International audienceWe propose an expression for the joint density / distribution function for the endpoint of an Ornstein-Uhlenbeck process and its supremum. This law is expressed as an expansion involving parabolic cylinder functions. We obtain this law faster than with a Monte Carol's method. Numerical applications illustrate the interest of this result
International audienceWe study the convergence in distribution, as H → 1 2 and as H → 1, of the inte...
SUMMARY. Let dx(t)/dt = y2(t) + z2(t), where y(t) and z(t) are independent Ornstein-Uhlenbeck proces...
Forecasting and assessing the risk of heat waves is a crucial public policy stake. Evaluate the prob...
International audienceWe propose an expression for the joint density / distribution function for the...
Three expressions are provided for the first hitting time density of an Ornstein-Uhlenbeck process t...
International audienceWe consider an Ornstein-Uhlenbeck process with different drift rates below and...
AbstractWe consider the two-dimensional process (x(t),y(t)), where y(t)=dx(t)/dt is an Ornstein-Uhle...
We show that the transition p.d.f. of the Ornstein-Uhlenbeck process with a reflection condition at ...
Recently, [Veestraeten D. On the inverse transform of Laplace transforms that contain (products of) ...
International audienceLet X be a jump-diusion process and X * its running supremum. In this paper, w...
Prévoir et estimer le risque de canicule est un enjeu politique majeur. Évaluer la probabilité d'app...
A direct construction of first-passage-time (FPT) probability density functions (pdf’s) for a preass...
A direct construction of first-passage-time (FPT) probability density functions (pdf’s) for a preass...
This article uses a combination of three ideas from simulation to establish a nearly optimal polynom...
International audienceWe study the convergence in distribution, as H → 1 2 and as H → 1, of the inte...
SUMMARY. Let dx(t)/dt = y2(t) + z2(t), where y(t) and z(t) are independent Ornstein-Uhlenbeck proces...
Forecasting and assessing the risk of heat waves is a crucial public policy stake. Evaluate the prob...
International audienceWe propose an expression for the joint density / distribution function for the...
Three expressions are provided for the first hitting time density of an Ornstein-Uhlenbeck process t...
International audienceWe consider an Ornstein-Uhlenbeck process with different drift rates below and...
AbstractWe consider the two-dimensional process (x(t),y(t)), where y(t)=dx(t)/dt is an Ornstein-Uhle...
We show that the transition p.d.f. of the Ornstein-Uhlenbeck process with a reflection condition at ...
Recently, [Veestraeten D. On the inverse transform of Laplace transforms that contain (products of) ...
International audienceLet X be a jump-diusion process and X * its running supremum. In this paper, w...
Prévoir et estimer le risque de canicule est un enjeu politique majeur. Évaluer la probabilité d'app...
A direct construction of first-passage-time (FPT) probability density functions (pdf’s) for a preass...
A direct construction of first-passage-time (FPT) probability density functions (pdf’s) for a preass...
This article uses a combination of three ideas from simulation to establish a nearly optimal polynom...
International audienceWe study the convergence in distribution, as H → 1 2 and as H → 1, of the inte...
SUMMARY. Let dx(t)/dt = y2(t) + z2(t), where y(t) and z(t) are independent Ornstein-Uhlenbeck proces...
Forecasting and assessing the risk of heat waves is a crucial public policy stake. Evaluate the prob...
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