Équipes "Analyse et Équations aux Dérivées Partielles" et "Probabilités et Mathématiques Financières" du Laboratoire de Mathématiques et Modélisation d'Évry Prépublications

Prépublications des Équipes "Analyse et Équations aux Dérivées Partielles" et "Probabilités et Mathématiques Financières".

Certaines prépublications sont téléchargeables au format postcript (PS), DVI ou PDF.

1. Francis Hirsch :
   Potential theory related to some multiparameter processes.
2. Francis Hirsch :
   Quasi-sure analysis of some non negative Brownian martingales.
3. Nicole El Karoui, Monique Jeanblanc-Picqué :
   Robustness of the Black and Scholes formula.
4. Francis Hirsch, Shiqi Song:
   Inequalities for Bochner's subordinates of two-parameter symmetric Markov processes.
5. Shiqi Song:
   Markov uniqueness and essential self-adjointness of perturbed Orstein-Uhlenbeck operators.
6. Shiqi Song:
   Construction d'un processus à deux paramètres à partir d'un semi groupe à un paramètre.
7. Denis Feyel:
   Régularité et intégrabilité des fonctionnelles de Wiener (PS).
   Aussi disponible en version DVI .
8. Didier Dacunha-Castelle, Elisabeth Gassiat :
   The estimation of the order of a mixture model.
9. Yi-Lun Xiao:
   Estimations de volume pour la suite de type (0,s) en base bs 2.
10. Laurent Denis:
    Quasi-sure analysis for the Euler approximation and the flow related to an S.D.E.
11. Yi-Lun Xiao:
    Volume-discrepancy estimates in one and two dimension
12. Philippe Soulier :
    Non parametric estimation of the diffusion coefficient of a diffusion process.
13. Denis Feyel et Arnaud de La Pradelle :
    Sur les draps de dimension infinie (PS).
    Aussi disponible en version DVI.
14. Francis Hirsch, Shiqi Song:
    Markov properties of multiparameter processes and capacities.
15. Laurent Denis:
    Quasi-sure analysis related to a sub-Markovian semi-group.
16. Francis Hirsch, Shiqi Song:
    Symmetric Skohorod topology on n-variable functions and hierarchical Markov properties of n-parameter processes.
17. Nicolas Privault:
    A transfer principle from Wiener space to Poisson space and applications (PS).
18. Shiqi Song:
    C-semigroups on Banach spaces and functional inequalities.
19. Nicolas Privault:
    Calcul des variations stochastique pour la mesure de densité uniforme (PS).
20. Elisabeth Gassiat, Emmanuelle Gautherat:
    Identification of noisy linear systems with discrete random input.
21. Denis Feyel:
    Polynômes harmoniques et inégalités de Nelson (PS).
    Aussi disponible en version DVI.
22. Francis Hirsch:
    Theory of capacity on the Wiener space (PS).
23. Nicolas Privault :
    Girsanov theorem for anticipative shifts on Poisson space. (PS)
24. Claude Martini :
    Propagation de la convexité par des semi-groupes de Markov martingaliens sur la demi-droite positive (PS).
25. Didier Dacunha-Castelle, Elisabeth Gassiat :
    Testing in locally conic models (PS).
26. Francis Hirsch et Shiqi Song :
    Criteria of positivity for the density of the law of a Wiener functional (PS).
27. Fabrice Gamboa et Elisabeth Gassiat:
    Source separation when the input sources are discrete or have constant modulus
28. Marc Chesney, Monique Jeanblanc-Picqué, Marc Yor :
    Brownian Excursions and Parisian Options (PS).
29. Nicolas Privault :
    A different quantum stochastic calculus for the Poisson process (PS).
30. Nicolas Privault :
    On the independence of multiple Poisson stochastic integrals (PS).
31. Nicolas Privault :
    Linear Skohorod stochastic differential equations on Poisson space (PS).
32. Nicolas Privault :
    Absolute continuity in infinite dimension and anticipating stochastic calculus (PS).
33. Nicolas Privault :
    Stochastic calculus of variations for martingales (PS).
34. Nicole El Karoui, Monique Jeanblanc-Picqué, Steve Shreve :
    Robustness of the Black and Scholes formula.
35. Claude Martini :
    Propagation de la convexité pour l'e.d.s. dS_t=(A(0) +f(S_u)du) S_t dB_t.
36. Pierre-Gilles Lemarié-Rieusset :
    Some remarks on orthogonal and bi-orthogonal wavelets.
37. Pierre-Gilles Lemarié-Rieusset :
    More regular wavelets.
38. Marc Chesney, Helyette Geman, Monique Jeanblanc-Picqué, Marc Yor :
    Some combinations of Asian, Parisian and Barrier Options (PS).
39. Denis Feyel et Arnaud de La Pradelle :
    Fractional integrals and Brownian Processes. (PS)
    Aussi disponible en version DVI.
40. Francis Hirsch et Shiqi Song :
    Properties of the set of positivity for the density of a regular Wiener functional
41. Modeste N'Zi et Toussef Ouknine :
    Multivalued backward stochastic differential equations with continuous coefficients.
42. Nicolas Privault :
    A new calculus on Fock space and its probabilistic interpretations (PS).
43. Monique Jeanblanc-Picqué, Jim Pitman, Marc Yor :
    The Feynman-Kac formula and decomposition of Brownian paths (PS).
44. Didier Dacunha-Castelle et Elizabeth Gassiat :
    Testing the order of a model using locally conic parametrization: population mixtures and stationary ARMA processes (PS).
45. Shiqi Song :
    Recherche aveugle des solutions aux problèmes de grossissements de filtrations. Illustrations dans l'exemple des grossissements progressifs de filtrations.
46. Nicole El Karoui et Monique Jeanblanc-Picqué :
    Optimization of consumption with labor income (PS).
47. Elizabeth Gassiat et Emmanuelle Gautherat :
    Speed of convergence for the blind deconvolution of a linear system with discrete random input (PS).
48. Shiqi Song :
    La partie modérément grossie associée à un couple de filtrations ordonnées, calculs stochastiques sur un ouvert aléatoire.
49. Nicolas Privault :
    An extension of stochastic calculus to certain non-Markovian processes (PS).
50. Francis Hirsch :
    Lipschitz functions and fractional Sobolev spaces.
51. Sylvie Mas-Gallic :
    A vortex in cell method for the 2-d isentropic gas
52. Abdelmejid Bayad et Gilles Robert :
    Note sur une forme de Jacobi méromorphe.
53. Shiqi Song :
    Intégrale stochastique par rapport aux semi-martingales sur un ouvert borné prévisible.
54. Shiqi Song:
    Results on semi-martingales defined on an open set. Application to a problem of enlargement of filtration.
55. Eric Moulines et Philippe Soulier:
    Log-periodogram regression of times series with long range dependence.
56. Giulia Furioli, Pierre Gilles Lemarié-Rieusset et Elide Terraneo:
    Uniqueness of "mild" solutions for the Navier-Stokes equations (PS).
57. Nadine Bellamy et Monique Jeanblanc-Picqué:
    Incompleteness of markets driven be a mixed diffusion.
58. René L. Schilling:
    Growth and Hölder conditions for the sample paths of Feller processes.
59. Jean-Marc Bardet:
    Local correlation and Hausdorff dimensions of continuous random fields.
60. Sylvie Mas-Gallic :
    A presentation of the diffusion velocity method.
61. Christine Keribin:
    Consistent estimation of the order of mixture models.
62. Francis Hirsch et Shiqi Song:
    Multiparameter Markov processes and capacity.
63. Abdelmejid Bayad:
    Sur le "théorème de Hilbert-Speiser" relatif.
64. Jean-Marc Bardet:
    A test of self-similarity using wavelet analysis.
65. Gilles Hargé:
    Une inégalité de décorrélation pour la mesure gaussienne.
66. Gilles Hargé:
    Continuité approximative pour les variables aléatoires de deuxième chaos.
67. Alain Veeravalli:
    Rigidity of the Ricci curvature of compact hypersurfaces.
68. Francis Hirsch et Shiqi Song:
    Two-parameter Bessel processes.
69. Pierre Gilles Lemarié-Rieusset:
    Some remarks on the Navier-Stokes equation.
70. Eric Moulines et Philippe Soulier:
    Data driven order selection for projection estimator of the spectral density of time series with long range dependence.
71. Philippe Soulier:
    Some new bounds and a central limit theorem for non stationary sequences of Gaussian vectors.
72. Abdelmejid Bayad:
    Un analogue p-adique à une formule complexe généralisée de Weber.
73. Antoine Frachot et Mohamed Jadoui:
    Modèles factoriels en présence de sauts, comportement du taux long.
74. Antoine Frachot et Mohamed Jadoui:
    Hypothèses d'anticipation, cas du modèle quadratique gaussien et d'une diffusion avec sauts.
75. Alain Veeravalli:
    A sharp lower bound for the Ricci curvature of bounded hypersurfaces in space forms (PS).
    Aussi disponible en version DVI.
76. Nicolas Privault:
    Equivalence of gradients on configuration spaces .
77. Imre Csiszár, Fabrice Gamboa et Elizabeth Gassiat:
    MEM pixel correlated solutions for generalized moments and interpolation problems.
78. Nicolas Privault:
    Multiple stochastic integral expansions of arbitrary Poisson jump times functionals (PS).
79. Shiqi Song :
    L. Schwartz's formal semimartingale and local solutions to the problem of enlargement of filtrations.
80. Shiqi Song:
    Deux applications de la théorie du grossissement de filtration.
81. Ghislaine Gayraud :
    Minimax estimation of a discontinuity in the density model.
82. Shiqi Song :
    A remark on a result of Duffie and Lando.
83. Thomas Simon :
    Subordination in the wide sense for Lévy processes (PS).
    Aussi disponible en version DVI.
84. Pierre-Gilles Lemarié-Rieusset :
    Quelques remarques sur les équations de Navier-Stokes dans $R^3$.
85. Giulia Furioli, Pierre-Gilles Lemarié-Rieusset, Elide Terraneo :
    Unicité dans $L^3(R^3)$ et d'autres espaces fonctionnels limites pour Navier-Stokes.
86. Nicolas Privault et Ciprian A. Tudor :
    Skorohod and pathwise stochastic calculus with respect to an $L^2$ process.
87. Robert J. Elliott et Monique Jeanblanc :
    Incomplete Markets with jumps and informed agents (PS).
    Aussi disponible en version DVI.
88. Alain Veeravalli :
    On convex hypersurfaces of space forms.
89. Gilles Lacombe and Sylvie Mas-Gallic :
    Presentation and Analysis of a Diffusion-Velocity Method (PS).
    Aussi disponible en version DVI. Résumé en format html.
90. Pierre-Gilles Lemarié-Rieusset :
    Cinq petits théorèmes d'unicité $L^3$ des solutions des équations de Navier-Stokes sur $R^3$ (PS).
91. Ali Lazrak :
    Optimal martingale restrictions and horizon effect on portfolio selection.
92. Pierre-Gilles Lemarié-Rieusset :
    Weak infinite-energy solutions for Navier-Stokes in $R^3$ (PS).
    Aussi disponible en version DVI.
    1999
93. Gilles Hargé :
    Limites approximatives par rapport à des normes quadratiques.
94. Christine Keribin et Dominique Haughton :
    Asymptotic probabilities of over-estimating and under-estimating the order of a model in general regular families.
95. Cécile Cot :
    Stochastic dichotomic models for digital video sequences.
96. Nadine Bellamy :
    Optimisation de la richesse dans un marché incomplet dirigé par une diffusion mixte.
97. Gilles Fay, Eric Moulines et Philippe Soulier :
    Central limit theorem for non linear functionals of the periodogram of a stationary non Gaussian linear time series (PS).
98. Thomas Simon :
    Support theorem for jump processes (PS).
    Aussi disponible en version DVI.
99. Richard Emilion :
    Maximal and stochastic Galois lattices.
100. Jean-Marie Bernard :
     Weak and classical solutions of equations of motion for third grade fluids.
     Résumé en format html.
101. Jean-Marie Bernard :
     Stationary problems of second grade fluids in three dimensions : existence, uniqueness and regularity.
     Résumé en format html.
102. Monique Jeanblanc et Nicolas Privault :
     A complete market model with Poisson and Brownian components.
103. Thomas Simon :
     Sur les petites déviations d'un processus de Lévy.
104. Robert J. Elliott, Monique Jeanblanc et Marc Yor :
     On models of Default Risk (PS).
     Aussi disponible en version DVI
105. Shiqi Song :
     C-semigroup property on manifold and formulae on path spaces.
106. Alain Veeravalli :
     On a characterization of the geodesic spheres.
107. Gilles Lacombe :
     Analyse d'une équation de vitesse de diffusion.
108. Shiqi Song :
     A Dirichlet form on path space and its associated symetric Markov process.
109. Alain Veeravalli :
     Fáry-Fenchel type inequalities for Riemannian loops.
110. Anatoli Iouditsky, Eric Moulines et Philippe Soulier :
     Adaptative estimation of the fractional differencing coefficient.
111. Denis Feyel et Arnaud de La Pradelle :
     L'espace des chemins sans la géomérie différentielle.
112. Gilles Fay et Philippe Soulier :
     The periodogram of an i.i.d. sequence (PS).
113. Nadine Bellamy :
     Asian options in a market driven by a discontinuous process.
114. Philippe Soulier :
     Estimation adaptative de la densité spectrale d'un processus gaussien fractionnaire (PS).
115. Monique Jeanblanc et Marcel Rutkowski :
     Modelling of Default Risk : an Overview (PS).
116. Ali Lazrak et Marie-Claire Quenez :
     A generalized stochastic differential utility.
117. Alain Veeravalli :
     Hypersurfaces in Riemannian manifolds carrying a gradient conformal vector field.
     2000
118. Christian Walter :
     Lévy-Stability-under-addition and Fractal stucture of markets.
119. Giulia Furioli et Elide Terraneo :
     Molecules of the Hardy space and the Navier-Stokes equations.
120. Giulia Furioli :
     Une remarque sur l'article de F. Ribaud et A. Youssfi "Regular and self-similar solutions of the non-linear Schrödinger equation".
121. Eric Moulines et Philippe Soulier :
     Semiparametric estimation for fractional processes  (PS).
122. Ali Lazrak et Fernando Zapatero :
     Efficient consumption set under recursive utility and unknown beliefs.
123. Abdelmejid Bayad :
     Sommes de Dedekind multiples et formes modulaires.
124. Francis Hirsch et Shiqi Song :
     Markovian uniqueness on Bessel space.
125. Nicole El Karoui et Monique Jeanblanc :
     Options exotiques (PS).
126. Monique Jeanblanc et Marek Rutkowski :
     Modelling of default risk : mathematical tools (PS).
127. Jaksa Cvitanic, Ali Lazrak, Marie-Claire Quenez et Fernando Zapatero :
     Incomplete Information with recursive preferences.
128. Abdelghani Bellouquid :
     The global existence for the BGK model with a cross section.
129. Alain Veeravalli :
     On the first Laplacian eigenvalue of compact hypersurfaces.
130. Jean-Paul Descamps, Thomas Mariotti et Stéphane Villeneuve :
     Optimal stopping for a partially observable process.
131. Abdelghani Bellouquid :
     Limite hydrodynamique de quelques modèles de la théorie cinétique discrète.
132. Jean-Marie Bernard et E. H. Ouazar :
     Stationary problem of third grade fluids in two and three dimensions : existence and uniqueness.
133. Clifford M. Hurvich, Eric Moulines et Philippe Soulier :
     The FEXP estimator for potentially non-stationary linear time series.
134. Damien Lamberton et Stéphane Villeneuve :
     Critical price near maturity for an American option on a dividend-paying stock.
135. Jean-Marie Bernard :
     Non standard Stokes and Navier-Stokes problems : existence and regularity in stationary case.
136. Frédéric Ksas :
     An estimation of variation for regular functions.
137. Christophette Blanchet-Scalliet et Monique Jeanblanc :
     Information et risque de défaut.
138. Clifford M. Hurvich et Philippe Soulier :
     Testing for long memory in volatility.
139. Pierre-Louis Lions et Sylvie Mas-Gallic :
     Une méthode particulaire déterministe pour des équations diffusives non-linéaires.
     2001
140. Daria Loukianova :
     Maximal likelyhood for multidimensional diffusions.
141. Javier Hidalgo et Philippe Soulier :
     Estimation of the location and exponent of the spectral singularity of a long memory process.
142. Jean-Marie Bernard :
     Time-dependent Stokes and Navier-Stokes problem with boundary conditions involving pressure, existence and regularity.
143. Stefanella Boatto et François Golse :
     Diffusion approximation of a model Knudsen gas : dependence of the diffusion constant upon the boundary condition.
144. Nicole El Karoui, Monique Jeanblanc et Vincent Lacoste :
     Optimal portfolio management with American capital guarantee.
145. Christophette Blanchet-Scalliet et Monique Jeanblanc :
     Hazard rate for credit risk and hedging defaultable contingent claims (PS).
     Disponible aussi en version DVI ou PDF.
146. Abdelghani Bellouquid :
     Global existence and asymptotic limit for kinetic models.
147. Julia Matos et Philippe Souplet :
     Universal blow-up estimates and decay rates for a semilinear heat equation.
148. Francis Hirsch :
     Intrinsic metrics and Lipschitz functions.
149. Gilles Hargé :
     Inequalities for Gaussian measure and an application to Wiener space.
150. Monique Jeanblanc, Jim Pitman et Marc Yor :
     Self-similar process with independent increments associated with Lévy and Bessel processes (PS).
     Disponible aussi en version DVI.
151. Monique Jeanblanc, Peter Lakner :
     Optimal bankruptcy time and consumption/investment policies on an infinite horizon with a continuous debt payment until bankruptcy(PS).
     Disponible aussi en version DVI ou PDF.
152. Imed Bachar, Habib Maâgli et Noureddine Zeddini :
     Estimates on the Green function and existence of positive solutions of nonlinear singular elliptic equations.
153. C.M. Hurvich, E. Moulines et Ph. Soulier :
     Estimating long memory in stochastic volatility.
154. Philippe Soulier :
     Minimax rates of convergence for the estimation for the memory parameter of a stationary time series.
     2002
155. Raphaël Douady et Monique Jeanblanc :
     A rating-based model for credit derivatives (PS).
     Disponible aussi en version DVI ou PDF..
156. Gilles Fay, Eric Moulines et Philippe Soulier :
     Edgewoth expansions for infinite triangular arrays and applications to short and long memory processes.
157. Thomas Simon :
     Small deviations in p-variation norm for multidimensinal Lévy processes.
158. Jean-Marie Bernard :
     Spectral discretizations of the Stokes equations with non standard boundary conditions
159. Jean-Marie Bernard :
     Solutions $W^{2,p}$, p>3, for second grade fluid equations with a boundary of class $C^{1,1}$.
160. Jaksa Cvitanic, Ali Lazrak, Lionel Martellini et Fernando Zapatero :
     Revisiting Treynor and Black (1973) : an intertemporal model of active portfolio management.
161. Pierre Gilles Lemarié-Rieusset :
     Espaces de Lorentz et Navier-Stokes : le problème des solutions auto-similaires de Leray (PS).
     Disponible aussi en version DVI.
162. Ali Lazrak :
     Information neutrality in the stochastic differential utility and related BSDEs.
163. Alexandre Ern, Stéphane Villeneuve et Antonino Zanette :
     Adaptative finite element methods for local volatility European option pricing.
164. Abdelmajid Bayad et Jesús Gómez Ayala :
     Formes de Jacobi et formules de distribution
165. Abdelmajid Bayad :
     Une relation de distribution satisfaite par la fonction zêta de Weierstrass associée à un réseau complexe.
166. Marc Chesney et Monique Jeanblanc :
     Pricing American currency options in a jump diffusion model (PDF).
167. Guillaume Bernis et Monique Jeanblanc :
     Hedging defaultable derivatives via utility theory.
168. Christophette Blanchet-Scalliet, Nicole El Karoui, Monique Jeanblanc et Lionel Martellini:
     Optimal investment and consumption decisions when time horizon is uncertain. (PDF)
169. Jean-Marie Bernard :
     Spectral approximation of the Navier-Stokes equations coupled with the heat equation.
170. Clifford Hurvich, Gabriel Land et Philippe Soulier :
     Estimation of long memory in the presence of a smooth nonparametric trend.
171. Randal Douc, Gersende Fort, Eric Moulines et Philippe Soulier :
     Practical drift conditions for subgeometric rates of convergence.
     2003
172. Pierre Gilles Lemarié-Rieusset et Ramzi May:
     Uniqueness for the Navier-Stokes equations and multipliers between Sobolev spaces.
173. Nadine Bellamy :
     Real option in case of a unique perturbation.
174. Daria Loukianova et Oleg Loukianov :
     Random rate of convergence of maximum likelihood estimators for multidimensional Harris diffusions.
175. Daria Loukianova et Oleg Loukianov :
     Uniform law of large numbers and consistency of estimators for multidimensional Harris diffusions.
176. Nadine Bellamy :
     Impact of market crises on real options.
177. Mikhail Lifshits et Thomas Simon :
     Small deviations for fractional stable processes.
178. Abdellatif Jouini et Pierre Gilles Lemarié-Rieusset :
     Wavelet bases on the L-shaped domain.
179. Thomas Simon :
     Small ball estimates in p-variation for stable processes.
180. Gilles Hargé :
     Characterization of equality in the correlation inequality for convex functions, the U-conjecture.
181. Monique Jeanblanc et Marek Rutkowski :
     Modelling and hedging of default risk.(PDF)
182. Mengchen Hsieh, Clifford M. Hurvich. et Philippe Soulier :
     Asymptotics for duration-driven long range dependent processes.
183. Ivan Marin :
     On the representation theory of braid groups.
184. Francis Hirsch :
     Measurable metrics and Gaussian concentration.(PDF)
185. Jean-Marie Bernard :
     Conforming and nonconforming finite element methods for solving the Darcy's equation.
186. Randal Douc, Eric Moulines et Philippe Soulier :
     Computable bounds for subgeometric ergodicity.
187. Stéphane Crépey :
     Delta hedging vega risk?
     2004
188. Francis Hirsch :
     Measurable metrics, intrinsic metrics and Lipschitz functions. (PDF)
189. Tomasz R. Bielecki, Monique Jeanblanc et Marek Rutkowski :
     Modeling and valuation of credit risk. (PDF)
190. Said Hamadèene et Monique Jeanblanc :
     On the starting and Stopping problem. Application in reversible investment. (PDF)
191. Jean-Marie Bernard :
     Spectral discretizations of the Darcy's equations with non standard boundary conditions.
192. Ivan Marin :
     Caractères de rigidité du groupe de Grothendiek-Teichm¨ller
193. Jules Sadefo-Kandem :
     VaR and ES for linear portfolios with mixture of elliptically distributed risk factors.
194. Tomasz R. Bielecki, Monique Jeanblanc et Marek Rutkowski :
     Replication of defaultable claims within the reduced-form framework (PDF)
195. Tomasz R. Bielecki, Monique Jeanblanc et Marek Rutkowski :
     Mean Variance hedging of defaultable claims. (PDF)
196. Tomasz R. Bielecki, Monique Jeanblanc et Marek Rutkowski :
     Indifference Pricing and Hedging of Defaultable Claims. (PDF)
197. Ivan Nourdin et Thomas Simon :
     On the absolute continuity of drifted Lévy processes.
198. Jules Sadefo-Kandem :
     VaR and ES for linear portfolios with mixture of generalized Laplace distributed risk factors.
199. Marc Arnaudon et Thomas Simon :
     Concentration of the Brownian bridge on Cartan-Hadamard manifolds with pinched negative sectional curvatures.
200. Ivan Marin :
     Monodromie algébrique des groupes d'Artin diédraux.
201. Tomasz R. Bielecki, Monique Jeanblanc et Marek Rutkowski :
     Completeness of a General Semimartingale Market under Constrained Trading. (PDF)
202. Pierre-Gilles Lemarié-Rieusset et Ali Zhioua :
     Weakly singular initial values for the Stokes equation on a half space.
     2005
203. Pierre-Gilles Lemarié-Rieusset et Sadek Gala :
     Multipliers between Sobolev spaces and fractional differentiation.
204. Tomasz R. Bielecki, Monique Jeanblanc et Marek Rutkowski :
     Completeness of a Reduced form credit risk model with discontinuous asset prices. (PDF)
205. Tomasz R. Bielecki, Monique Jeanblanc et Marek Rutkowski :
     PDE approach in Valuation and Hedging of credit derivatives. (PDF)
206. Ivan Marin :
     L'algèbre de Lie des transpositions.
207. Daniel Goujot :
     Blind Wavelet Compression of the Solution of a Nonlinear PDE with Singular Forcing Term Within Optimal Order Cost : Stability of Restricted Approximation to Small Errors.
208. Daniel Goujot :
     Analysis of pollution for the rapidly oscillating integral: the boundary equation Helmholtz-CFIE at high frequencies.
209. R. N. Boyarinov, I. S. Ngongo, V. N. Chubarikov :
     Asymptotic formulas for fractional moments of special sums.
210. Ivan Marin :
     Sur les repr\'esentations de Krammer g\'en\'eriques.
211. Tomasz R. Bielecki, St\'ephane Cr\'epey, Monique Jeanblanc, Marek Rutkowski :
     Valuation of basket credit derivatives in the credit migrations environment. (PDF)
212. Sadek Gala :
     Boundedness commutator between Sobolev spaces.
213. Sadek Gala :
     Multipliers spaces and pseudo-differential operators.
214. Daria Loukianova et Oleg Loukianov :
     Deterministic equivalents of additive functionals of recurrent diffusions and drift estimation.
215. Jean-Marie Bernard :
     Fully non-homogeneous problem of two dimensional second grade fluids and transport equations with normal boundary conditions.
216. Radjesvarane Alexandre :
     Integral kernel estimates for a linear singular operator linked with Boltzmann equation. Part I : small singularities $0<\nu<1$ and Besov to $L^p$ estimates. (PDF)
217. Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski :
     Pricing and trading credit default swaps under deterministic intensity (PDF)
218. Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski :
     Hedging of credit derivatives in models with totally unexpected default. (PDF)
219. Radjesvarane Alexandre :
     Integral kernel estimates for a linear singular operator linked with Boltzmann equation. Part II : small singularities $0<\nu<1$ and regularities issues.
220. Giovanni Pecatti et Jean-Renaud Pycke :
     Decomposition of stochastic processes based on irreducible group representation.
221. Grégory Nuel :
     Cumulative distribution of a geometric distribution.
222. Grégory Nuel :
     Pattern statistics on Markov chains and sensitivity to parameter estimation.
223. Grégory Nuel :
     Fast $p$-value computations using finite Markov chain imbedding (FMCI): application to local score and to pattern statistics
224. Grégory Nuel :
     Numerical solutions for patterns statistics on Markov chains.
225. Hammadi Abidi et Taoufik Hmidi :
     Résultats d'existence dans des espaces critiques pour le système de la MHD inhomogène.
226. T. Funaki, Y. Hariya, F. Hirsch et M. Yor :
     On the construction of Wiener integrals with respect to certain pseudo-Bessel processes, III.
227. T. Funaki, Y. Hariya, F. Hirsch et M. Yor :
     On the construction of Wiener integrals; IV : Fourier aspects.
     2006
228. Pierre-Gilles Lemarié-Rieusset :
     The Navier-Stokes equations in the critical Morrey-Campanato space.
229. Ivan Nourdin et Thomas Simon :
     Correcting Newton-Cötes integrals by Lévy areas.
230. Franck Aurzada et Thomas Simon :
     Small ball probabilities for stable convolutions.
231. Radjesvarane Alexandre, Eric Akmansoy, Selma Debbache, Muthussamy Vanninathan :
     Bloch Waves Homogenization and Lyapunov-Schmidt Reduction. (PDF)
232. Radjesvarane Alexandre :
     Integral estimates for a linear singular operator linked with Boltzmann operator. Part I : Small singularities $0<\nu<1$. (PDF)
233. Radjesvarane Alexandre, Ut Le Van, Thanh Long Nguyen, A. Pham Ngoc Dinh :
     A mathematical model for the evaporation of a liquid droplet, subject to nonlinear contraints. (PDF)
234. Valeria Banica :
     The nonlinear Schrödinger equation on hyperbolic space.
235. Dasha Loukianova et Oleg Loukianov :
     Uniform deterministic equivalent of additive functionals and non-parametric drift estimation for one-dimensional recurrent diffusions.
236. Eva Löcherbach et Dasha Loukianova :
     On Nummelin splitting for continuous time Harris recurrent Markov processes and application to kernel estimation for multi-dimensional diffusions.
237. Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc, Marek Rutkowski :
     Arbitrage pricing of defaultable game options with applications to convertible securities.
238. Gilles Hargé :
     Reinforcement of an inequality due to Brascamp and Lieb.
239. Laurent Denis et Begoña Fernández :
     Estimates of Dynamic VaR and Mean Loss Associated to Diffusion Processes.
240. Laurent Denis et Begoña Fernández:
     Estimation of Value at Risk for Diffusion Processes with Jumps and their Ruin Probabilities.
241. Jean-Renaud Pycke :
     A Decomposition for Invariant Tests of Uniformity on the Sphere.
242. Jean-Renaud Pycke :
     $U-$statistics based on the Green's function of the Laplacian on the circle and the sphere.
243. Jean-Renaud Pycke :
     A test for uniformity of circular data based on the geometric mean of chord lengths.
244. Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc, Marek Rutkowski :
     Defaultable Game Options in a Hazard Process Model.
245. Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc, Marek Rutkowski :
     Defaultable Options in a Markovian Intensity Model of Credit Risk.
246. Pierre-Gilles Lemarié-Rieusset :
     Uniqueness for the Navier-Stokes problem: Remarks on a theorem of Jean-Yves Chemin.
247. Monique Jeanblanc, Susanne Klöppel, Yoshio Miyahara :
     Minimal $f^q$ martingale measures for exponential Lévy processes.
248. Delia Coculescu, Hélyette Geman, Monique Jeanblanc :
     Valuation of Default Sensitive Claims under Imperfect Information
     2007
249. Thomas Simon :
     The lower tail problem for fluctuating additive functionals of stable processes.
250. Thomas Simon :
     On the Hausdorff dimension of regular points of inviscid Burgers equation with stable initial data.
251. Stephano Galluccio, Yann Le Cam :
     Implied Calibration and Moments Asymptotics in Stochastic Volatility Jump Diffusion Models. (PDF)
252. Aimé Lachal et Thomas Simon :
     Chung's law for homogeneous Brownian functionals.
253. Laurent Denis, Anis Matoussi :
     Maximum Principle and Comparison Theorem for Quasilinear Stochastic PDE's.
254. Stéphane Crépey, Anis Matoussi :
     Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison principle.
255. Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc, Marek Rutkowski :
     Convertible Securities in a Defaultable Diffusion Model.
256. Stéphane Crépey :
     About the pricing equations in Finance.
257. Stéphane Crépey :
     Markovian Reflected and doubly reflected BSDEs in a jump-diffusion setting with regimes.
258. Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski :
     Pricing and trading default swaps in a hazard process model. (PDF)
259. Monique Jeanblanc, Yann Le Cam :
     Progressive enlargement of filtration with initial times. (PDF)
260. Monique Jeanblanc, Yann Le Cam :
     Reduced form modelling for credit risk. (PDF)
261. Laurent Denis, Magali Kervarec :
     Utility functions and optimal investment in non-dominated models.
     2008
262. Monique Jeanblanc, Yann Le Cam :
     Immersion Property and Credit Risk Modelling. (PDF)
263. Eva Löcherbach, Dasha Loukianova :
     The law of iterated logarithm for additive functionals and martingale additive functionals of Harris recurrent Markov processes.
264. Jean Marie Bernard :
     Density results in Sobolev spaces where the functions vanish on a part of the boundary. (PDF)
265. Nicolas Bouleau, Laurent Denis :
     Energy image density property and local gradient for Poisson random measures . (PDF)
266. Antoine Jacquier :
     Convolution Semigroup for Distortion Functions and Spectral Risk Measures, with Numerical Applications. (PDF)
267. Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc :
     Up and Down credit risk. (PDF)
268. Francis Hirsch, Marc Yor :
     Fractional interwinings between two markov semigroups. (PDF)
269. Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski :
     edging of Credit Default Swaptions. (PDF)
270. Monique Jeanblanc, Pavel Gapeev :
     Pricing of contingent claims in a two-dimensional model with random dividends. (PDF)
271. Valeria Banica, Luis Vega :
     On the stability of a singular vortex dynamics. (PDF)
272. Valeria Banica, Remi Carles, Thomas Duyckaerts :
     On scattering for NLS: from Euclidean to hyperbolic space. (PDF)
273. Valeria Banica, Luis Vega :
     Selfsimilar solutions of the binormal flow and their stability. (PDF)
     2009
274. Francis Hirsch, Marc Yor :
     A construction of processes with one dimensional martingale marginals, based upon path-space Ornstein-Uhlenbeck processes and the Brownian sheet. (PDF)
275. Delia Coculescu, Monique Jeanblanc, Ashkan Nikeghbali :
     Default times, non arbitrage conditions and change of probability measures. (PDF)
276. Francis Hirsch, Marc Yor :
     A construction of processes with one-dimensional martingale marginals, associated with a Lévy process, via its Lévy sheet. (PDF)
277. Eva Löcherbach, Dasha Loukianova :
     Moderate deviations for centered additive functionals of recurrent Harris processes having general state space. (PDF)
278. Eva Löcherbach, Dasha Loukianova, Oleg Loukianov :
     Penalized nonparametric drift estimation in a continuous time one-dimensional diffusion process. (PDF)
279. Eva Löcherbach, Dasha Loukianova, Oleg Loukianov :
     Polynomial bounds in the Ergodic Theorem for positive recurrent one-dimensional diffusions and integrability of hitting times. (PDF)
280. Stéphane Crépey, Monique Jeanblanc, Behnaaz Zargari :
     CDS with Counterparty Risk in a Markov Chain Copula Model with Joint Defaults. (PDF)
281. Nicole El Karoui, Monique Jeanblanc, Ying Jiao :
     What happens after a default: the conditional density approach. (PDF)
282. René Carmona, Stéphane Créepey :
     Importance Sampling and Interacting Particle Systems for the Estimation of Markovian Credit Portfolios Loss Distribution. (PDF)
283. Francis Hirsch, Marc Yor :
     Looking for martingales associated to a self-decomposable law. (PDF)
284. Giorgia Callegaro, Abbas Sagna :
     An application to credit risk of a hybrid Monte Carlo-Optimal quantization method. (PDF)
285. Francis Hirsch, Bernard Roynette, Marc Yor :
     Unifying constructions of martingales associated with processes increasing in the convex order, via Lévy and Sato sheets. (PDF)
286. Dasha Loukianova, Oleg Loukianov, Shiqi Song :
     Poincaré inequality and exponential integrability of hitting times for a linear diffusion. (PDF)
287. Pavel V. Gapeev, Monique Jeanblanc :
     A Model of Credit Events Based on Filtering Theory. (PDF)
288. Francis Hirsch, Bernard Roynette, Marc Yor :
     From an Itô type calculus for Gaussian processes to integrals of log-normal processes increasing in the convex order. (PDF)
289. Pavel V. Gapeev, Monique Jeanblanc, Libo Li, Marek Rutkowski :
     Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives (PDF)
290. Samson Assefa, Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc :
     CVA computation for counterparty risk assessment in credit portfolios (PDF)
291. Tomasz R. Bielecki, Stéphane Crépey, Alexander Herbertsson :
     Markov Chain Models of Portfolio Credit Risk (PDF)
     2010
292. Monique Jeanblanc, Vincent Lacoste, S-bébastien Roland :
     Portfolio Optimization Under a Partially Observed Jump-Diffusion Model. (PDF)
293. Francis Hirsch, Bernard Roynette, Marc Yor :
     Applying Itô's motto: "look at the infinite dimensional picture" by constructing sheets to obtain processes increasing in the convex order (PDF)
294. Stéphane Crépey, Monique Jeanblanc, Behnaz Zargari :
     Counterparty Risk on a CDS in a Model with Joint Defaults and Stochastic Spreads. (PDF)
295. Stéphane Crépey, Abdallah Rahal :
     Pricing Convertible Bonds with Call Protection. (PDF)
296. Jean-François Chassagneux, Stéphane Crépey :
     Doubly Reflected BSDEs with Call Protection and their Approximation. (PDF)
297. Areski Cousin, Monique Jeanblanc :
     Hedging portfolio loss derivatives with CDSs. (PDF)
298. Monique Jeanblanc, Anis Matoussi, Armand Ngoupeyou :
     Robust utility maximization in a discontinuous filtration. (PDF)
299. Jean-François Chassagneux, Romuald Elie, Idris Kharroubi :
     A note on existence and uniqueness for solutions of multidimensional reflected BSDEs. (PDF)
300. Neyla Ajmi , Abdellatif Jouini, Pierre Gilles Lemarié-Rieusset :
     Wavelet bases on a triangle. (PDF)
301. Pavel Gapeev, Monique Jeanblanc :
     Pricing and filtering in a two-dimensional dividend switching model. (PDF)
302. Monique Jeanblanc, Shiqi Song :
     An Explicit Model of Default Time with given Survival Probability. (PDF)
303. Monique Jeanblanc, Shiqi Song :
     Random times with given survival probability and their $\mathbb{F}$-martingale decomposition formula. (PDF)
304. Giorgia Callegaro, Monique Jeanblanc, Wolfgang Runggaldier :
     Portfolio optimization in a defaultable market under incomplete information. (PDF)
305. Areski Cousin, S. Crépey, Yu Hang Kan :
     Delta-hedging Correlation Risk? (PDF)
306. Giorgia Callegaro, Monique Jeanblanc, Behnaz Zargari :
     Carthaginian Enlargement of Filtrations. (PDF)
307. Nicole El Karoui, Monique Jeanblanc, Ying Jiao, Behnaz Zargari :
     Conditional Default Probability and Density. (PDF)
308. Monique Jeanblanc, Zhiyong Yu :
     Optimal Investment Problems with Uncertain Time Horizon. (PDF)
309. Abass Sagna :
     Pricing of barrier options by marginal functional quantization. (PDF)
310. Diego Chamorro, Pierre Gilles Lemarié-Rieusset :
     Quasi-geostrophic equations, nonlinear Bernstein inequalities and α-stable processes. (PDF)
311. Diego Chamorro :
     Improved Sobolev inequalities and Muckenhoupt weights on stratified Lie groups. (PDF)
312. Eva Löcherbach, Dasha Loukianova :
     Polynomial deviation bounds for recurrent Harris processes having general state space. (PDF)
313. Pierre Gilles Lemarié -Rieusset, Frédéric Lelièvre :
     Suitable solutions for the Navier-Stokes problem with an homogeneous initial value. (PDF)
314. Jean-Marie Bernard :
     Density results in Sobolev spaces whose elements vanish on a part of the boundary. (PDF)
     2011
315. Jean-Marie Bernard :
     Steady transport equation in the case where the normal component of the velocity does not vanish on the boundary. (PDF)
316. Jean-François Chassagneux, Stéphane Crépey :
     Doubly Reflected BSDEs with Call Protection and their Approximation. (PDF)
317. Tomasz R. Bielecki, Stéphane Crépey :
     Dynamic Hedging of Counterparty Exposure. (PDF)
318. Stéphane Crépey, Zorana Grbac :
     Counterparty Risk on Interest Rate Derivatives in a Multiple Curve Setup. (PDF)
319. Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc, Behnaz Zargari :
     Valuation and Hedging of CDS Counterparty Exposure in a Markov Copula Model. (PDF)
320. Diego Chamorro :
     Some functional inequalities on polynomial volume growth Lie groups. (PDF)
321. Valeria Banica, Liviu Ignat :
     Dispersion For The Schrödinger Equation On Networks. (PDF)
322. Monique Jeanblanc, Michael Mania, Marina Santacroce, Martin Schweizer :
     Mean-variance hedging via stochastic control and BSDEs for general semimartingales. (PDF)
323. Francis Hirsch, Bernard Roynette :
     $R^d$-valued peacocks. (PDF)
324. Francis Hirsch, Marc Yor :
     On the remarkable Lamperti representation of the inverse local time of a radial Ornstein-Uhlenbeck process. (PDF)
325. Francis Hirsch, Marc Yor :
     On temporally completely monotone functions for Markov processes. (PDF)
326. Stéphane Crépey :
     A BSDE Approach to Counterparty Risk under Funding Constraints. (PDF)
327. Noufel Frikha, Abass Sagna :
     Quantization based Recursive Importance Sampling. (PDF)
328. Jean-Renaud Pycke :
     A probabilistic counterpart of Askey scheme for continuous polynomials. (PDF)
329. Valeria Banica, Evelyne Miot :
     Global existence and collisions for symmetric configurations of nearly parallel vortex filaments. (PDF)
330. Valeria Banic, Remi Carles, Thomas Duyckaerts :
     Minimal blow-up solutions to the mass-critical inhomogeneous NLS equation. (PDF)
331. Valeria Banica, Luis Vega :
     Scattering for 1D cubic NLS and singular vortex dynamics. (PDF)
332. Stéphane Crépey, Zorana Grbac, Hai-Nam Nguyen :
     A defaultable HJM multiple-curve term structure model. (PDF)
333. Jean-Marie Bernard :
     Problem of Second grade fluids in convex polyhedrons. (PDF)
334. Francis Hirsch, Bernard Roynette :
     A new proof of Kellerer's theorem. (PDF)
335. Francis Hirsch, Marc Yor :
     On the Mellin transforms of the perpetuity and the remainder variables associated to a subordinator. (PDF)
336. Christophe Profeta :
     Penalizing null recurrent diffusions (PDF)
     2012
337. Eva Löcherbach, Oleg Loukianov, Dasha Loukianova. :
     Spectral conditions, hitting times and Nash inequality (PDF)
338. Stéphane Crépey, Zorana Grbac:
     Counterparty Risk on Interest Rate Derivatives in a Multiple Curve Setup (PDF)
339. Emmanuelle Clément, Arnaud Gloter :
     Limit theorems in the Fourier transform method for the estimation of multivariate volatility. (PDF)
340. Arnaud Gloter, Miguel Martinez. :
     Distance between two skew Brownian motion as SDE with jumps and law of hitting time. (PDF)
341. Emmanuelle Clément, Sylvain Delattre, Arnaud Gloter :
     Asymptotic lower bounds in estimating jumps (PDF)
342. Thomas Lim, Vathana Ly Vath, Jean Michel Sahut, Simone Scotti :
     Bid-ask spread modelling, a perturbation approach (PDF)
343. Idriss Kharroubi, Thomas Lim :
     Progressive enlargement of filtrations and Backward SDEs with jumps (PDF)
344. Idriss Kharroubi, Thomas Lim
     A decomposition approach for the discrete-time approximation of FBSDEs with a jump I : the Lipschitz case (PDF)
345. Etienne Chevalier, Vathana Ly Vath, Simone Scotti:
     An Optimal Dividend and Investment Control Problem under Debt Constraints (PDF)
346. Etienne Chevalier, Armand Ngoupeyou:
     American put option on a defaultable asset and option based portfolio insurance (PDF)
347. Ernst Eberlein, Zorana Grbac :
     Rating based Lévy Libor model. (PDF)
348. Ernst Eberlein, Zorana Grbac, Thorsten Schmidt :
     CDO market models driven by time-inhomogeneous Lévy processes (PDF)
349. Zorana Grbac, Antonis Papapantoleon:
     A tractable LIBOR model with default risk. (PDF)
350. Jean-Renaud Pycke :
     On the range of linear and circular kurtosis. (PDF)
351. Monique Jeanblanc, Shiqi Song: :
     Martingale representation property in progressively enlarged filtrations. (PDF)
352. Valeria Banica, Evelyne Miot: :
     Evolution, interaction and collisions of vortex filaments. (PDF)
353. Valeria Banica, Luis Vega :
     Stability of the selfsimilar dynamics of a vortex filament. (PDF)
354. Christophe Profeta :
     On last passage times of linear diffusions to curved boundaries. (PDF)
355. Imène Hachicha :
     Global existence for a damped wave equation and convergence towards a solution of the Navier-Stokes problem. (PDF)
356. Pierre Gilles Lemarié -Rieusset :
     Multipliers and Morrey spaces. (PDF)
357. Pierre Gilles Lemarié -Rieusset :
     A remark on the div-curl lemma. (PDF)
358. Claudio Fontana, Monique Jeanblanc, Shiqi Song :
     On arbitrages arising with honest times. (PDF)
359. Shiqi Song :
     Drift operator in a market affected by the expansion of information flow : a case study. (PDF)
360. Idris Kharroubi, Thomas Lim, Armand Ngoupeyou :
     Mean-Variance Hedging on uncertain time horizon in a market with a jump. (PDF)
361. Francis Hirsch, Bernard Roynette, Marc Yor :
     Kellerer's theorem revisited. (PDF)
362. Claudio Fontana, Wolfgang J. Runggaldier :
     Diffusion-based models for financial markets without martingale measures. (PDF)
363. Stéphane Crépey, Monique Jeanblanc, Dongli Wu :
     Informationally Dynamized Gaussian Copula. (PDF)
364. Tomasz R. Bielecki, Areski Cousin, Stéphane Crépey, Alexander Herbertsson :
     Hedging of Portfolio Credit Risk in a Markov Copula Model. (PDF)
365. Stéphane Crépey, Raphaël Douady :
     The Whys of the LOIS: Credit Risk and Refinancing Rate Volatility (PDF)
366. Stéphane Crépey :
     Bilateral Counterparty Risk under Funding Constraints Part I: Pricing. (PDF)
367. Stéphane Crépey :
     Bilateral Counterparty Risk under Funding Constraints Part II: CVA. (PDF)
368. Stéphane Crépey, Rémi Gerboud, Zorana Grbac, Nathalie Ngor :
     Counterparty Risk and Funding: The Four Wings of the TVA. (PDF)
369. Diego Chamorro, Pierre-Gilles Lemarié-Rieusset :
     Real Interpolation method, Lorentz spaces and refined Sobolev inequalities. (PDF)
370. Christophe Profeta, Abass Sagna :
     Conditional hitting time estimation in a nonlinear filtering model by the Brownian bridge method. (PDF)
371. Pierre-Gilles Lemarié-Rieusset :
     Small data in an optimal Banach space for the parabolic-parabolic and parabolic-elliptic Keller-Segel equations in the whole space. (PDF)
372. Idris Kharroubi, Thomas Lim :
     A decomposition approach for the discrete-time approximation of BSDEs with a jump II: the quadratic case. (PDF)
373. Nicolas Bouleau, Laurent Denis :
     Iteration of the lent particle method for existence of smooth densities of Poisson functionals. (PDF)
374. Nicolas Bouleau, Laurent Denis :
     Dirichlet Forms for Poisson Measures and Lévy Processes: The Lent Particle Method. (PDF)
375. Laurent Denis, Anis Matoussi, Jing Zhang :
     Maximum Principle for Quasilinear Stochastic PDEs with Obstacle. (PDF)
376. Laurent Denis, Anis Matoussi :
     Maximum principle for quasilinear SPDE's on a bounded domain without regularity assumptions. (PDF)
377. Nicolas Bouleau, Laurent Denis :
     Chaotic extensions and the lent particle method for Brownian motion. (PDF)
378. Laurent Denis, Anis Matoussi, Jing Zhang :
     The Obstacle Problem for Quasilinear Stochastic PDEs: Analytical Approach. (PDF)
379. Valeria Banica, Liviu I. Ignat :
     Dispersion for the Schrödinger equation on the line with multiple Dirac delta potentials and on delta trees. (PDF)
380. Diego Chamorro :
     Non-local diffusion equations with Lévy-type operators and divergence free drift. (PDF)
381. Valeria Banica, María del Mar González, Mariel Sáez :
     Some constructions for the fractional Laplacian on noncompact manifolds. (PDF)
382. Francis Hirsch, Marc Yor :
     Comparing Brownian stochastic integrals for the convex order. (PDF)
383. Claudio Fontana, Juan Miguel A. Montes :
     A unified approach to pricing and risk management of equity and credit risk. (PDF)
     2013
384. Claudio Fontana :
     Weak and strong no-arbitrage conditions for continuous financial markets. (PDF)
385. Claudio Fontana, Zorana Grbac, Monique Jeanblanc, Qinghua Li :
     Information, no-arbitrage and completeness for asset price models with a change point. (PDF)
386. Abass Sagna :
     Marginal quantization of an Euler diffusion process and its application. (PDF)
387. Pierre Gilles Lemarié-Rieusset :
     Sobolev multipliers, maximal functions and parabolic equations with a quadratic nonlinearity. (PDF)
388. Christophe Profeta :
     On Dufresne's translated perpetuity and some Black-Scholes annuities. (PDF)
389. Bogdan Iftimie, Monique Jeanblanc, Thomas Lim, Hai-Nam Nguyen :
     Optimization problem under change of regime of interest rate. (PDF)
390. Stefan Ankirchner, Monique Jeanblanc, Thomas Kruse :
     BSDEs with singular terminal condition and control problems with constraints. (PDF)
391. Shiqi Song :
     Optional splitting formula in a progressively enlarged filtration. (PDF)
392. Shiqi Song :
     Local solution method for the problem of enlargement of filtration. (PDF)
393. Shiqi Song :
     An alternative proof of a result of Takaoka. (PDF)
394. Valeria Banica, Luis Vega :
     The initial value problem for the binormal flow with rough data. (PDF)
395. Diego Chamorro :
     A molecular method applied to a non-local PDE in stratified Lie groups. (PDF)
396. Mikael Falconnet, Dasha Loukianova, Catherine Matias :
     Asymptotic normality and efficiency of the maximum likelihood estimator for the parameter of a ballistic random walk in a random environment. (PDF)
397. Francis Comets, Mikael Falconnet, Oleg Loukianov, Dasha Loukianova, Catherine Matias :
     Maximum likelihood estimator consistency for ballistic random walk in a parametric random environment. (PDF)
398. Christophe Profeta :
     Some limiting laws associated with the integrated Brownian motion. (PDF)
399. Mine Caglar, Ali Devin Sezer :
     Dissemination in Fully Connected Networks. (PDF)
400. Monique Jeanblanc, Anthony Réveillac :
     A Note on BSDEs with singular coefficients. (PDF)
401. Charles-Albert Lehalle, Qinghua Li, Ulrich Horst :
     Optimal Trading in a Two-Sided Limit Order Book. (PDF)
402. Nicole El Karoui, Monique Jeanblanc, Ying Jiao :
     Density approach in modelling multi-defaults. (PDF)
403. Stéphane Crépey :
     Counterparty Risk Modeling: Beyond immersion. (PDF)
404. Anna Aksamit, Tahir Choulli, Jun Deng, Monique Jeanblanc :
     Non-Arbitrage up to Random Horizon and after Honest Times for Semimartingale Models. (PDF)
405. Monique Jeanblanc, Marta Leniec :
     Role of Information in Pricing Default-Sensitive Contingent Claims. (PDF)
406. Mhamed Gaigi, Vathana Ly Vath, Mohamed Mnif, Salwa Toumi :
     Numerical approximation for a portfolio optimization problem under liquidity risk and costs. (PDF)
407. Etienne Chevalier, Vathana Ly Vath, Alexandre Roch, Simone Scotti :
     Optimal selling time under stochastic liquidity discount and regime shifting. (PDF)
408. Etienne Chevalier, Mhamed Gaigi, Vathana Ly Vath, Mohamed Mnif :
     Optimal market making strategies under inventory constraints. (PDF)
409. Tahir Choulli, Anna Aksamit, Jun Deng, Monique Jeanblanc :
     Arbitrages in a Progressive Enlargement Setting. (PDF)
     (Remark : this paper has been rewritten in an extended version. See preprints 422 and 423)
410. Stéphane Crépey, Zorana Grbac, Nathalie Ngor, David Skovmand :
     A Lévy HJM multiple-curve model with application to CVA computation. (PDF)
411. Pierre Gilles Lemarié-Rieusset :
     On some classes of time-periodic solutions for the Navier-Stokes equations in the whole space. (PDF)
412. Etienne Chevalier, Vathana Ly Vath, Alexandre Roch, Simone Scotti :
     Optimal execution cost for liquidation through a limit order market. (PDF)
413. Claudio Fontana :
     No-arbitrage conditions and absolutely continuous changes of measure. (PDF)
414. Claudio Fontana :
     A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing. (PDF)
415. Shiqi Song :
     Random time with differentiable conditional distribution function. (PDF)
416. Chiara Cinti, Stéphane Menozzi, Sergio Polidoro :
     Two-sided bounds for degenerate processes with densities supported in subsets of R^N. (PDF)
     2014
417. Stéphane Crépey, Shiqi Song :
     SDEs of Counterparty Risk and Invariant Times. (PDF)
418. Lorick Huang, Stéphane Menozzi :
     Density Bounds for some Degenerate Stable Driven SDEs. (PDF)
419. Tomasz R. Bielecki, Monique Jeanblanc, Ali Devin Sezer :
     Joint Hitting-Time Densities for Finite State Markov Processes. (PDF)
420. Christophe Profeta, Thomas Simon :
     Persistence of Integrated Stable Processes. (PDF)
421. Pierre Gilles Lemarié-Rieusset :
     Erratum to "Multipliers and Morrey spaces". (PDF)
422. Anna Aksamit, Tahir Choulli, Jun Deng, Monique Jeanblanc :
     Non-Arbitrage up to Random Horizon for Semimartingale Models. (PDF)
     ((extended version of first part of 409)
423. Anna Aksamit, Tahir Choulli, Jun Deng, Monique Jeanblanc :
     Non-Arbitrage under a Class of Honest Times. (PDF)
     ((extended version of second part of 409)
424. Pierre Gilles Lemarié-Rieusset :
     Parablic Morrey spaces and mild solutions to Navier-Stokes equations. (PDF)
425. François Delarue, Stéphane Menozzi, Eulalia Nualart :
     The Landau Equation for Maxwellian Molecules and the Brownian Motion on $SO_N(\R)$. (PDF)
426. Christa Cuchiero, Claudio Fontana, Alessandro Gnoatto :
     A General HJM Framework for Multiple Yield Curve Modeling. (PDF)
427. Christophe Profeta, Thomas Simon :
     Windings of the Stable Kolmogorov Process. (PDF)
428. Stéphane Menozzi :
     Martingale Problems For Some Degenerate Kolmogorov Equations (PDF)
429. Diego Chamorro, Oscar Jarrín :
     Fractional Laplacians and Nilpotent Lie Groups (PDF)
430. Anna Aksamit, Tahir Choulli, Monique Jeanblanc :
     On an optional semimartingale decomposition and the existence of the deflator in an enlarged filtration (PDF)
431. Beatrice Acciaio, Claudio Fontana, Constantinos Kardaras: :
     Arbitrage of the first Kind and Filtration Enlargements in Semimartingale Financial Models. (PDF)
432. Anna Aksamit, Libo Li :
     Pseudo-stopping times and the hypothesis (H) (PDF)
433. Stéphane Crépey, Shiqi Song :
     BSDEs of Counterparty Risk (PDF)
434. Stéphane Crépey, Shiqi Song :
     Invariant Times (PDF)
     2015
435. Christophe Profeta, Thomas Simon :
     On the Harmonic Measure of Stable Processes. (PDF)
436. Thomas Kruse, Alexandre Popier:
     BSDEs with jumps in a general filtration. (PDF)
437. Diego Chamorro, Stéphane Menozzi :
     Fractional operators with singular drift: Smoothing properties and Morrey-Campanato spaces. (PDF)
438. Monique Jeanblanc, Thibaut Mastrolia, Dylan Possamaï, Anthony Réveillac :
     Utility maximization with random horizon: a BSDE approach. (PDF)