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Classical peaks over threshold analysis is widely used for statistical modeling of sample extremes, and can be supplemented by a model for the sizes of clusters of exceedances. Under mild conditions a compound Poisson process model allows the estimation of ...
Let X = {X(t); t ∈ RN} be a (N,d) fractional Brownian motion in Rd of index H ∈ (0,1). We study the local time of X for all temporal dimensions N and spatial dimensions d for which local time exist. We obtain two main results : R1. If we denote by Lx(I) th ...
We consider a two-type contact process on Z in which both types have equal finite range and supercritical infection rate. We show that a given type becomes extinct with probability 1 if and only if, in the initial configuration, it is confined to a finite ...
Molecular noise, which arises from the randomness of the discrete events in the cell, significantly influences fundamental biological processes. Discrete-state continuous-time stochastic models (CTMC) can be used to describe such effects, but the calculati ...
In this paper, we compare two methods to model the formation of choice sets in the context of discrete choice models. The first method is the probabilistic approach proposed by Manski in 1977, who models the choice probability as the joint probability of s ...
We introduce the notion of permissiveness in transactional memories (TM). Intuitively, a TM is permissive if it never aborts a transaction when it need not. More specifically, a TM is permissive with respect to a safety property p if the TM accepts every ...
In this paper, we compare two methods to model the formation of choice sets in the context of discrete choice models. The first method is the probabilistic approach proposed by Manski (1977), who models the choice probability as the joint probability of se ...
This paper studies the price of an asset depending on both a fundamental and possible interventions of an authority. Using the martingale approach in continuous time, we provide closed-form solutions to switching problems involving irreversible, state depe ...
We introduce the notion of permissiveness in transactional memories (TM). Intuitively, a TM is permissive if it never aborts a transaction when it need not. More specifically, a TM is permissive with respect to a safety property p if the TM accepts every h ...
We study bounding approximations for a multistage stochastic program with expected value constraints. Two simpler approximate stochastic programs, which provide upper and lower bounds on the original problem, are obtained by replacing the original stochast ...
