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From the 1 of 668 papers with an AI index.
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Showing 2011 · math.PRShow all
3 papers · 2 filters
math.PR2011
A Mean-Reverting SDE on Correlation matrices
Abdelkoddousse Ahdida, Aurélien Alfonsi
We introduce a mean-reverting SDE whose solution is naturally defined on the space of correlation matrices. This SDE can be seen as an extension of the well-known Wright-Fisher dif…
math.PR2011★ 19 cited
Record process on the Continuum Random Tree
Romain Abraham, Jean-François Delmas
By considering a continuous pruning procedure on Aldous's Brownian tree, we construct a random variable which is distributed, conditionally given the tree, according to the pro…
math.PR2011★ 2 cited
A Williams' Decomposition for Spatially Dependent Superprocesses
Jean-Francois Delmas, Olivier Hénard
We present a genealogy for superprocesses with a non-homogeneous quadratic branching mechanism, relying on a weighted version of the superprocess and a Girsanov theorem. We then de…