-
Queueing approximation of suprema of spectrally positive Lévy process
International audience -
Variance Optimal Hedging for discrete time processes with independent increme...
We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the... -
Short-time asymptotics for marginal distributions of semimartingales
We study the short-time asymptotics of conditional expectations of smooth and non-smooth functions of a (discontinuous) Ito semimartingale; we compute the leading term... -
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... -
A central limit theorem for the sample autocorrelations of a Lévy driven cont...
International audience -
The reconstructed tree in the lineage-based model of protracted speciation
27 pages, 5 figures -
A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES
International audience -
Lévy processes with marked jumps II : Application to a population model with ...
45 pages, 6 figures -
Phylogenetic analysis accounting for age-dependent death and sampling with ap...
30 pages, 2 figures -
On Neumann and oblique derivatives boundary conditions for nonlocal elliptic ...
International audience -
Local Asymptotic Mixed Normality property for discretely observed stochastic ...
We prove the Local Asymptotic Mixed Normality property from high frequency observations, of a continuous time process solution of a stochastic differential equation... -
Local time of a diffusion in a stable Lévy environment
International audience
