Concept

Mouvement brownien fractionnaire

Publications associées (27)

Chung-type law of the iterated logarithm and exact moduli of continuity for a class of anisotropic Gaussian random fields

We establish a Chung-type law of the iterated logarithm and the exact local and uniform moduli of continuity for a large class of anisotropic Gaussian random fields with a harmonizable-type integral representation and the property of strong local nondeterm ...

INT STATISTICAL INST2023

Nonparametric estimation for SDE with sparsely sampled paths: An FDA perspective

Victor Panaretos, Leonardo Vincenzo Santoro, Neda Mohammadi Jouzdani

We consider the problem of nonparametric estimation of the drift and diffusion coefficients of a Stochastic Differential Equation (SDE), based on n independent replicates {Xi(t) : t is an element of [0 , 1]}13 d B(t), where alpha is an element of {0 , 1} a ...

Elsevier2024

Stochastic particle transport by deep-water irregular breaking waves

Debbie Eeltink

Correct prediction of particle transport by surface waves is crucial in many practical applications such as search and rescue or salvage operations and pollution tracking and clean-up efforts. Recent results by Deike et al. (J. Fluid Mech., vol. 829, 2017, ...

Cambridge University Press2023

Brownian half-plane excursion and critical Liouville quantum gravity

Juhan Aru

In a groundbreaking work, Duplantier, Miller and Sheffield showed that subcritical Liouville quantum gravity (LQG) coupled with Schramm-Loewner evolutions (SLE) can be obtained by gluing together a pair of Brownian motions. In this paper, we study the coun ...

WILEY2022

Extremal Distance And Conformal Radius Of A Cle4 Loop

Juhan Aru, Titus Lupu

Consider CLE4 in the unit disk, and let l be the loop of the CLE4 surrounding the origin. Schramm, Sheffield and Wilson determined the law of the conformal radius seen from the origin of the domain surrounded by l. We complement their result by determining ...

INST MATHEMATICAL STATISTICS-IMS2022

Skew-Brownian motion and pricing European exchange options br

Puneet Pasricha

This article derives a closed-form pricing formula for European exchange options under a non-Gaussianframework for the underlying assets, intending to resolve mispricing associated with a geometric Brownianmotion. The dynamics of each of the two correlated ...

ELSEVIER SCIENCE INC2022

The probability of intransitivity in dice and close elections

Jan Hazla

We study the phenomenon of intransitivity in models of dice and voting. First, we follow a recent thread of research for n-sided dice with pairwise ordering induced by the probability, relative to 1/2, that a throw from one die is higher than the other. We ...

2020

On the probability distribution of the local times of diagonally operator-self-similar Gaussian fields with stationary increments

Thomas Mountford, Kamran Kalbasi

In this paper, we study the local times of vector-valued Gaussian fields that are 'diagonally operator-selfsimilar' and whose increments are stationary. Denoting the local time of such a Gaussian field around the spatial origin and over the temporal unit h ...

INT STATISTICAL INST2020

Loopy Levy flights enhance tracer diffusion in active suspensions

Tomohiko Sano

A theoretical framework describing the hydrodynamic interactions between a passive particle and an active medium in out-of-equilibrium systems predicts long-range Levy flights for the diffusing particle driven by the density of the active component. Browni ...

2020

The sources of sovereign risk: a calibration based on Levy stochastic processes

Sylvain Jean Pascal Carré

Governments choose to issue risky or riskless debt depending on the nature of the stochastic process of output. We use Brownian motion and Poisson shocks a modeling method in the literature on corporate default known as Levy processes to approximate a deco ...

ELSEVIER SCIENCE BV2019

Optimal solution and asymptotic properties of a stochastic control problem arising in sailboat trajectory optimization

Carlo Ciccarella

We study the optimal strategy for a sailboat to reach an upwind island under the hypothesis that the wind direction fluctuates according to a Brownian motion and the wind speed is constant. The work is motivated by a concrete problem which typically arises ...

EPFL2017

Functional Central Limit Theorem for the Interface of the Symmetric Multitype Contact Process

Thomas Mountford, Daniel Rodrigues Valesin

We study the interface of the symmetric multitype contact process on Z. In this process, each site of Z is either empty or occupied by an individual of one of two species. Each individual dies with rate 1 and attempts to give birth with rate 2R lambda; the ...

Impa2016

Bayesian uncertainty management in temporal dependence of extremes

Anthony Christopher Davison, Thomas Lugrin

Both marginal and dependence features must be described when modelling the extremes of a stationary time series. There are standard approaches to marginal modelling, but long-and short-range dependence of extremes may both appear. In applications, an assum ...

Springer Verlag2016

Feynman-Kac representation for the parabolic Anderson model driven by fractional noise

Thomas Mountford, Kamran Kalbasi

We consider the parabolic Anderson model driven by fractional noise: partial derivative/partial derivative t u(t,x) = k Delta u(t,x) + u(t,x)partial derivative/partial derivative t W(t,x) x is an element of Z(d), t >= 0, where k > 0 is a diffusion constant ...

Academic Press Inc Elsevier Science2015

Study of constrained Brownian motion of nanoparticles near an interface using optical tweezers

Martinus Adela Maria Gijs, Thomas Lehnert, Matteo Cornaglia, Raphaël Etienne Jean Trouillon, Hui Yang

We demonstrate a method to determine the Brownian motion and the diffusion coefficient of a nanoparticle in water in a plane that is parallel to a solid boundary and as function of the distance normal to that boundary by using an optical tweezers instrumen ...

Spie-Int Soc Optical Engineering2015

Numerical approximation of the fractional Laplacian via hp-finite elements, with an application to image denoising

Jan Sickmann Hesthaven, Paolo Gatto

The fractional Laplacian operator (−∆)s on a bounded domain Ω can be realized as a Dirichlet-to-Neumann map for a degenerate elliptic equation posed in the semi-infinite cylinder Ω × (0,∞). In fact, the Neumann trace on Ω involves a Muckenhoupt weight that ...

Springer Verlag2015

Discrete stochastic heat equation driven by fractional noise : Feynman-Kac representation and asymptotic behavior

Kamran Kalbasi

We consider the parabolic Anderson model on

\mathbb{Z}^d

driven by fractional noise. We prove that it has a mild solution given by Feynman-Kac representation which coincides with the partition function of a directed polymer in a fractional Brownian envir ...

EPFL2014

Accounting for inertia effects to access the high-frequency microrheology of viscoelastic fluids

László Forró, Sylvia Jeney, Elena Bertseva

We study the Brownian motion of microbeads immersed in water and in a viscoelastic wormlike micelles solution by optical trapping interferometry and diffusing wave spectroscopy. Through the mean-square displacement obtained from both techniques, we deduce ...

Amer Physical Soc2014

A Unified Formulation of Gaussian Versus Sparse Stochastic Processes-Part II: Discrete-Domain Theory

Michaël Unser, Pouya Dehghani Tafti, Hagay Kirshner, Arash Amini

This paper is devoted to the characterization of an extended family of continuous-time autoregressive moving average (CARMA) processes that are solutions of stochastic differential equations driven by white Levy innovations. These are completely specified ...

Ieee-Inst Electrical Electronics Engineers Inc2014

Filtration Shrinkage, Strict Local Martingales And The Follmer Measure

Martin Larsson

When a strict local martingale is projected onto a subfiltration to which it is not adapted, the local martingale property may be lost, and the finite variation part of the projection may have singular paths. This phenomenon has consequences for arbitrage ...

Inst Mathematical Statistics2014

Publications associées (27)

Chung-type law of the iterated logarithm and exact moduli of continuity for a class of anisotropic Gaussian random fields

Cheuk Yin Lee

INT STATISTICAL INST2023

On the probability distribution of the local times of diagonally operator-self-similar Gaussian fields with stationary increments

Thomas Mountford, Kamran Kalbasi

INT STATISTICAL INST2020

\mathbb{Z}^d

EPFL2014