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- Centre National de la Recherche ScientifiqueFR398 papers
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- Université Savoie Mont BlancFR113 papers
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11 papers · 2 filters
Stochastic viscosity solution for stochastic PDIEs with nonlinear Neumann boundary condition
Auguste Aman, Yong Ren
This paper is an attempt to extend the notion of viscosity solution to nonlinear stochastic partial differential integral equations with nonlinear Neumann boundary condition. Using…
Local estimation of the Hurst index of multifractional Brownian motion by Increment Ratio Statistic method
Pierre R. Bertrand, Mehdi Fhima, Arnaud Guillin
We investigate here the Central Limit Theorem of the Increment Ratio Statistic of a multifractional Brownian motion, leading to a CLT for the time varying Hurst index. The proofs a…
Variable length Markov chains and dynamical sources
Peggy Cénac, Brigitte Chauvin, Frédéric Paccaut +1
Infinite random sequences of letters can be viewed as stochastic chains or as strings produced by a source, in the sense of information theory. The relationship between Variable Le…
Free convolution with a semi-circular distribution and eigenvalues of spiked deformations of Wigner matrices
Mireille Capitaine, Catherine Donati-Martin, Delphine Féral +1
We investigate the asymptotic behavior of the eigenvalues of spiked perturbations of Wigner matrices when the dimension goes to infinity. The entries of the Hermitian Wigner matrix…
Some remarks on weighted logarithmic Sobolev inequality
Patrick Cattiaux, Arnaud Guillin, Liming Wu
We give here a simple proof of weighted logarithmic Sobolev inequality, for example for Cauchy type measures, with optimal weight, sharpening results of Bobkov-Ledoux. Some consequ…
Backward doubly stochastic differential equations with weak assumptions on the coefficients
Qian Lin
In this paper, we deal with one dimensional backward doubly stochastic differential equations (BDSDEs) where the coefficient is left Lipschitz in y (may be discontinuous) and unifo…