1 citations · 2 across the 3 of their papers we have counts for
3 papers
math.PR2019★ 1 cited
Persistence and exit times for some additive functionals of skew Bessel processes
Christophe Profeta
Let X be some homogeneous additive functional of a skew Bessel process Y. In this note, we compute the asymptotics of the first passage time of X to some fixed level b, and study t…
math.PR2017
Piecewise Constant Martingales and Lazy Clocks
Christophe Profeta, Frédéric Vrins
This paper discusses the possibility to find and construct \textit{piecewise constant martingales}, that is, martingales with piecewise constant sample paths evolving in a connecte…
math.PR2012★ 1 cited
Conditional hitting time estimation in a nonlinear filtering model by the Brownian bridge method
Christophe Pofeta, Abass Sagna
The model consists of a signal process which is a general Brownian diffusion process and an observation process , also a diffusion process, which is supposed to be correlate…