Zobrazeno 1 - 10
of 76
pro vyhledávání: '"Utzet, Frederic"'
Autor:
Belkaid, Abdel, Utzet, Frederic
S. G. Kou and H. Wang [First Passage times of a Jump Diffusion Process \textit{Ann. Appl. Probab.} {\bf 35} (2003) 504--531] give expressions of both the (real) Laplace transform of the distribution of first passage time and the (real) Laplace transf
Externí odkaz:
http://arxiv.org/abs/1604.06028
The Weibull--like distributions form a large class of probability distributions that belong to the domain of attraction for the maxima of the Gumbel law. Besides the Weibull distribution, it includes important distributions as the Gamma laws and, in
Externí odkaz:
http://arxiv.org/abs/1308.5534
In a remarkable paper, Peter Hall [{\it On the rate of convergence of normal extremes}, J. App. Prob, {\bf 16} (1979) 433--439] proved that the supremum norm distance between the distribution function of the normalized maximum of $n$ independent stan
Externí odkaz:
http://arxiv.org/abs/1308.5541
Autor:
Gasull, Armengol, Utzet, Frederic
Consider the Mills ratio $f(x)=\big(1-\Phi(x)\big)/\phi(x), \, x\ge 0$, where $\phi$ is the density function of the standard Gaussian law and $\Phi$ its cumulative distribution.We introduce a general procedure to approximate $f$ on the whole $[0,\inf
Externí odkaz:
http://arxiv.org/abs/1307.3433
Autor:
Gasull, Armengol, Utzet, Frederic
Consider the Mills ratio corresponding to the standard Gaussian law, $f(x)=\big(1-\Phi(x)\big)/\phi(x), \, x\ge 0$, where $\phi$ is the density function of this law and $\Phi$ its cumulative distribution function. We prove that this function is compl
Externí odkaz:
http://arxiv.org/abs/1305.5429
In this paper a Malliavin calculus for L\'evy processes based on a family of true derivative operators is developed. The starting point is an extension to L\'evy processes of the pioneering paper by Carlen and Pardoux [8] for the Poisson process, and
Externí odkaz:
http://arxiv.org/abs/1210.1156
We prove that certain quotients of entire functions are characteristic functions. Under some conditions, the probability measure corresponding to a characteristic function of that type has a density which can be expressed as a generalized Dirichlet s
Externí odkaz:
http://arxiv.org/abs/1009.1543
Let $\{X_{1}(t)\}_{0\leq t\leq1}$ and $\{X_{2}(t)\}_{0\leq t\leq1}$ be two independent continuous centered Gaussian processes with covariance functions$R_{1}$ and $R_{2}$. This paper shows that if the covariance functions are of finite $p$-variation
Externí odkaz:
http://arxiv.org/abs/1007.2516
A new expression for the characteristic function of log-spot in Heston model is presented. This expression more clearly exhibits its properties as an analytic characteristic function and allows us to compute the exact domain of the moment generating
Externí odkaz:
http://arxiv.org/abs/0902.2154
We combine Stein's method with a version of Malliavin calculus on the Poisson space. As a result, we obtain explicit Berry-Ess\'een bounds in Central Limit Theorems (CLTs) involving multiple Wiener-It\^o integrals with respect to a general Poisson me
Externí odkaz:
http://arxiv.org/abs/0807.5035