332 citations
- Psychiatric Medicine AssociatesUS67 papers
- Sorbonne UniversitéFR55 papers
- Université Paris CitéFR40 papers
- Centre National de la Recherche ScientifiqueFR35 papers
- Université Paris NanterreFR13 papers
- Département de mathématiques et applicationsFR11 papers
- École Normale Supérieure - PSLFR11 papers
- Institut de Mathématiques de MarseilleFR11 papers
- Centre de Recherche en Économie et StatistiqueFR8 papers
- Centre de Recherche en Mathématiques de la DécisionFR8 papers
- Laboratoire de Mathématiques Blaise PascalFR8 papers
- Institut de Mathématiques de Jussieu-Paris Rive GaucheFR7 papers
18 papers · 2 filters
Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
Marie-Claire Quenez, AgnÈs Sulem
We study the optimal stopping problem for dynamic risk measures represented by Backward Stochastic Differential Equations (BSDEs) with jumps and its relation with reflected BSDEs (…
Estimation of volatility functionals: the case of a square root n window
Jean Jacod, Mathieu Rosenbaum
We consider a multidimensional Ito semimartingale regularly sampled on [0,t] at high frequency 1/Δ_n, with Δ_n going to zero. The goal of this paper is to provide an estimator for…
Mixing time of a kinetically constrained spin model on trees: power law scaling at criticality
Nicoletta Cancrini, Fabio Martinelli, Cyril Roberto +1
On the rooted -ary tree we consider a 0-1 kinetically constrained spin model in which the occupancy variable at each node is re-sampled with rate one from the Bernoulli(p) measu…
New approaches of source-sink metapopulations decoupling the roles of demography and dispersal
Vincent Bansaye, Amaury Lambert
Source-sink systems are metapopulations of habitat patches with different, and possibly temporally varying, habitat qualities, which are commonly used in ecology to study the fate…
Discrete-time approximation of multidimensional BSDEs with oblique reflections
Jean-Francois Chassagneux, Romuald Elie, Idris Kharroubi
In this paper, we study the discrete-time approximation of multidimensional reflected BSDEs of the type of those presented by Hu and Tang [Probab. Theory Related Fields 147 (2010)…
Branching Brownian motion with selection
Pascal Maillard
In this thesis, branching Brownian motion (BBM) is a random particle system where the particles diffuse on the real line according to Brownian motions and branch at constant rate i…