42 citations · 148 across the 13 of their papers we have counts for
13 papers
Surface measures and related functional inequalities on configuration spaces
Christian Houdré, Nicolas Privault
Using finite difference operators, we define a notion of boundary and surface measure for configuration sets under Poisson measures. A Margulis-Russo type identity and a co-area fo…
A Note on the Expected Length of the Longest Common Subsequences of two i.i.d. Random Permutations
Christian Houdré, Chen Xu
We address a question and a conjecture on the expected length of the longest common subsequences of two i.i.d.random permutations of . The question is resol…
Lower Bounds on the Generalized Central Moments of the Optimal Alignments Score of Random Sequences
Ruoting Gong, Christian Houdré, Jüri Lember
We present a general approach to the problem of determining tight asymptotic lower bounds for generalized central moments of the optimal alignment score of two independent sequence…
Refinements of the One Dimensional Free Poincare Inequality
Christian Houdre, Ionel Popescu
We present two extensions of the one dimensional free Poincaré inequality similar in spirit to two classical refinements.
Sparse Long Blocks and the Micro-Structure of the Longest Common Subsequences
S. Amsalu, C. Houdré, H. Matzinger
Consider two random strings having the same length and generated by an iid sequence taking its values uniformly in a fixed finite alphabet. Artificially place a long constant block…
Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps
J. E. Figueroa-López, R. Gong, C. Houdré
We consider a stochastic volatility model with Lévy jumps for a log-return process of the form , where is a classical stochastic…
A probabilistic approach to the asymptotics of the length of the longest alternating subsequence
Christian Houdré, Ricardo Restrepo
Let be the length of the longest alternating subsequence of a uniform random permutation . Classical probabilistic arguments are used to rederive the asymptoti…
On the Variance of the Optimal Alignments Score for Binary Random Words and an Asymmetric Scoring Function
Christian Houdré, Heinrich Matzinger
We investigate the order of the variance of the optimal alignments score of two independent iid binary random words having the same length. The letters are equiprobable, but the sc…
On Layered Stable Processes
C. Houdré, R. Kawai
Layered stable (multivariate) distributions and processes are defined and studied. A layered stable process combines stable trends of two different indices, one of them possibly Ga…
On Fractional Tempered Stable Motion
C. Houdré, R. Kawai
Fractional tempered stable motion (fTSm)} is defined and studied. FTSm has the same covariance structure as fractional Brownian motion, while having tails heavier than Gaussian but…
Nonparametric estimation for Levy processes with a view towards mathematical finance
Enrique Figueroa-Lopez, Christian Houdre
Nonparametric methods for the estimation of the Levy density of a Levy process are developed. Estimators that can be written in terms of the ``jumps'' of the process are introduced…
Dimension free and infinite variance tail estimates on Poisson space
J. C. Breton, C. Houdré, N. Privault
Concentration inequalities are obtained on Poisson space, for random functionals with finite or infinite variance. In particular, dimension free tail estimates and exponential inte…
On the concentration of measure phenomenon for stable and related random vectors
Christian Houdre, Philippe Marchal
Concentration of measure is studied, and obtained, for stable and related random vectors.