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- Centre National de la Recherche ScientifiqueFR147 papers
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28 papers · 1 filter
Measure changes with extinction
Simon Harris, Matthew Roberts
We consider a change of measure by a martingale and clarify that in general is only a supermartingale under the changed measure. We then give a necessary and sufficie…
Normal approximation for coverage models over binomial point processes
Larry Goldstein, Mathew D. Penrose
We give error bounds which demonstrate optimal rates of convergence in the CLT for the total covered volume and the number of isolated shapes, for germ-grain models with fixed grai…
Fluctuation theory and exit systems for positive self-similar Markov processes
Loïc Chaumont, Andreas Kyprianou, Juan Carlos Pardo +1
For a positive self-similar Markov process, X, we construct a local time for the random set, , of times where the process reaches its past supremum. Using this local time we des…
Continuum versus discrete flux behaviour in large mesoscopic Bi(2)Sr(2)CaCu(2)O(8+delta) disks
M. R. Connolly, M. V. Milosevic, S. J. Bending +2
Scanning Hall probe and local Hall magnetometry measurements have been used to investigate flux distributions in large mesoscopic superconducting disks with sizes that lie near the…
On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
R. L. Loeffen
We consider the classical optimal dividend control problem which was proposed by de Finetti [Trans. XVth Internat. Congress Actuaries 2 (1957) 433--443]. Recently Avram, Palmowski…
Exact and asymptotic -tuple laws at first and last passage
A. Kyprianou, J. C. Pardo, V. Rivero
Understanding the space-time features of how a Lévy process crosses a constant barrier for the first time, and indeed the last time, is a problem which is central to many models in…