296 citations
- Université Paris NanterreFR84 papers
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9 papers · 1 filter
Drift in Transaction-Level Asset Price Models
Wen Cao, Clifford Hurvich, Philippe Soulier
We study the effect of drift in pure-jump transaction-level models for asset prices in continuous time, driven by point processes. The drift is as-sumed to arise from a nonzero mea…
Convergence to stable laws in the space
François Roueff, Philippe Soulier
We study the convergence of centered and normalized sums of i.i.d. random elements of the space of c{á}dl{á}g functions endowed with Skorohod's topology, to st…
Strongly Vertex-Reinforced-Random-Walk on the complete graph
Michel Benaïm, Olivier Raimond, Bruno Schapira
We study Vertex-Reinforced-Random-Walk on the complete graph with weights of the form , with . Unlike for the Edge-Reinforced-Random-Walk, which in this case localiz…
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…
Testing equality of functions under monotonicity constraints
Cécile Durot, Piet Groeneboom, Hendrik P. Lopuhaä
We consider the problem of testing equality of functions for the basis of independent samples from possibly different distributions unde…
Noisy low-rank matrix completion with general sampling distribution
Olga Klopp
In the present paper, we consider the problem of matrix completion with noise. Unlike previous works, we consider quite general sampling distribution and we do not need to know or…