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Simulation of a stochastic process in a discontinuous layered media
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Renewal theorems for random walks in random scenery
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Some two-dimensional extensions of Bougerol's identity in law for the exponen...
We present a two-dimensional extension of an identity in distribution due to Bougerol \cite{Bou} that involves the exponential functional of a linear Brownian motion.... -
Bougerol's identity in law and extensions
We present a list of equivalent expressions and extensions of Bougerol's celebrated identity in law, obtained by several authors. We recall well-known results and the... -
Quenched Central Limit Theorems for Random Walks in Random Scenery
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On the local time of random processes in random scenery
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On the existence of a time inhomogeneous skew Brownian motion and some relate...
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Brownian Confidence Bands on Monte Carlo Output
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Exact Simulation of One-dimensional Stochastic Differential Equations involvi...
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Statistical estimation for reflected skew processes
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A weakness in strong localization for Sinai's walk
25 pages with 2 figures. -
A local limit theorem for densities of the additive component of a finite Mar...
Additional material at http://hal.archives-ouvertes.fr/hal-00825592 or arXiv : 1305.5644 -
Additional material on local limit theorem for finite Additive Markov Process...
This paper proposes additional material to the main statements of [HL13] which are are recalled in Section 2. In particular an application of [Theorem 2.2,HL13] to... -
On countably skewed Brownian motion with accumulation point.
In this work we connect the theory of Dirichlet forms and direct stochastic calculus to obtain strong existence and pathwise uniqueness for Brownian motion that is... -
A Quenched Functional Central Limit Theorem for Planar Random Walks in Random...
11 pages; weaker condition on the moment of the scenery. -
Exact simulation for solutions of one-dimensional Stochastic Differential Equ...
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On the law of a triplet associated with the pseudo-Brownian bridge
We identify the distribution of a natural triplet associated with the pseudo-Brownian bridge. In particular, for $B$ a Brownian motion and $T_1$ its first hitting time... -
Generalized covariations, local time and Stratonovich Itô's formula for fract...
Given a locally bounded real function g, we examine the existence of a 4-covariation $[g(B^H), B^H, B^H, B^H]$, where $B^H$ is a fractional Brownian motion with a... -
Local time of a diffusion in a stable Lévy environment
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