Add to ORKGInternational audienceThe aim of this note is to prove estimates on mean values of the number of times that Itô processes observed at discrete times visit small balls in $\er^d$. Our technique, in the infinite horizon case, is inspired by Krylov's arguments in~\cite[Chap.2]{kry80}. In the finite horizon case, motivated by an application in stochastic numerics, we discount the number of visits by a locally exploding coefficient, and our proof involves accurate properties of last passage times at 0 of one dimensional semimartingales
We study the first passage statistics to adsorbing boundaries of a Brownian motion in bounded two-di...
These notes are the second half of the contents of the course given by the second author at the Bach...
The subject of my thesis is the theory of penalisation originaly developed by B .Roynette, P. Valloi...
International audienceThe aim of this note is to prove estimates on mean values of the number of tim...
International audienceThe aim of this note is to prove estimates on mean values of the number of tim...
The aim of this note is to prove estimates on mean values of the number of times that Itô pro-cesses...
http://isi.cbs.nl/bernoulli/International audienceIn this paper we consider a d-dimensional continuo...
We establish general moment estimates for the discrete and continuous exit times of a general Itô pr...
We consider a discrete-time process adapted to some filtration which lives on a (typically countable...
13 pagesInternational audienceIn this work, we approximate a diffusion process by its Euler scheme a...
We show that Ito processes imply the Fokker-Planck (K2) and Kolmogorov backward time (K1) partial di...
In this paper, a study of random times on filtered probability spaces is undertaken. The main messag...
AbstractLet X̄Δ be the process obtained by linear interpolation from discrete observations of a diff...
We consider a discrete-time process adapted to some filtration which lives on a (typically countable...
For any discrete-time P–local martingale S there exists a probability measure Q∼P such that S is a Q...
We study the first passage statistics to adsorbing boundaries of a Brownian motion in bounded two-di...
These notes are the second half of the contents of the course given by the second author at the Bach...
The subject of my thesis is the theory of penalisation originaly developed by B .Roynette, P. Valloi...
International audienceThe aim of this note is to prove estimates on mean values of the number of tim...
International audienceThe aim of this note is to prove estimates on mean values of the number of tim...
The aim of this note is to prove estimates on mean values of the number of times that Itô pro-cesses...
http://isi.cbs.nl/bernoulli/International audienceIn this paper we consider a d-dimensional continuo...
We establish general moment estimates for the discrete and continuous exit times of a general Itô pr...
We consider a discrete-time process adapted to some filtration which lives on a (typically countable...
13 pagesInternational audienceIn this work, we approximate a diffusion process by its Euler scheme a...
We show that Ito processes imply the Fokker-Planck (K2) and Kolmogorov backward time (K1) partial di...
In this paper, a study of random times on filtered probability spaces is undertaken. The main messag...
AbstractLet X̄Δ be the process obtained by linear interpolation from discrete observations of a diff...
We consider a discrete-time process adapted to some filtration which lives on a (typically countable...
For any discrete-time P–local martingale S there exists a probability measure Q∼P such that S is a Q...
We study the first passage statistics to adsorbing boundaries of a Brownian motion in bounded two-di...
These notes are the second half of the contents of the course given by the second author at the Bach...
The subject of my thesis is the theory of penalisation originaly developed by B .Roynette, P. Valloi...