3 citations · 4 across the 4 of their papers we have counts for
4 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…
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…
Convergence of U-statistics for interacting particle systems
P. Del Moral, F. Patras, S. Rubenthaler
The convergence of U-statistics has been intensively studied for estimators based on families of i.i.d. random variables and variants of them. In most cases, the independence assum…