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The Central Limit Theorem for a non linear algorithm based on quantization
In a serry of papers we have presented an algorithm based on quantization for pricing American options. More generally this amounts to solve numerically an obstacle... -
Variance Calculation through Large Deviation Techniques
In this paper, we show how to use the expression of entropy in order to calculate variances. Three cases are analyzed: independent and identically distributed (iid)... -
Limit theorems for extreme value estimates of point processes boundaries
We give sufficient conditions to establish central limit theorems and moderate deviation principles for support estimates of Poisson point processes- . The considered... -
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion ...
International audience -
On Polling Systems where Servers wait for Customers
Projet MEVAL -
Higher Order variance and Gauss Jacobi Quadrature : II
In this report, we continue the study of higher order variances and quadrature Gauss Jacobi. Recall that the variance of order j measures the concentration of a... -
Diffusivity of a random walk on random walks
We consider a random walk $\left(Z^{(1)}_n, \cdots, Z^{(K+1)}_n \right) \in \mathbb{Z}^{K+1}$ with the constraint that each coordinate of the walk is at distance one... -
Renewal theory with a trend
International audience -
Estimation of the instantaneous volatility
International audience -
Fluctuations for the number of records on subtrees of the Continuum Random Tree
We study the asymptotic behavior af the number of cuts $X(T_n)$ needed to isolate the root in a rooted binary random tree $T_n$ with $n$ leaves. We focus on the case... -
A CLT for renewal processes with a finite set of interarrival distributions
International audience -
Spectral properties of chaotic processes
International audience -
Central limit theorem for stationary products of toral automorphisms
International audience -
Central Limit Theorem for the Multilevel Monte Carlo Euler Method and Applica...
This paper focuses on studying the multilevel Monte Carlo method recently introduced by Giles [8] and significantly more efficient than the classical Monte Carlo one.... -
Asymptotic results for bifurcating random coefficient autoregressive processes
The purpose of this paper is to study the asymptotic behavior of the weighted least square estimators of the unknown parameters of random coefficient bifurcating... -
Limit theorems for bifurcating integer-valued autoregressive processes
We study the asymptotic behavior of the weighted least squares estimators of the unknown parameters of bifurcating integer-valued autoregressive processes. Under... -
A sequential particle algorithm that keeps the particle system alive
A sequential particle algorithm proposed by Oudjane (2000) is studied here, which uses an adaptive random number of particles at each generation and guarantees that... -
Convergence of adaptive sampling schemes
International audience
