113 citations · 209 across the 21 of their papers we have counts for
17 papers · 1 filter
Option pricing and hedging for regime-switching geometric Brownian motion models
Bruno Remillard, Sylvain Rubenthaler
We find the variance-optimal equivalent martingale measure when multivariate assets are modeled by a regime-switching geometric Brownian motion, and the regimes are represented by…
Counterexample to a transition probability formula for the ancestral process
Sylvain Rubenthaler
We consider weighted particle systems in which new generations are re-sampled from current particles with probabilities proportional to their weights. This covers a broad class of…
A centra-limit theorem for conservative fragmentation chain
Camille Noûs, Sylvain Rubenthaler
We are interested in a fragmentation process. We observe fragments frozen when their sizes are less than ε (ε > 0). It is known ([BM05]) that the empirical measure of these fragmen…
Central-limit theorem for conservative fragmentation chains
Sylvain Rubenthaler
We are interested in a fragmentation process. We observe fragments frozen when their sizes are less than ( > 0). Is is known ([BM05]) that the empirical measure of these fra…
Stability of the optimal filter in continuous time: Beyond the bene{\v s} filter
van Bien Bui, Sylvain Rubenthaler
We are interested in the optimal filter in a continuous time setting. We want to show that the optimal filter is stable with respect to its initial condition. We reduce the problem…
Particle systems with a singular mean-field self-excitation. Application to neuronal networks
F. Delarue, J. Inglis, S. Rubenthaler +1
We discuss the construction and approximation of solutions to a nonlinear McKean-Vlasov equation driven by a singular self-excitatory interaction of the mean-field type. Such an eq…