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Passage times of perturbed subordinators with application to reliability
We consider a wide class of increasing Lévy processes perturbed by an independent Brownian motion as a degradation model. Such family contains almost all classical... -
Optimal posting price of limit orders: learning by trading
International audience -
Large deviations for estimators of unknown probabilities, with applications i...
International audience -
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...
