Publications related to Propriétés fines des trajectoires du mouvement brownien fractionnaire

Dating Death: An Empirical Comparison of Medical Underwriters in the U.S. Life Settlements Market

The value of a life settlement investment, manifested through a traded life insurance policy, is highly dependent on the insured's life expectancy (LE). LE estimation in life settlements relies heavily on medical underwriting. Employing different evaluatio ...

2020

On the Size of K-Cross-Free Families

János Pach, Andrei Kupavskii, Istvan Tomon

Two subsets A,B of an n-element ground set X are said to be crossing, if none of the four sets AB, A\B, B\A and X(AB) are empty. It was conjectured by Karzanov and Lomonosov forty years ago that if a family F of subsets of X does not contain k pairwise cr ...

SPRINGER HEIDELBERG2019

Statistical Aspects of Wasserstein Distances

Victor Panaretos, Yoav Zemel

Wasserstein distances are metrics on probability distributions inspired by the problem of optimal mass transportation. Roughly speaking, they measure the minimal effort required to reconfigure the probability mass of one distribution in order to recover th ...

ANNUAL REVIEWS2019

Optimistic Distributionally Robust Optimization for Nonparametric Likelihood Approximation

Daniel Kuhn, Viet Anh Nguyen, Soroosh Shafieezadeh Abadeh, Wolfram Wiesemann

The likelihood function is a fundamental component in Bayesian statistics. However, evaluating the likelihood of an observation is computationally intractable in many applications. In this paper, we propose a non-parametric approximation of the likelihood ...

2019

Stable high-order randomized cubature formulae in arbitrary dimension

Fabio Nobile, Giovanni Migliorati

We propose and analyse randomized cubature formulae for the numerical integration of functions with respect to a given probability measure μ defined on a domain Γ⊆ℝ^d, in any dimension d. Each cubature formula is conceived to be exact on a given finite dim ...

2018

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

MATHICSE Technical Report : Discrete least-squares approximations over optimized downward closed polynomial spaces in arbitrary dimension

Fabio Nobile, Giovanni Migliorati

We analyze the accuracy of the discrete least-squares approximation of a function u in multivariate polynomial spaces

P_\Lambda := span\{y \mapsto y^\nu | \nu \in \Lambda\}

with

\Lambda\subset N_0^d

over the domain

\Gamma := [-1,1]^d

, based on the sa ...

MATHICSE2015

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

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

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

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

László Forró, Sylvia Jeney, Elena Bertseva, Frank Scheffold

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

Propriétés fines des trajectoires du mouvement brownien fractionnaire

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Dating Death: An Empirical Comparison of Medical Underwriters in the U.S. Life Settlements Market

On the Size of K-Cross-Free Families

Statistical Aspects of Wasserstein Distances

Optimistic Distributionally Robust Optimization for Nonparametric Likelihood Approximation

Stable high-order randomized cubature formulae in arbitrary dimension

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

MATHICSE Technical Report : Discrete least-squares approximations over optimized downward closed polynomial spaces in arbitrary dimension

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

Filtration Shrinkage, Strict Local Martingales And The Follmer Measure

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

Statistical Aspects of Wasserstein Distances

Optimistic Distributionally Robust Optimization for Nonparametric Likelihood Approximation

Dating Death: An Empirical Comparison of Medical Underwriters in the U.S. Life Settlements Market

MATHICSE Technical Report : Discrete least-squares approximations over optimized downward closed polynomial spaces in arbitrary dimension

Filtration Shrinkage, Strict Local Martingales And The Follmer Measure

Stable high-order randomized cubature formulae in arbitrary dimension

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

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

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

On the Size of K-Cross-Free Families