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11 papers · 1 filter
Non singularity of the asymptotic Fisher information matrix in hidden Markov models
Randal Douc
In this paper, we consider a parametric hidden Markov model where the hidden state space is non necessarily finite. We provide a necessary and sufficient condition for the invertib…
Computable Convergence Rates for Subgeometrically Ergodic Markov Chains
Randal Douc, Eric Moulines, Philippe Soulier
In this paper, we give quantitative bounds on the -total variation distance from convergence of an Harris recurrent Markov chain on an arbitrary under drift and minorisation con…
Homogenization of the Schrodinger equation with a time oscillating potential
Gregoire Allaire, M. Vanninathan
We study the homogenization of a Schrodinger equation in a periodic medium with a time dependent potential. This is a model for semiconductors excited by an external electromagneti…
Deviations bounds and conditional principles for thin sets
Patrick Cattiaux, Nathael Gozlan
The aim of this paper is to use non asymptotic bounds for the probability of rare events in the Sanov theorem, in order to study the asymptotics in conditional limit theorems (Gibb…
Extreme values and fat tails of multifractal fluctuations
Jean-Francois Muzy, Emmanuel Bacry, Alexey Kozhemyak
In this paper we discuss the problem of the estimation of extreme event occurrence probability for data drawn from some multifractal process. We also study the heavy (power-law) ta…
A regression-based Monte Carlo method to solve backward stochastic differential equations
Emmanuel Gobet, Jean-Philippe Lemor, Xavier Warin
We are concerned with the numerical resolution of backward stochastic differential equations. We propose a new numerical scheme based on iterative regressions on function bases, wh…