332 citations
- Psychiatric Medicine AssociatesUS49 papers
- Sorbonne UniversitéFR36 papers
- Université Paris CitéFR25 papers
- Centre National de la Recherche ScientifiqueFR22 papers
- Département de mathématiques et applicationsFR9 papers
- École Normale Supérieure - PSLFR8 papers
- Université Paris NanterreFR8 papers
- Laboratoire de Statistique Théorique et AppliquéeFR7 papers
- Centre de Recherche en Économie et StatistiqueFR6 papers
- Laboratoire Paul PainlevéFR5 papers
- École Normale Supérieure de LyonFR4 papers
- Institut de Mathématiques de Jussieu-Paris Rive GaucheFR4 papers
13 papers · 2 filters
An explicit Skorokhod embedding for functionals of Markovian excursions
Jan Obloj
We develop an explicit non-randomized solution to the Skorokhod embedding problem in an abstract setup of signed functionals of Markovian excursions. Our setting allows to solve th…
On some recent aspects of stochastic control and their applications
Huyen Pham
This paper is a survey on some recent aspects and developments in stochastic control. We discuss the two main historical approaches, Bellman's optimality principle and Pontryagin's…
Krein's Theory applied to fluctuations of Lévy processes
Sonia Fourati
We give an interpretation of the bilateral exit problem for Lévy processes via the study of an elementary Markov chain. We exhibit a strong connection between this problem and Krei…
Valleys and the maximum local time for random walk in random environment
Amir Dembo, Nina Gantert, Yuval Peres +1
Let be the local time at for a recurrent one-dimensional random walk in random environment after steps, and consider the maximum . It is k…
Pénalisations of Walsh's Brownian motion
Joseph Najnudel
In this paper, we construct a family of probability measures, by penalizations of a Walsh's Brownian motion with a weight dependent on its value and its local time at a time t. We…
Smoothing effect of quenched disorder on polymer depinning transitions
G. Giacomin, F. L. Toninelli
We consider general disordered models of pinning of directed polymers on a defect line. This class contains in particular the --dimensional interface wetting model, the diso…