- Interdisciplinary Centre for Security, Reliability and TrustLU193 papers
- Centre National de la Recherche ScientifiqueFR133 papers
- Luxembourg Institute of Science and TechnologyLU105 papers
- Donostia International Physics CenterES66 papers
- Forschungszentrum JülichDE37 papers
- Polish Academy of SciencesPL36 papers
- University of CambridgeGB36 papers
- Luxembourg Centre for Systems BiomedicineLU34 papers
- Technische Universität BerlinDE34 papers
- University of OttawaCA34 papers
- Université de LorraineFR31 papers
- University of LiègeBE30 papers
6 papers · 2 filters
Bismut-Stroock Hessian formulas and local Hessian estimates for heat semigroups and harmonic functions on Riemannian manifolds
Qin-Qian Chen, Li-Juan Cheng, Anton Thalmaier
In this article, we develop a martingale approach to localized Bismut-type Hessian formulas for heat semigroups on Riemannian manifolds. Our approach extends the Hessian formulas e…
The insider problem in the trinomial model: a discrete-time jump process approach
Hélène Halconruy
In an incomplete market underpinned by the trinomial model, we consider two investors : an ordinary agent whose decisions are driven by public information and an insider who posses…
The multivariate functional de Jong CLT
Christian Döbler, Mikołaj Kasprzak, Giovanni Peccati
We prove a multivariate functional version of de Jong's CLT (1990) yielding that, given a sequence of vectors of Hoeffding-degenerate U-statistics, the corresponding empirical proc…
Malliavin calculus for marked binomial processes: portfolio optimisation in the trinomial model and compound Poisson approximation
Hélène Halconruy
In this paper we develop a stochastic analysis for marked binomial processes, that can be viewed as the discrete analogues of marked Poisson processes. The starting point is the st…
Fractal dimensions of the Rosenblatt process
Lara Daw, George Kerchev
The paper concerns the image, level and sojourn time sets associated with sample paths of the Rosenblatt process. We obtain results regarding the Hausdorff (both classical and macr…
Local scaling limits of Lévy driven fractional random fields
Vytautė Pilipauskaitė, Donatas Surgailis
We obtain a complete description of local anisotropic scaling limits for a class of fractional random fields on written as stochastic integral with respect to…