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4 papers · 2 filters
Some Connections Between (Sub)Critical Branching Mechanisms and Bernstein Functions
Jean Bertoin, Bernard Roynette, Marc Yor
We describe some connections, via composition, between two functional spaces: the space of (sub)critical branching mechanisms and the space of Bernstein functions. The functions ${…
On local martingale and its supremum: harmonic functions and beyond
Jan Obloj, Marc Yor
We discuss certain facts involving a continuous local martingale and its supremum . A complete characterization of -harmonic functions is proposed. This y…
Fisher's Information for Discretely Sampled Levy Processes
Yacine Ait-Sahalia, Jean Jacod
This paper studies the asymptotic behavior of the Fisher information for a Levy process discretely sampled at an increasing frequency. We show that it is possible to distinguish no…
Directed Polymers in Random Environment are Diffusive at Weak Disorder
Francis Comets, Nobuo Yoshida
In this paper, we consider directed polymers in random environment with discrete space and time. For transverse dimension at least equal to 3, we prove that diffusivity holds for t…