6 datasets found

In this paper, the duration of perfect simulations for Markovian finite capacity queuing networks is studied. This corresponds to hitting time (or coupling time)...

Let Tn be the cover time of two-dimensional discrete torus Z2 n = Z2=nZ2. We prove that P[Tn 4 n2 ln2 n] = exp(n2(1 p )+o(1)) for 2 (0; 1). One of the main methods...

We determine an explicit formula for the Laplace transform of the price of an option on a maximal interest rate when the instantaneous rate satisfies...

Let X = (X1;X2;X3) be a three-dimensional correlated Brownian motion and T i be the first hitting time of a fixed level by Xi. The purpose of this paper is to compute...

We show that the hitting times for points of real $\alpha-$stable Lévy processes ($1<\alpha\le 2$) are unimodal random variables. The argument relies on strong...

This thesis deals with the approximation of the expectation of a functional (possibly depending on the whole path) applied to a diffusion process (possibly...