23 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- Université Paris NanterreFR15 papers
- Modélisation aléatoire de Paris NanterreFR11 papers
- Centre National de la Recherche ScientifiqueFR5 papers
- Mathématiques Appliquées à Paris 5FR3 papers
- Université Paris CitéFR3 papers
- Galaxies, Etoiles, Physique et InstrumentationFR2 papers
- Institut de Mathématiques de ToulouseFR2 papers
- Laboratoire AstroParticule et CosmologieFR2 papers
- Observatoire de ParisFR2 papers
- Qatar Science and Technology ParkQA2 papers
- Université Paris DescartesFR2 papers
- Université Paris Sciences et LettresFR2 papers
8 papers · 1 filter
Nonparametric Estimation in Fractional SDE
Fabienne Comte, Nicolas Marie
This paper deals with the consistency and a rate of convergence for a Nadaraya-Watson estimator of the drift function of a stochastic differential equation driven by an additive fr…
On a Fractional Stochastic Hodgkin-Huxley Model
Laure Coutin, Jean-Marc Guglielmi, Nicolas Marie
The model studied in this paper is a stochastic extension of the so-called neuron model introduced by Hodgkin and Huxley. In the sense of rough paths, the model is perturbed by a m…
On a Constrained Fractional Stochastic Volatility Model
Nicolas Marie
This paper deals with an extension of the so-called Black-Scholes model in which the volatility is modeled by a linear combination of the components of the solution of a differenti…
Invariance for Rough Differential Equations
Laure Coutin, Nicolas Marie
In 1990, in Itô's stochastic calculus framework, Aubin and Da Prato established a necessary and sufficient condition of invariance of a nonempty compact or convex subset of $\m…
Singular Equations Driven by an Additive Noise and Applications
Nicolas Marie
In the pathwise stochastic calculus framework, the paper deals with the general study of equations driven by an additive Gaussian noise, with a drift function having an infinite li…
Ergodicity of a Generalized Jacobi's Equation and Applications
Nicolas Marie
Consider a -dimensional centered Gaussian process with -Hölder continuous paths on the compact intervals of () and , and the local…
A Generalized Mean-Reverting Equation and Applications
Nicolas Marie
Consider a mean-reverting equation, generalized in the sense it is driven by a 1-dimensional centered Gaussian process with Hölder continuous paths on (). Taking tha…
Sensitivities via Rough Paths
Nicolas Marie
Motivated by a problematic coming from mathematical finance, this paper is devoted to existing and additional results of continuity and differentiability of the Itô map associated…