Hirsch :
     Measurable metrics, intrinsic metrics and Lipschitz functions. (PDF)
189. Tomasz R. Bielecki, Monique Jeanblanc et Marek Rutkowski :
     Modeling and valuation of credit risk. (PDF)
190. Said Hamadèene et Monique Jeanblanc :
     On the starting and Stopping problem. Application in reversible investment. (PDF)
191. Jean-Marie Bernard :
     Spectral discretizations of the Darcy's equations with non standard boundary conditions.
192. Ivan Marin :
     Caractères de rigidité du groupe de Grothendiek-Teichm¨ller
193. Jules Sadefo-Kandem :
     VaR and ES for linear portfolios with mixture of elliptically distributed risk factors.
194. Tomasz R. Bielecki, Monique Jeanblanc et Marek Rutkowski :
     Replication of defaultable claims within the reduced-form framework (PDF)
195. Tomasz R. Bielecki, Monique Jeanblanc et Marek Rutkowski :
     Mean Variance hedging of defaultable claims. (PDF)
196. Tomasz R. Bielecki, Monique Jeanblanc et Marek Rutkowski :
     Indifference Pricing and Hedging of Defaultable Claims. (PDF)
197. Ivan Nourdin et Thomas Simon :
     On the absolute continuity of drifted Lévy processes.
198. Jules Sadefo-Kandem :
     VaR and ES for linear portfolios with mixture of generalized Laplace distributed risk factors.
199. Marc Arnaudon et Thomas Simon :
     Concentration of the Brownian bridge on Cartan-Hadamard manifolds with pinched negative sectional curvatures.
200. Ivan Marin :
     Monodromie algébrique des groupes d'Artin diédraux.
201. Tomasz R. Bielecki, Monique Jeanblanc et Marek Rutkowski :
     Completeness of a General Semimartingale Market under Constrained Trading. (PDF)
202. Pierre-Gilles Lemarié-Rieusset et Ali Zhioua :
     Weakly singular initial values for the Stokes equation on a half space.
     2005
203. Pierre-Gilles Lemarié-Rieusset et Sadek Gala :
     Multipliers between Sobolev spaces and fractional differentiation.
204. Tomasz R. Bielecki, Monique Jeanblanc et Marek Rutkowski :
     Completeness of a Reduced form credit risk model with discontinuous asset prices. (PDF)
205. Tomasz R. Bielecki, Monique Jeanblanc et Marek Rutkowski :
     PDE approach in Valuation and Hedging of credit derivatives. (PDF)
206. Ivan Marin :
     L'algèbre de Lie des transpositions.
207. Daniel Goujot :
     Blind Wavelet Compression of the Solution of a Nonlinear PDE with Singular Forcing Term Within Optimal Order Cost : Stability of Restricted Approximation to Small Errors.
208. Daniel Goujot :
     Analysis of pollution for the rapidly oscillating integral: the boundary equation Helmholtz-CFIE at high frequencies.
209. R. N. Boyarinov, I. S. Ngongo, V. N. Chubarikov :
     Asymptotic formulas for fractional moments of special sums.
210. Ivan Marin :
     Sur les représentations de Krammer g\'en\'eriques.
211. Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc, Marek Rutkowski :
     Valuation of basket credit derivatives in the credit migrations environment. (PDF)
212. Sadek Gala :
     Boundedness commutator between Sobolev spaces.
213. Sadek Gala :
     Multipliers spaces and pseudo-differential operators.
214. Daria Loukianova et Oleg Loukianov :
     Deterministic equivalents of additive functionals of recurrent diffusions and drift estimation.
215. Jean-Marie Bernard :
     Fully non-homogeneous problem of two dimensional second grade fluids and transport equations with normal boundary conditions.
216. Radjesvarane Alexandre :
     Integral kernel estimates for a linear singular operator linked with Boltzmann equation. Part I : small singularities $0<\nu<1$ and Besov to $L^p$ estimates. (PDF)
217. Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski :
     Pricing and trading credit default swaps under deterministic intensity (PDF)
218. Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski :
     Hedging of credit derivatives in models with totally unexpected default. (PDF)
219. Radjesvarane Alexandre :
     Integral kernel estimates for a linear singular operator linked with Boltzmann equation. Part II : small singularities $0<\nu<1$ and regularities issues.
220. Giovanni Pecatti et Jean-Renaud Pycke :
     Decomposition of stochastic processes based on irreducible group representation.
221. Grégory Nuel :
     Cumulative distribution of a geometric distribution.
222. Grégory Nuel :
     Pattern statistics on Markov chains and sensitivity to parameter estimation.
223. Grégory Nuel :
     Fast $p$-value computations using finite Markov chain imbedding (FMCI): application to local score and to pattern statistics
224. Grégory Nuel :
     Numerical solutions for patterns statistics on Markov chains.
225. Hammadi Abidi et Taoufik Hmidi :
     Résultats d'existence dans des espaces critiques pour le système de la MHD inhomogène.
226. T. Funaki, Y. Hariya, F. Hirsch et M. Yor :
     On the construction of Wiener integrals with respect to certain pseudo-Bessel processes, III.
227. T. Funaki, Y. Hariya, F. Hirsch et M. Yor :
     On the construction of Wiener integrals; IV : Fourier aspects.
     2006
228. Pierre-Gilles Lemarié-Rieusset :
     The Navier-Stokes equations in the critical Morrey-Campanato space.
229. Ivan Nourdin et Thomas Simon :
     Correcting Newton-Cötes integrals by Lévy areas.
230. Franck Aurzada et Thomas Simon :
     Small ball probabilities for stable convolutions.
231. Radjesvarane Alexandre, Eric Akmansoy, Selma Debbache, Muthussamy Vanninathan :
     Bloch Waves Homogenization and Lyapunov-Schmidt Reduction. (PDF)
232. Radjesvarane Alexandre :
     Integral estimates for a linear singular operator linked with Boltzmann operator. Part I : Small singularities $0<\nu<1$. (PDF)
233. Radjesvarane Alexandre, Ut Le Van, Thanh Long Nguyen, A. Pham Ngoc Dinh :
     A mathematical model for the evaporation of a liquid droplet, subject to nonlinear contraints. (PDF)
234. Valeria Banica :
     The nonlinear Schrödinger equation on hyperbolic space.
235. Dasha Loukianova et Oleg Loukianov :
     Uniform deterministic equivalent of additive functionals and non-parametric drift estimation for one-dimensional recurrent diffusions.
236. Eva Löcherbach et Dasha Loukianova :
     On Nummelin splitting for continuous time Harris recurrent Markov processes and application to kernel estimation for multi-dimensional diffusions.
237. Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc, Marek Rutkowski :
     Arbitrage pricing of defaultable game options with applications to convertible securities.
238. Gilles Hargé :
     Reinforcement of an inequality due to Brascamp and Lieb.
239. Laurent Denis et Begoña Fernández :
     Estimates of Dynamic VaR and Mean Loss Associated to Diffusion Processes.
240. Laurent Denis et Begoña Fernández:
     Estimation of Value at Risk for Diffusion Processes with Jumps and their Ruin Probabilities.
241. Jean-Renaud Pycke :
     A Decomposition for Invariant Tests of Uniformity on the Sphere.
242. Jean-Renaud Pycke :
     $U-$statistics based on the Green's function of the Laplacian on the circle and the sphere.
243. Jean-Renaud Pycke :
     A test for uniformity of circular data based on the geometric mean of chord lengths.
244. Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc, Marek Rutkowski :
     Defaultable Game Options in a Hazard Process Model.
245. Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc, Marek Rutkowski :
     Defaultable Options in a Markovian Intensity Model of Credit Risk.
246. Pierre-Gilles Lemarié-Rieusset :
     Uniqueness for the Navier-Stokes problem: Remarks on a theorem of Jean-Yves Chemin.
247. Monique Jeanblanc, Susanne Klöppel, Yoshio Miyahara :
     Minimal $f^q$ martingale measures for exponential Lévy processes.
248. Delia Coculescu, Hélyette Geman, Monique Jeanblanc :
     Valuation of Default Sensitive Claims under Imperfect Information
     2007
249. Thomas Simon :
     The lower tail problem for fluctuating additive functionals of stable processes.
250. Thomas Simon :
     On the Hausdorff dimension of regular points of inviscid Burgers equation with stable initial data.
251. Stephano Galluccio, Yann Le Cam :
     Implied Calibration and Moments Asymptotics in Stochastic Volatility Jump Diffusion Models. (PDF)
252. Aimé Lachal et Thomas Simon :
     Chung's law for homogeneous Brownian functionals.
253. Laurent Denis, Anis Matoussi :
     Maximum Principle and Comparison Theorem for Quasilinear Stochastic PDE's.
254. Stéphane Crépey, Anis Matoussi :
     Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison principle.
255. Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc, Marek Rutkowski :
     Convertible Securities in a Defaultable Diffusion Model.
256. Stéphane Crépey :
     About the pricing equations in Finance.
257. Stéphane Crépey :
     Markovian Reflected and doubly reflected BSDEs in a jump-diffusion setting with regimes.
258. Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski :
     Pricing and trading default swaps in a hazard process model. (PDF)
259. Monique Jeanblanc, Yann Le Cam :
     Progressive enlargement of filtration with initial times. (PDF)
260. Monique Jeanblanc, Yann Le Cam :
     Reduced form modelling for credit risk. (PDF)
261. Laurent Denis, Magali Kervarec :
     Utility functions and optimal investment in non-dominated models.
     2008
262. Monique Jeanblanc, Yann Le Cam :
     Immersion Property and Credit Risk Modelling. (PDF)
263. Eva Löcherbach, Dasha Loukianova :
     The law of iterated logarithm for additive functionals and martingale additive functionals of Harris recurrent Markov processes.
264. Jean Marie Bernard :
     Density results in Sobolev spaces where the functions vanish on a part of the boundary. (PDF)
265. Nicolas Bouleau, Laurent Denis :
     Energy image density property and local gradient for Poisson random measures . (PDF)
266. Antoine Jacquier :
     Convolution Semigroup for Distortion Functions and Spectral Risk Measures, with Numerical Applications. (PDF)
267. Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc :
     Up and Down credit risk. (PDF)
268. Francis Hirsch, Marc Yor :
     Fractional interwinings between two markov semigroups. (PDF)
269. Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski :
     edging of Credit Default Swaptions. (PDF)
270. Monique Jeanblanc, Pavel Gapeev :
     Pricing of contingent claims in a two-dimensional model with random dividends. (PDF)
271. Valeria Banica, Luis Vega :
     On the stability of a singular vortex dynamics. (PDF)
272. Valeria Banica, Remi Carles, Thomas Duyckaerts :
     On scattering for NLS: from Euclidean to hyperbolic space. (PDF)
273. Valeria Banica, Luis Vega :
     Selfsimilar solutions of the binormal flow and their stability. (PDF)
     2009
274. Francis Hirsch, Marc Yor :
     A construction of processes with one dimensional martingale marginals, based upon path-space Ornstein-Uhlenbeck processes and the Brownian sheet. (PDF)
275. Delia Coculescu, Monique Jeanblanc, Ashkan Nikeghbali :
     Default times, non arbitrage conditions and change of probability measures. (PDF)
276. Francis Hirsch, Marc Yor :
     A construction of processes with one-dimensional martingale marginals, associated with a Lévy process, via its Lévy sheet. (PDF)
277. Eva Löcherbach, Dasha Loukianova :
     Moderate deviations for centered additive functionals of recurrent Harris processes having general state space. (PDF)
278. Eva Löcherbach, Dasha Loukianova, Oleg Loukianov :
     Penalized nonparametric drift estimation in a continuous time one-dimensional diffusion process. (PDF)
279. Eva Löcherbach, Dasha Loukianova, Oleg Loukianov :
     Polynomial bounds in the Ergodic Theorem for positive recurrent one-dimensional diffusions and integrability of hitting times. (PDF)
280. Stéphane Crépey, Monique Jeanblanc, Behnaaz Zargari :
     CDS with Counterparty Risk in a Markov Chain Copula Model with Joint Defaults. (PDF)
281. Nicole El Karoui, Monique Jeanblanc, Ying Jiao :
     What happens after a default: the conditional density approach. (PDF)
282. René Carmona, Stéphane Créepey :
     Importance Sampling and Interacting Particle Systems for the Estimation of Markovian Credit Portfolios Loss Distribution. (PDF)
283. Francis Hirsch, Marc Yor :
     Looking for martingales associated to a self-decomposable law. (PDF)
284. Giorgia Callegaro, Abbas Sagna :
     An application to credit risk of a hybrid Monte Carlo-Optimal quantization method. (PDF)
285. Francis Hirsch, Bernard Roynette, Marc Yor :
     Unifying constructions of martingales associated with processes increasing in the convex order, via Lévy and Sato sheets. (PDF)
286. Dasha Loukianova, Oleg Loukianov, Shiqi Song :
     Poincaré inequality and exponential integrability of hitting times for a linear diffusion. (PDF)
287. Pavel V. Gapeev, Monique Jeanblanc :
     A Model of Credit Events Based on Filtering Theory. (PDF)
288. Francis Hirsch, Bernard Roynette, Marc Yor :
     From an Itô type calculus for Gaussian processes to integrals of log-normal processes increasing in the convex order. (PDF)
289. Pavel V. Gapeev, Monique Jeanblanc, Libo Li, Marek Rutkowski :
     Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives (PDF)
290. Samson Assefa, Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc :
     CVA computation for counterparty risk assessment in credit portfolios (PDF)
291. Tomasz R. Bielecki, Stéphane Crépey, Alexander Herbertsson :
     Markov Chain Models of Portfolio Credit Risk (PDF)
     2010
292. Monique Jeanblanc, Vincent Lacoste, S-bébastien Roland :
     Portfolio Optimization Under a Partially Observed Jump-Diffusion Model. (PDF)
293. Francis Hirsch, Bernard Roynette, Marc Yor :
     Applying Itô's motto: "look at the infinite dimensional picture" by constructing sheets to obtain processes increasing in the convex order (PDF)
294. Stéphane Crépey, Monique Jeanblanc, Behnaz Zargari :
     Counterparty Risk on a CDS in a Model with Joint Defaults and Stochastic Spreads. (PDF)
295. Stéphane Crépey, Abdallah Rahal :
     Pricing Convertible Bonds with Call Protection. (PDF)
296. Jean-François Chassagneux, Stéphane Crépey :
     Doubly Reflected BSDEs with Call Protection and their Approximation. (PDF)
297. Areski Cousin, Monique Jeanblanc :
     Hedging portfolio loss derivatives with CDSs. (PDF)
298. Monique Jeanblanc, Anis Matoussi, Armand Ngoupeyou :
     Robust utility maximization in a discontinuous filtration. (PDF)
299. Jean-François Chassagneux, Romuald Elie, Idris Kharroubi :
     A note on existence and uniqueness for solutions of multidimensional reflected BSDEs. (PDF)
300. Neyla Ajmi , Abdellatif Jouini, Pierre Gilles Lemarié-Rieusset :
     Wavelet bases on a triangle. (PDF)
301. Pavel Gapeev, Monique Jeanblanc :
     Pricing and filtering in a two-dimensional dividend switching model. (PDF)
302. Monique Jeanblanc, Shiqi Song :
     An Explicit Model of Default Time with given Survival Probability. (PDF)
303. Monique Jeanblanc, Shiqi Song :
     Random times with given survival probability and their $\mathbb{F}$-martingale decomposition formula. (PDF)
304. Giorgia Callegaro, Monique Jeanblanc, Wolfgang Runggaldier :
     Portfolio optimization in a defaultable market under incomplete information. (PDF)
305. Areski Cousin, S. Crépey, Yu Hang Kan :
     Delta-hedging Correlation Risk? (PDF)
306. Giorgia Callegaro, Monique Jeanblanc, Behnaz Zargari :
     Carthaginian Enlargement of Filtrations. (PDF)
307. Nicole El Karoui, Monique Jeanblanc, Ying Jiao, Behnaz Zargari :
     Conditional Default Probability and Density. (PDF)
308. Monique Jeanblanc, Zhiyong Yu :
     Optimal Investment Problems with Uncertain Time Horizon. (PDF)
309. Abass Sagna :
     Pricing of barrier options by marginal functional quantization. (PDF)
310. Diego Chamorro, Pierre Gilles Lemarié-Rieusset :
     Quasi-geostrophic equations, nonlinear Bernstein inequalities and α-stable processes. (PDF)
311. Diego Chamorro :
     Improved Sobolev inequalities and Muckenhoupt weights on stratified Lie groups. (PDF)
312. Eva Löcherbach, Dasha Loukianova :
     Polynomial deviation bounds for recurrent Harris processes having general state space. (PDF)
313. Pierre Gilles Lemarié -Rieusset, Frédéric Lelièvre :
     Suitable solutions for the Navier-Stokes problem with an homogeneous initial value. (PDF)
314. Jean-Marie Bernard :
     Density results in Sobolev spaces whose elements vanish on a part of the boundary. (PDF)
     2011
315. Jean-Marie Bernard :
     Steady transport equation in the case where the normal component of the velocity does not vanish on the boundary. (PDF)
316. Jean-François Chassagneux, Stéphane Crépey :
     Doubly Reflected BSDEs with Call Protection and their Approximation. (PDF)
317. Tomasz R. Bielecki, Stéphane Crépey :
     Dynamic Hedging of Counterparty Exposure. (PDF)
318. Stéphane Crépey, Zorana Grbac :
     Counterparty Risk on Interest Rate Derivatives in a Multiple Curve Setup. (PDF)
319. Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc, Behnaz Zargari :
     Valuation and Hedging of CDS Counterparty Exposure in a Markov Copula Model. (PDF)
320. Diego Chamorro :
     Some functional inequalities on polynomial volume growth Lie groups. (PDF)
321. Valeria Banica, Liviu Ignat :
     Dispersion For The Schrödinger Equation On Networks. (PDF)
322. Monique Jeanblanc, Michael Mania, Marina Santacroce, Martin Schweizer :
     Mean-variance hedging via stochastic control and BSDEs for general semimartingales. (PDF)
323. Francis Hirsch, Bernard Roynette :
     $R^d$-valued peacocks. (PDF)
324. Francis Hirsch, Marc Yor :
     On the remarkable Lamperti representation of the inverse local time of a radial Ornstein-Uhlenbeck process. (PDF)
325. Francis Hirsch, Marc Yor :
     On temporally completely monotone functions for Markov processes. (PDF)
326. Stéphane Crépey :
     A BSDE Approach to Counterparty Risk under Funding Constraints. (PDF)
327. Noufel Frikha, Abass Sagna :
     Quantization based Recursive Importance Sampling. (PDF)
328. Jean-Renaud Pycke :
     A probabilistic counterpart of Askey scheme for continuous polynomials. (PDF)
329. Valeria Banica, Evelyne Miot :
     Global existence and collisions for symmetric configurations of nearly parallel vortex filaments. (PDF)
330. Valeria Banic, Remi Carles, Thomas Duyckaerts :
     Minimal blow-up solutions to the mass-critical inhomogeneous NLS equation. (PDF)
331. Valeria Banica, Luis Vega :
     Scattering for 1D cubic NLS and singular vortex dynamics. (PDF)
332. Stéphane Crépey, Zorana Grbac, Hai-Nam Nguyen :
     A defaultable HJM multiple-curve term structure model. (PDF)
333. Jean-Marie Bernard :
     Problem of Second grade fluids in convex polyhedrons. (PDF)
334. Francis Hirsch, Bernard Roynette :
     A new proof of Kellerer's theorem. (PDF)
335. Francis Hirsch, Marc Yor :
     On the Mellin transforms of the perpetuity and the remainder variables associated to a subordinator. (PDF)
336. Christophe Profeta :
     Penalizing null recurrent diffusions (PDF)
     2012
337. Eva Löcherbach, Oleg Loukianov, Dasha Loukianova. :
     Spectral conditions, hitting times and Nash inequality (PDF)
338. Stéphane Crépey, Zorana Grbac:
     Counterparty Risk on Interest Rate Derivatives in a Multiple Curve Setup (PDF)
339. Emmanuelle Clément, Arnaud Gloter :
     Limit theorems in the Fourier transform method for the estimation of multivariate volatility. (PDF)
340. Arnaud Gloter, Miguel Martinez. :
     Distance between two skew Brownian motion as SDE with jumps and law of hitting time. (PDF)
341. Emmanuelle Clément, Sylvain Delattre, Arnaud Gloter :
     Asymptotic lower bounds in estimating jumps (PDF)
342. Thomas Lim, Vathana Ly Vath, Jean Michel Sahut, Simone Scotti :
     Bid-ask spread modelling, a perturbation approach (PDF)
343. Idriss Kharroubi, Thomas Lim :
     Progressive enlargement of filtrations and Backward SDEs with jumps (PDF)
344. Idriss Kharroubi, Thomas Lim
     A decomposition approach for the discrete-time approximation of FBSDEs with a jump I : the Lipschitz case (PDF)
345. Etienne Chevalier, Vathana Ly Vath, Simone Scotti:
     An Optimal Dividend and Investment Control Problem under Debt Constraints (PDF)
346. Etienne Chevalier, Armand Ngoupeyou:
     American put option on a defaultable asset and option based portfolio insurance (PDF)
347. Ernst Eberlein, Zorana Grbac :
     Rating based Lévy Libor model. (PDF)
348. Ernst Eberlein, Zorana Grbac, Thorsten Schmidt :
     CDO market models driven by time-inhomogeneous Lévy processes (PDF)
349. Zorana Grbac, Antonis Papapantoleon:
     A tractable LIBOR model with default risk. (PDF)
350. Jean-Renaud Pycke :
     On the range of linear and circular kurtosis. (PDF)
351. Monique Jeanblanc, Shiqi Song: :
     Martingale representation property in progressively enlarged filtrations. (PDF)
352. Valeria Banica, Evelyne Miot: :
     Evolution, interaction and collisions of vortex filaments. (PDF)
353. Valeria Banica, Luis Vega :
     Stability of the selfsimilar dynamics of a vortex filament. (PDF)
354. Christophe Profeta :
     On last passage times of linear diffusions to curved boundaries. (PDF)
355. Imène Hachicha :
     Global existence for a damped wave equation and convergence towards a solution of the Navier-Stokes problem. (PDF)