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
30 papers · 1 filter
On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes
Paavo Salminen, Marc Yor
Firstly, we compute the distribution function for the hitting time of a linear time-dependent boundary by a reflecting Brownian motion. The mai…
Construction of -Limit Sets
Laurent Boyer, Martin Delacourt, Mathieu Sablik
The -limit set of a cellular automaton is a subshift whose forbidden patterns are exactly those, whose probabilities tend to zero as time tends to in- finity. In this article, f…
Type I error rate control for testing many hypotheses: a survey with proofs
Etienne Roquain
This paper presents a survey on some recent advances for the type I error rate control in multiple testing methodology. We consider the problem of controlling the -family-wise e…
A finite dimensional approximation for pricing moving average options
Marie Bernhart, Peter Tankov, Xavier Warin
We propose a method for pricing American options whose pay-off depends on the moving average of the underlying asset price. The method uses a finite dimensional approximation of th…
Parametrix techniques and martingale problem for some degenerate Kolmogorov's equations
Stephane Menozzi
We prove the uniqueness of the martingale problem associated to some degenerate operators. The key point is to exploit the strong parallel between the new technique introduced by B…
Adaptive Density Estimation in the Pile-up Model Involving Measurement Errors
Fabienne Comte, Tabea Rebafka
Motivated by fluorescence lifetime measurements this paper considers the problem of nonparametric density estimation in the pile-up model. Adaptive nonparametric estimators are pro…