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Markovian Projection of Stochastic Processes
This PhD thesis studies various mathematical aspects of problems related to the Markovian projection of stochastic processes, and explores some ap- plications of the... -
Time Synchronization Model
There are two types i=1,2 of particles on the line R, with N_i particles of type i¸. Each particle of type i moves with constant velocity v_i. Moreover, any particle... -
Stochastic Local Intensity Loss Models with Interacting Particle Systems
International audience -
A note on solutions to controlled martingale problems and their conditioning
In this note, we rigorously justify a conditioning argument which is often (explicitly or implicitly) used to prove the dynamic programming principle in the stochastic...
