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7 papers · 2 filters
Mathematical model for resistance and optimal strategy
Blandine Berard Bergery, Christophe Profeta, Etienne Tanré
We propose a mathematical model for one pattern of charts studied in technical analysis: in a phase of consolidation, the price of a risky asset goes down times after hitting a…
From persistent random walks to the telegraph noise
Samuel Herrmann, Pierre Vallois
We study a family of memory-based persistent random walks and we prove weak convergences after space-time rescaling. The limit processes are not only Brownian motions with drift. W…
Rough Volterra equations 1: the algebraic integration setting
Aurélien Deya, Samy Tindel
We define and solve Volterra equations driven by an irregular signal, by means of a variant of the rough path theory called algebraic integration. In the Young case, that is for a…
A central limit theorem for the rescaled Lévy area of two-dimensional fractional Brownian motion with Hurst index
Jeremie Unterberger
Let be a two-dimensional fractional Brownian motion with Hurst index . Using an analytic approximation of introduced in \cite{Unt08},…
La forme asymptotique du processus de contact en environnement aléatoire
Olivier Garet, Régine Marchand
The aim of this article is to prove asymptotic shape theorems for the contact process in stationary random environment. These theorems generalize known results for the classical co…
On subexponentiality of the Lévy measure of the diffusion inverse local time; with applications to penalizations
Paavo Salminen, Pierre Vallois
For a recurrent linear diffusion on we study the asymptotics of the distribution of its local time at 0 as the time parameter tends to infinity. Under the assumption that th…