Zobrazeno 1 - 10
of 71
pro vyhledávání: '"Costa, Manon"'
In this paper, we study a discrete-time analogue of a Hawkes process, modelled as a Poisson autoregressive process whose parameters depend on the past of the trajectory. The model is characterized to allow these parameters to take negative values, mo
Externí odkaz:
http://arxiv.org/abs/2409.01660
This article studies and solves the problem of optimal portfolio allocation with CV@R penalty when dealing with imperfectly simulated financial assets. We use a Stochastic biased Mirror Descent to find optimal resource allocation for a portfolio whos
Externí odkaz:
http://arxiv.org/abs/2402.11999
We consider a discrete-time version of a Hawkes process defined as a Poisson auto-regressive process whose parameters depend on the past of the trajectory. We allow these parameters to take on negative values, modelling inhibition. More precisely, th
Externí odkaz:
http://arxiv.org/abs/2305.08498
Publikováno v:
Stochastic Processes and their Applications - Volume 163, Sept. 2023, Pages 85-105
The aim of this paper is to get asymptotic deviation bounds via a Large Deviation Principle (LDP) for cumulative processes also known as compound renewal processes or renewal-reward processes. These processes cumulate independent random variables occ
Externí odkaz:
http://arxiv.org/abs/2109.07800
In this paper we consider some non linear Hawkes processes with signed reproduction function (or memory kernel) thus exhibiting both self-excitation and inhibition. We provide a Law of Large Numbers, a Central Limit Theorem and large deviation result
Externí odkaz:
http://arxiv.org/abs/2109.07126
Autor:
Costa, Manon, Gadat, Sébastien
In this work, we study a new recursive stochastic algorithm for the joint estimation of quantile and superquantile of an unknown distribution. The novelty of this algorithm is to use the Cesaro averaging of the quantile estimation inside the recursiv
Externí odkaz:
http://arxiv.org/abs/2009.13174
This paper is devoted to two different two-time-scale stochastic approximation algorithms for superquantile estimation. We shall investigate the asymptotic behavior of a Robbins-Monro estimator and its convexified version. Our main contribution is to
Externí odkaz:
http://arxiv.org/abs/2007.14659
We study a parabolic Lotka-Volterra type equation that describes the evolution of a population structured by a phenotypic trait, under the effects of mutations and competition for resources modelled by a nonlocal feedback. The limit of small mutation
Externí odkaz:
http://arxiv.org/abs/2003.05498
Publikováno v:
In Stochastic Processes and their Applications September 2023 163:85-105
Publikováno v:
Adv. Appl. Probab. 52 (2020) 879-915
This paper investigates Hawkes processes on the positive real line exhibiting both self-excitation and inhibition. Each point of this point process impacts its future intensity by the addition of a signed reproduction function. The case of a nonnegat
Externí odkaz:
http://arxiv.org/abs/1801.04645