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Infinitesimal and asymptotic behavior of some relativistic stochastic flow
We study some Lévy processes with values in the isometry group of Minkowski, De Sitter and Anti-de-Sitter space-times. The isometry group is seen as the frame bundle... -
Windings of planar stable processes
Using a generalization of the skew-product representation of planar Brownian motion and the analogue of Spitzer's celebrated asymptotic Theorem for stable processes... -
The smooth-fit property in an exponential Lévy model
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Two studies in risk management: portfolio insurance under risk measure constr...
In this thesis I'm interested in two aspects of portfolio management: the portfolio insurance under a risk measure constraint and quadratic hedge in incomplete... -
Drichlet forms for Poisson measures and Lévy processes : the lent particle me...
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Iteration of the lent particle method for existence of smooth densities of Po...
International audience -
Existence of densities for stable-like driven SDE's with Holder continuous co...
International audience -
Convergence of the all-time supremum of a Lévy process in the heavy-traffic r...
International audience -
Asymptotic equivalence of jumps Lévy processes and their discrete counterpart
Shorter version focusing on the statistical analysis of the Lévy measure. A new example has been added. -
On the extinction of Continuous State Branching Processes with catastrophes
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Study of two stochastic optimization problems : American put option in a disc...
Redaction : Novembre 2012 -
American options and Lévy processes
Financial markets have known from the studies conducted during the last three decades , a considerable expansion and an emergence of diverse and varied products. Among... -
L_1-distance for additive processes with time-homogeneous Lévy measures
International audience
