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Scaling Limits of Solutions of Linear Stochastic Differential Equations Driven by Levy White Noises

Publications associées (45)

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Theory of random fields or random processes is presented with an emphasis on the possible choices of correlation functions. Then two methods for generating Gaussian random fields in Rd are presented. The first method is a direct one but does not work for a ...

2009

This work proposes and analyzes an anisotropic sparse grid stochastic collocation method for solving partial differential equations with random coefficients and forcing terms ( input data of the model). The method consists of a Galerkin approximation in th ...

Society for Industrial and Applied Mathematics2008

We study the simple random walk on the n-dimensional hypercube, in particular its hitting times of large (possibly random) sets. We give simple conditions on these sets ensuring that the properly rescaled hitting time is asymptotically exponentially distri ...

2008

Some results for long-range exclusion processes

Thomas Mountford

We examine the long-range exclusion process introduced by Spitzer and studied by Liggett and answer some of the open questions raised by Liggett. In particular, we show the existence of equilibria corresponding to bounded dual harmonic functions and that t ...

2008

An optimal prediction problem in financial modelling

Violetta Bernyk

The subject of the present thesis is an optimal prediction problem concerning the ultimate maximum of a stable Lévy process over a finite interval of time. Such "optimal prediction" problems are of both theoretical and practical interest, in particular the ...

EPFL2007

REVERSE TRANSFER OF NANOSTENCIL PATTERNS USING INTERMEDIATE SACRIFICIAL LAYER AND LIFT-OFF

Jürgen Brugger, Marc Antonius Friedrich van den Boogaart, Oscar Vazquez Mena

We have developed a new process for reversing the nanostencil patterns by using an intermediate sacrificial layer. Using this process, we can pattern isolated ‘empty’ shapes with their background filled with a certain material, which is impossible with the ...

2006

Power spectra of random spike fields and related processes

Andrea Ridolfi, Pierre Bremaud

This article reviews known results and contains new ones concerning the power spectra of large classes of signals and random fields driven by an underlying point process, such as spatial shot noises (with random impulse response and arbitrary basic station ...

2005

Ultrawide Bandwidth Signals as Shot-Noise: a Unifying Approach

Andrea Ridolfi

This paper presents general methods for obtaining power spectra of a large class of signals and random fields driven by an underlying point processes, in particular spatial shot noises with random impulse response and arbitrary basic stationary point proce ...

2005

Generalizing the Affine Framework to HJM and Random Field Models

Pierre Collin Dufresne

We identify a class of term structure models possessing a generalized affine-structure that significantly extends the class studied by Duffie, Pan, and Singleton (2000) and Chacko and Das (2002). This class of models, which includes both infinite-state-var ...

Columbia Business School2003

Calculation of geological uncertainties associated with 3-D geological models

Ian Pomian-Srzednicki

3-D geological models are built with data collected in the field such as boreholes, geophysical measurements, pilot shafts or geological mapping. Unfortunately, these data are always limited in number. It implies that geological information is sparse and s ...

EPFL2002