18 citations · 38 across the 15 of their papers we have counts for
17 papers
Wasserstein distance estimates for jump-diffusion processes
Jean-Christophe Breton, Nicolas Privault
We derive Wasserstein distance bounds between the probability distributions of a stochastic integral (Itô) process with jumps and a jump-diffusion process $(X^…
A q-binomial extension of the CRR asset pricing model
Jean-Christophe Breton, Youssef El-Khatib, Jun Fan +1
We propose an extension of the Cox-Ross-Rubinstein (CRR) model based on -binomial (or Kemp) random walks, with application to default with logistic failure rates. This model all…
On the limiting law of the length of the longest common and increasing subsequences in random words with arbitrary distributions
Clément Deslandes, Christian Houdré
Let and be two independent sequences of i.i.d. random variables, with values in a finite and totally ordered alphabet $\mathcal{A}_m:=\{1,\dots,…
Integrability and regularity of the flow of stochastic differential equations with jumps
Jean-Christophe Breton, Nicolas Privault
We derive sufficient conditions for the differentiability of all orders for the flow of stochastic differential equations with jumps, and prove related -integrability results…
Macroscopic analysis of determinantal random balls
Jean-Christophe Breton, Adrien Clarenne, Renan Gobard
We consider a collection of Euclidean random balls in generated by a determinantal point process inducing interaction into the balls. We study this model at a macros\-…
Factorial moments of point processes
Jean-Christophe Breton, Nicolas Privault
We derive joint factorial moment identities for point processes with Papangelou intensities. Our proof simplifies previous approaches to related moment identities and includes the…