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math.PR2008
Mathematical model for resistance and optimal strategy
Blandine Berard Bergery, Christophe Profeta, Etienne Tanré
We propose a mathematical model for one pattern of charts studied in technical analysis: in a phase of consolidation, the price of a risky asset goes down times after hitting a…
math.PR2007
Approximation via regularization of the local time of semimartingales and Brownian motion
Blandine Berard Bergery, Pierre Vallois
Through a regularization procedure, few approximation schemes of the local time of a large class of one dimensional processes are given. We mainly consider the local time of contin…
math.PR2006
Quelques approximations du temps local brownien
Blandine Berard Bergery, Pierre Vallois
We give some approximations of the local time process at level of the real Brownian motion . We prove that $ \frac{2}ε\int_0^{t} X_{(u+ε)\wedge…