3 papers
math.PR2014
A Random Difference Equation with Dufresne Variables revisited
Jean-François Chamayou
The Dufresne laws (laws of product of independent random variables with gamma and beta distributions) occur as stationary distribution of certain Markov chains on defi…
math.PR2013
Shot Noise with Random Parameters
Jean-François Chamayou
We give the description of the following model: for in the case where the are i.d.d. random variables with probability density: $$ A x…
math.PR2013
Computational Tools for the Shot Noise with Random Amplitude
Jean-François Chamayou
The following random recurrency: where is known to be associated with the shot noise : $$ W_{t} = \sum_{0<t_k<t} Λ_{k} e^{-(t-…