Processus stochastiques

Les processus de diffusions et de Lévy

(Lévy and diffusion processes)

 

    • P. CALKA, A. MEZIN et P. VALLOIS : Statistical and renewal results for the random sequential adsorption model applied to a unidirectional multicracking problem. Stochastic Processes and their Applications, Vol 115, 6., 983-101 (2005), cliquer ici.
    • P. SALMINEN et P. VALLOIS: On first range times of linear diffusions. Journal of Theoretical Probability, Vol 18, 3., .567-593 (2005), cliquer ici.
    • E. TANRE et P. VALLOIS: Range of  Brownian motion with drift. Journal of Theoretical Probability,  Vol 19, 1, 45-69 (2006), cliquer ici.
    • P. SALMINEN et P. VALLOIS :On maximum increase and decrease of Brownian motion. Ann. I. H. Poincaré, PR43, 655-676 (2007), cliquer ici
    • P. SALMINEN, P. VALLOIS, M. YOR : On the excursion theory for linear diffusions. Japan. J. Math. 2, 97-127 (2007), cliquer ici.
    • B. ROYNETTE, P. VALLOIS, A. VOLPI : Asymptotic behavior of the hitting time, overshoot and undershoot for some Lévy processes. ESAIM PS, Vol 12, 58-97 (2008), cliquer ici.
    • P. SALMINEN et P. VALLOIS : On subexponentiality of the Lévy measure of the diffusion inverse local time; with applications to penalizations. Electronic Journal of Probability, Vol 14, 67, 1963-1991 (2009), cliquer ici.
    • J-S GIET, S. WANTZ-MÉZIÈRES, P. VALLOIS;  The logistic SDE. Theory of Stochastic Processes. Vol. 20 (36), 1, pp. 28-62, (2015), cliquer ici.
    • S. ROELLY, P. VALLOIS : Convoluted Brownian motion: a semimartingale approach. Theory of Stochastic Processes Vol. 21 (37), 2, 58-83 (2016), cliquer ici.
    • P. SALMINEN et P. VALLOIS : On maximum increase and decrease of one-dimensional diffusions. Stochastic Processes and their Applications, 130, 5592-5604, (2020), cliquer ici.
    • J. RANDON-FURLING, P. SALMINEN et P. VALLOIS : On a first hit distribution of the running maximum of Brownian motion. Article accepté le 29 décembre 2021 à Stochastic Processes and their Applications, cliquer ici.

Les processus à mémoire courte ou variable

(Processes with either short or variable memory)

  • C. TAPIERO, P. VALLOIS : Memory-based persistence in a counting random walk process. Physica A, Vol 386, 1, 303-317 (2007), cliquer ici.
  • C. TAPIERO, P. VALLOIS : A claims persistence process and insurance. Insurance : Mathematics and Economics 44, 367-373 (2009), cliquer ici.
  • S. HERRMANN, P. VALLOIS : From persistent random walk to the telegraph noise. Stochastics and Dynamics, Vol 10, N 2, 161-196 (2010), cliquer ici.
  • P. CENAC, B. CHAUVIN, S. HERRMANN et P. VALLOIS : Persistent random walks, variable length Markov chains and piecewise deterministic Markov processes. Markov Processes and Relat. Fields 19 (1), 1-50 (2013), cliquer ici.