3 citations · 4 across the 6 of their papers we have counts for
6 papers
From persistent random walks to the telegraph noise
Samuel Herrmann, Pierre Vallois
We study a family of memory-based persistent random walks and we prove weak convergences after space-time rescaling. The limit processes are not only Brownian motions with drift. W…
On subexponentiality of the Lévy measure of the diffusion inverse local time; with applications to penalizations
Paavo Salminen, Pierre Vallois
For a recurrent linear diffusion on we study the asymptotics of the distribution of its local time at 0 as the time parameter tends to infinity. Under the assumption that th…
Approximation via regularization of the local time of semimartingales and Brownian motion
Blandine Berard Bergery, Pierre Vallois
Through a regularization procedure, few approximation schemes of the local time of a large class of one dimensional processes are given. We mainly consider the local time of contin…
On the excursion theory for linear diffusions
Paavo Salminen, Pierre Vallois, Marc Yor
We present a number of important identities related to the excursion theory of linear diffusions. In particular, excursions straddling an independent exponential time are studied i…
Levy processes: Hitting time, overshoot and undershoot II - Asymptotic behaviour
Bernard Roynette, Pierre Vallois, Agnes Volpi
Let (X_t, t>=0) be a Levy process started at 0, with Levy measure nu and T_x the first hitting time of level x>0: T_x:=inf{t>=0; X_t>x}. Let $F(theta, mu, rho,.) be the joint Lapla…
Levy Processes: Hitting time, overshoot and undershoot - part I: Functional equations
Bernard Roynette, Pierre Vallois, Agnes Volpi
Let (X_t, t >=0) be a Levy process started at 0, with Levy measure nu, and T_x the first hitting time of level x>0: T_x := inf{t>=0; X_t>x}. Let F(theta,mu,rho,.) be the joint Lapl…