Théorème de Girsanov

Stochastic partial differential equations driven by Lévy white noises : generalized random processes, random field solutions and regularity

Thomas Marie Jean-Baptiste Humeau

We study various aspects of stochastic partial differential equations driven by Lévy white noise. This driving noise, which is a generalization of Gaussian white noise, can be viewed either as a generalized random process or as an independently scattered r ...

EPFL2017

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

A Unified Formulation of Gaussian Versus Sparse Stochastic Processes-Part I: Continuous-Domain Theory

Michaël Unser, Pouya Dehghani Tafti

We introduce a general distributional framework that results in a unifying description and characterization of a rich variety of continuous-time stochastic processes. The cornerstone of our approach is an innovation model that is driven by some generalized ...

Ieee-Inst Electrical Electronics Engineers Inc2014

An asymptotic result for Brownian polymers

Thomas Mountford

We consider a model of the shape of a growing polymer introduced by Durrett and Rogers (Probab. Theory Related Fields 92 (1992) 337-349). We prove their conjecture about the asymptotic behavior of the underlying continuous process X-t (corresponding to the ...

Institute of Mathematical Statistics2008