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Portfolio optimization in a default model under full/partial information

Thomas Lim , Marie-Claire Quenez
2010
Preprints, Working Papers, ... hal-00468072v2
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The critical random barrier for the survival of branching random walk with absorption

Bruno Jaffuel
2009
Preprints, Working Papers, ... hal-00430791v1
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Generalized Fleming-Viot processes with immigration via stochastic flows of partitions

Clément Foucart
2011
Preprints, Working Papers, ... hal-00572600v2
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Three applications of fragmentation and Poisson calculus to combinatorics

Adrien Joseph
Mathematics [math]. Université Pierre et Marie Curie - Paris VI, 2011. English. ⟨NNT : ⟩
Theses tel-00605743v1
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Sur la théorie des excursions pour des processus de Lévy symétriques stables d'indice α ϵ ]1,2] et quelques applications

Fernando Cordero
Mathématiques [math]. Université Pierre et Marie Curie - Paris VI, 2010. Français. ⟨NNT : ⟩
Theses tel-00521136v1
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Multi-dimensional Gaussian fluctuations on the Poisson space

Giovanni Peccati , Cengbo Zheng
2010
Preprints, Working Papers, ... hal-00472225v1
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THE EXACT PACKING MEASURE OF LEVY TREES

Thomas Duquesne
2010
Preprints, Working Papers, ... hal-00527869v1
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A structural risk-neutral model for pricing and hedging power derivatives

René Aïd , Luciano Campi , Nicolas Langrené
2010
Preprints, Working Papers, ... hal-00525800v1
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Nonparametric regression with martingale increment errors

Sylvain Delattre , Stéphane Gaïffas
2010
Preprints, Working Papers, ... hal-00530581v1
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Partial functional quantization and generalized bridges

Sylvain Corlay
2011
Preprints, Working Papers, ... hal-00560275v2
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Retrieving information from subordination

Jean Bertoin , Marc Yor
2010
Preprints, Working Papers, ... hal-00484054v1
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Detection boundary in sparse regression

Yuri I. Ingster , Alexandre Tsybakov , Nicolas Verzelen
2010
Preprints, Working Papers, ... hal-00516259v1
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Autour de la théorie des fluctuations pour des processus de Lévy stables d'indice supérieur à 1.

Fernando Cordero
Journées MAS et Journée en l'honneur de Jacques Neveu, Aug 2010, Talence, France
Documents associated with scientific events inria-00510340v1
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Large deviation principle and inviscid shell models

Hakima Bessaih , Annie Millet
2009
Preprints, Working Papers, ... hal-00383258v1
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Jarnik's convex lattice $n$-gon for non-symmetric norms

Imre Barany , Nathanael Enriquez
2009
Preprints, Working Papers, ... hal-00434287v1
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Rate of Convergence of Space Time Approximations for stochastic evolution equations

Istvan Gyöngy , Annie Millet
Potential Analysis, 2009, 30 (1), pp.29-64. ⟨10.1007/s11118-008-9105-5⟩
Journal articles hal-00153372v2
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Some non-asymptotic results on resampling in high dimension, I: Confidence regions, II: Multiple tests

Sylvain Arlot , Gilles Blanchard , Etienne Roquain
Annals of Statistics, 2010, 38 (1), pp.51-99. ⟨10.1214/08-AOS667⟩
Journal articles hal-00194145v2
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Exact confidence intervals for the Hurst parameter of a fractional Brownian motion

Jean-Christophe Breton , Ivan Nourdin , Giovanni Peccati
2009
Preprints, Working Papers, ... hal-00356718v1
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Approximation of the distribution of a stationary Markov process with application to option pricing

Gilles Pagès , Fabien Panloup
Bernoulli, 2009, 15 (1), pp.146-177
Journal articles hal-00139496v4
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Stochastic 2D hydrodynamical type systems: Well posedness and large deviations

Igor Chueshov , Annie Millet
Applied Mathematics and Optimization, 2010, 61 (3), pp.379-420. ⟨10.1007/s00245-009-9091-z⟩
Journal articles hal-00295023v3
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Stochastic Homogenization of Quasilinear PDEs with a Spatial Degeneracy

François Delarue , Rémi Rhodes
Asymptotic Analysis, 2009, pp.61--90
Journal articles hal-00141167v1
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Adaptive estimation of linear functionals in the convolution model and applications.

Cristina Butucea , Fabienne Comte
Bernoulli, 2009, 15 (1), pp.69-98. ⟨10.3150/08-BEJ146⟩
Journal articles hal-00133750v1
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Optimal portfolio liquidation with execution cost and risk

Idris Kharroubi , Huyen Pham
SIAM Journal on Financial Mathematics, 2010, 1, pp.897-931. ⟨10.1137/09076372X⟩
Journal articles hal-00394997v1
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Large deviation principle and inviscid shell models

Hakima Bessaih , Annie Millet
Electronic Journal of Probability, 2009, 14 (89), pp.2551-2579
Journal articles hal-00383258v2
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Oscillations and Random Perturbations of a FitzHugh-Nagumo System

Catherine Doss , Michèle Thieullen
2009
Preprints, Working Papers, ... hal-00395284v1
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Convergence of some random functionals of discretized semimartingales

Assane Diop
2010
Preprints, Working Papers, ... hal-00446609v1
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Quantum random walks and minors of Hermitian Brownian motion

Francois Chapon , Manon Defosseux
2010
Preprints, Working Papers, ... hal-00514958v1
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Packing and Hausdorff measures of stable trees.

Thomas Duquesne
2010
Preprints, Working Papers, ... hal-00451064v1
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Sur l'estimation du support d'une densité

Gérard Biau , Benoît Cadre , Bruno Pelletier
42èmes Journées de Statistique, 2010, Marseille, France, France
Conference papers inria-00494672v1
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Investigation of water vapor on Mars with PFS/SW of Mars Express

M. Tschimmel , N.I. Ignatiev , D.V. Titov , E. Lellouch , T. Fouchet , et al.
Icarus, 2009, 195 (2), pp.557. ⟨10.1016/j.icarus.2008.01.018⟩
Journal articles hal-00541673v1