Add to ORKGOrnstein-Uhlenbeck (OU) Process Let (Lt, t ≥ 0) be a Lévy process on (Ω,F, (Ft),P). For every a ∈ R dXt = −aXt dt + dLt, t ∈ R+, X0 = x, (1) defines an Ornstein-Uhlenbeck process driven by the Lévy process L with initial distribution pi = L(X0). Equivalently, Xt = e−atX0 + ∫
We consider nonparametric estimation of the Lévy measure of a hidden Lévy process driving a stationa...
The paper deals with random step-line processes defined by sums of independent identically distribut...
13 pagesInternational audienceThe purpose of this article is a set-indexed extension of the well-kno...
Ornstein-Uhlenbeck (OU) Process Let (Lt, t ≥ 0) be a Lévy process on (Ω,F, (Ft),P). For every a ∈ R ...
SIGLEAvailable from British Library Document Supply Centre-DSC:7769.086(SU-DPS-RR--469/96) / BLDSC -...
Abstract: We review the probabilistic properties of Ornstein-Uhlenbeck processes in Hilbert spaces d...
The generalised Ornstein-Uhlenbeck process constructed from a bivariate Lévy process (ξt, ηt) t≥0 is...
When an Ornstein-Uhlenbeck (or CAR(1)) process is observed at discrete times 0, h, 2h,··· [T/h]h, th...
The generalised Ornstein-Uhlenbeck process constructed from a bivariate Lévy process ([xi]t,[eta]t)t...
In this thesis, the extension of the Ornstein-Uhlenbeck process is studied by first driving this mo...
A direct construction of first-passage-time (FPT) probability density functions (pdf’s) for a preass...
Abstract We consider nonparametric estimation of the Lévy measure of a hidden Lévy process driving a...
International audienceWe investigate the asymptotic behavior of the maximum likelihood estimators of...
We consider the L´evy Ornstein- Uhlenbeck process Xt described by the equation dXt = −l Xt dt+dLt , ...
A direct construction of first-passage-time (FPT) probability density functions (pdf’s) for a preass...
We consider nonparametric estimation of the Lévy measure of a hidden Lévy process driving a stationa...
The paper deals with random step-line processes defined by sums of independent identically distribut...
13 pagesInternational audienceThe purpose of this article is a set-indexed extension of the well-kno...
Ornstein-Uhlenbeck (OU) Process Let (Lt, t ≥ 0) be a Lévy process on (Ω,F, (Ft),P). For every a ∈ R ...
SIGLEAvailable from British Library Document Supply Centre-DSC:7769.086(SU-DPS-RR--469/96) / BLDSC -...
Abstract: We review the probabilistic properties of Ornstein-Uhlenbeck processes in Hilbert spaces d...
The generalised Ornstein-Uhlenbeck process constructed from a bivariate Lévy process (ξt, ηt) t≥0 is...
When an Ornstein-Uhlenbeck (or CAR(1)) process is observed at discrete times 0, h, 2h,··· [T/h]h, th...
The generalised Ornstein-Uhlenbeck process constructed from a bivariate Lévy process ([xi]t,[eta]t)t...
In this thesis, the extension of the Ornstein-Uhlenbeck process is studied by first driving this mo...
A direct construction of first-passage-time (FPT) probability density functions (pdf’s) for a preass...
Abstract We consider nonparametric estimation of the Lévy measure of a hidden Lévy process driving a...
International audienceWe investigate the asymptotic behavior of the maximum likelihood estimators of...
We consider the L´evy Ornstein- Uhlenbeck process Xt described by the equation dXt = −l Xt dt+dLt , ...
A direct construction of first-passage-time (FPT) probability density functions (pdf’s) for a preass...
We consider nonparametric estimation of the Lévy measure of a hidden Lévy process driving a stationa...
The paper deals with random step-line processes defined by sums of independent identically distribut...
13 pagesInternational audienceThe purpose of this article is a set-indexed extension of the well-kno...