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Estimation of the instantaneous volatility
International audience -
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... -
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... -
Change of variable formulas for non-anticipative functional on path space
International audience
