688 citations
- Laboratoire de Mathématiques Nicolas OresmeFR36 papers
- Centre National de la Recherche ScientifiqueFR21 papers
- Université Paris-SudFR10 papers
- Institut de recherche mathématique de RennesFR8 papers
- Laboratoire de Mathématiques et ApplicationsFR8 papers
- Institut de Mathématiques de Jussieu-Paris Rive GaucheFR7 papers
- Laboratoire de Mathématiques de ReimsFR7 papers
- Centre de Recherche en Mathématiques de la DécisionFR5 papers
- Institut National des Sciences Appliquées Rouen NormandieFR5 papers
- Université Clermont AuvergneFR5 papers
- Laboratoire d’Analyse et de Mathématiques AppliquéesFR4 papers
- Laboratoire de Probabilités et Modèles AléatoiresFR4 papers
Showing 2008 · math.PRShow all
3 papers · 2 filters
math.PR2008
From random walks to rough paths
Emmanuel Breuillard, Peter Friz, Martin Huesmann
Donsker's invariance principle is shown to hold for random walks in rough path topology. As application, we obtain Donsker-type weak limit theorems for stochastic integrals and dif…
math.PR2008★ 3 cited
An extended existence result for quadratic BSDEs with jumps with application to the utility maximization problem
Marie Amelie Morlais
In this study, we consider the exponential utility maximization problem in the context of a jump-diffusion model. To solve the problem, we rely on the dynamic programming principle…
math.PR2008★ 46 cited
On mean central limit theorems for stationary sequences
Jérôme Dedecker, Emmanuel Rio
In this paper, we give estimates of the minimal distance between the distribution of the normalized partial sum and the limiting Gaussian distribution for stationa…