8 citations · 18 across the 18 of their papers we have counts for
10 papers · 1 filter
Deviation results for Mandelbrot's multiplicative cascades with exponential tails
Thierry Klein, Agnès Lagnoux, P Petit
Let be a nonnegative random variable with expectation . For all , we consider the total mass of the associated Mandelbrot multiplicative cascade…
Large deviation results for triangular arrays of semiexponential random variables
Thierry Klein, Agnès Lagnoux, Pierre Petit
Asymptotics deviation probabilities of the sum S n = X 1 + + X n of independent and identically distributed real-valued random variables have been extens…
Probabilistic proofs of large deviation results for sums of semiexponential random variables and explicit rate function at the transition
Fabien Brosset, Thierry Klein, Agnès Lagnoux +1
Asymptotics deviation probabilities of the sum S n = X 1 + + X n of independent and identically distributed real-valued random variables have been extens…
A conditional Berry-Esseen inequality
Thierry Klein, A Lagnoux, P Petit
As an extension of a central limit theorem established by Svante Janson, we prove a Berry-Esseen inequality for a sum of independent and identically distributed random variables co…
Deviation results for sparse tables in hashing with linear probing
Thierry Klein, A Lagnoux, P Petit
We consider the model of hashing with linear probing and we establish the moderate and large deviations for the total displacement in sparse tables. In this context, Weibull-like-t…
Multilevel branching splitting algorithm for estimating rare event probabilities
Agnès Lagnoux, Pascal Lezaud
We analyse the splitting algorithm performance in the estimation of rare event probabilities and this in a discrete multidimensional framework. For this we assume that each thresho…
Sensitivity analysis based on Cram{é}r von Mises distance
Fabrice Gamboa, Thierry Klein, Agnès Lagnoux
In this paper, we first study a new sensitivity index that is based on higher moments and generalizes the so-called Sobol one. Further, following an idea of Borgonovo ([3]), we def…
Probability that the maximum of the reflected Brownian motion over a finite interval is achieved by its last zero before
Agnès Lagnoux, Sabine Mercier, Pierre Vallois
We calculate the probability that the maximum of a reflected Brownian motion is achieved on a complete excursion, i.e. where $\ov…
A conditional Berry-Esseen bound and a conditional large deviation result without Laplace transform. Application to hashing with linear probing
Thierry Klein, Agnès Lagnoux, Pierre Petit
\noindent We study the asymptotic behavior of a sum of independent and identically distributed random variables conditioned by a sum of independent and identically distributed inte…
Elements related to the largest complete excursion of a reflected BM stopped at a fixed time. Application to local score
Claudie Chabriac, Agnès Lagnoux, Sabine Mercier +1
Elements related to the largest complete excursion of a reflected BM stopped at a fixed time. Application to local score.