Prépublications de l'Equipe d'Analyse et Probabilités

Cliquer ici pour les titres de 1999 , de 2000, de 2001, de 2002, de 2003 , de 2004., de 2005 , de 2006 , de 2007 , de 2008 , de 2009, de 2010, de 2011 et de 2012.

  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-b├ębastien 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)

Dernière mise à jour : 31 mai 2012.