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- École PolytechniqueFR888 papers
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8 papers · 2 filters
A Probabilistic Scheme for Fully Nonlinear Nonlocal Parabolic PDEs with singular Lévy measures
Arash Fahim
We introduce a Monte Carlo scheme for fully nonlinear parabolic nonlocal PDE's whose nonlinearity in of Hamilton-Jacobi-Bellman-Isaacs (HJBI for short). We avoid the difficulties o…
Convergence rates for a branching process in a random environment
Chunmao Huang, Quansheng Liu
Let be a supercritical branching process in a random environment . We study the convergence rates of the martingale to its limit . The followin…
The 2d-Directed Spanning Forest is almost surely a tree
David Coupier, Viet Chi Tran
We consider the Directed Spanning Forest (DSF) constructed as follows: given a Poisson point process N on the plane, the ancestor of each point is the nearest vertex of N having a…
Fluctuations of the extreme eigenvalues of finite rank deformations of random matrices
Florent Benaych-Georges, Alice Guionnet, Mylène Maïda
Consider a deterministic self-adjoint matrix X_n with spectral measure converging to a compactly supported probability measure, the largest and smallest eigenvalues converging to t…
FBSDE with time delayed generators: Lp-solutions, differentiability, representation formulas and path regularity
Gonçalo dos Reis, Anthony Réveillac, Jianing Zhang
We extend the work of Delong and Imkeller (2010a,b) concerning Backward stochastic differential equations with time delayed generators (delay BSDE). We give moment and a priori est…
Slow and fast scales for superprocess limits of age-structured populations
Sylvie Méléard, Viet Chi Tran
A superprocess limit for an interacting birth-death particle system modelling a population with trait and physical age-structures is established. Traits of newborn offspring are in…