From the 1 of 5.5k papers with an AI index.
29.3k citations
- Centre National de la Recherche ScientifiqueFR1.7k papers
- Centre Inria de SaclayFR364 papers
- École PolytechniqueFR306 papers
- Laboratoire Lorrain de Recherche en Informatique et ses ApplicationsFR300 papers
- École Normale Supérieure - PSLFR292 papers
- Sorbonne UniversitéFR291 papers
- École Normale Supérieure de LyonFR233 papers
- Centre Inria de l'Université Grenoble AlpesFR216 papers
- Université Paris-SaclayFR208 papers
- Université Grenoble AlpesFR204 papers
- Lyon 1 UniversitéFR191 papers
- Centre Inria d'Université Côte d'AzurFR183 papers
15 papers · 2 filters
Generalized covariation for Banach space valued processes, Itô formula and applications
Cristina Di Girolami, Francesco Russo
This paper discusses a new notion of quadratic variation and covariation for Banach space valued processes (not necessarily semimartingales) and related Itô formula. If $\X$ and $\…
Parameters estimation for asymmetric bifurcating autoregressive processes with missing data
Benoîte de Saporta, Anne Gégout-Petit, Laurence Marsalle
We estimate the unknown parameters of an asymmetric bifurcating autoregressive process (BAR) when some of the data are missing. In this aim, we model the observed data by a two-typ…
Malliavin-Skorohod calculus and Paley-Wiener integral for covariance singular processes
Ida Kruk, Francesco Russo
We develop a stochastic analysis for a Gaussian process with singular covariance by an intrinsic procedure focusing on several examples such as covariance measure structure pro…
A probabilistic algorithm approximating solutions of a singular PDE of porous media type
Nadia Belaribi, François Cuvelier, Francesco Russo
The object of this paper is a one-dimensional generalized porous media equation (PDE) with possibly discontinuous coefficient , which is well-posed as an evolution problem in $L…
Numerical method for impulse control of Piecewise Deterministic Markov Processes
Benoîte de Saporta, François Dufour
This paper presents a numerical method to calculate the value function for a general discounted impulse control problem for piecewise deterministic Markov processes. Our approach i…
Local estimation of the Hurst index of multifractional Brownian motion by Increment Ratio Statistic method
Pierre R. Bertrand, Mehdi Fhima, Arnaud Guillin
We investigate here the Central Limit Theorem of the Increment Ratio Statistic of a multifractional Brownian motion, leading to a CLT for the time varying Hurst index. The proofs a…