-
Overlaps and Pathwise Localization in the Anderson Polymer Model
We consider large time behavior of typical paths under the Anderson polymer measure. If $P$ is the measure induced by rate $\kappa,$ simple, symmetric random walk on... -
The Chen-Stein method for Poisson functionals
18 pages; some small typos, in particular in the proof of Theorem 5.1, have been corrected. -
Absolute continuity of Markov chains ergodic measures by Dirichlet forms methods
We study the absolute continuity of ergodic measures of Markov chains $X_{n+1}=F(X_n,Y_{n+1})$ for the discrete case, and $dX_t=b(X_t)dt+\sigma(X_t).dW_t$ for the... -
Dirichlet forms and applications to ergodic theory of Markov chains
Using Malliavin calculus and Dirichlet forms theory we study the absolute continuity of Markov chains ergodic measures. Both discrete and continuous case are studied.... -
Properties of convergence in Dirichlet structures
In univariate settings, we prove a strong reinforcement of the energy image density criterion for local Dirichlet forms admitting square field operators. This... -
On Marta Sanz-Solé's contributions to stochastic analysis and SPDEs
International audience -
Density estimates for solutions to one dimensional Backward SDE's
International audience -
Numerical Computation of Theta in a Jump-Diffusion Model by Integration by Parts
Using Malliavin weights in a jump-diffusion model we obtain an expression for Theta (the sensitivity of an option price with respect to the time remaining until... -
Fine Gaussian fluctuations on the Poisson space II: rescaled kernels, marked ...
International audience -
Integration by parts formula for locally smooth laws and applications to sens...
We consider random variables of the form $F=f(V_1,...,V_n)$ where $f$ is a smooth function and $V_i,i\in\mathbbN$ are random variables with absolutely continuous law... -
Computation of Greeks using Malliavin's calculus in jump type market models
We use the Malliavin calculus for Poisson processes in order to compute sensitivities for European options with underlying following a jump type diffusion. The main... -
Utility maximization in an insider influenced market
We study a controlled stochastic system whose state is described by a stochastic differential equation where the coefficients are anticipating. This setting is used to... -
Asymptotic behavior of the Whittle estimator for the increments of a Rosenbla...
International audience -
Change of variable formulas for non-anticipative functional on path space
International audience -
Analysis of the Rosenblatt process
International audience -
Total variation distance between two double Wiener-Itô integrals
Using an approach recently developed by Nourdin and Poly, we improve the rate in an inequality for the total variation distance between two double Wiener-Itô integrals... -
Comparison inequalities on Wiener space
International audience -
Séminaire de Probabilités XLV
International audience -
Stein's method for Brownian approximations
International audience
