ESAIM: Probability and Statistics (ESAIM: P&S)

Table of contents

ESAIM: P&S Vol. 11

ESAIM: P&S

Vol. 11, 2007

Special Issue: "Stochastic analysis and mathematical finance"
in honor of Nicole El Karoui's 60th birthday
Numéro spécial : "Du calcul stochastique à la finance mathématique"
en l'honneur du 60^e anniversaire de Nicole El Karoui

Preface p. 1
Rama Cont, Jean-Pierre Fouque and Bernard Lapeyre
Published Online: 1 March 2007
PDF file (41.59 KB) | PS file (107.8 KB)

Reflected backward stochastic differential equations with two RCLL barriers p. 3
Jean-Pierre Lepeltier and Mingyu Xu
Published Online: 1 March 2007
Abstract | PDF file (248.5 KB) | PS file (500.3 KB) | References

Some short elements on hedging credit derivatives p. 23
Philippe Durand and Jean-Frédéric Jouanin
Published Online: 1 March 2007
Abstract | PDF file (175.7 KB) | PS file (391.4 KB) | References

Consistent price systems for subfiltrations p. 35
Andrea Gombani, Stefan Jaschke and Wolfgang Runggaldier
Published Online: 1 March 2007
Abstract | PDF file (116.8 KB) | PS file (296.0 KB) | References

A martingale control variate method for option pricing with stochastic volatility p. 40
Jean-Pierre Fouque and Chuan-Hsiang Han
Published Online: 1 March 2007
Abstract | PDF file (222.6 KB) | PS file (451.4 KB) | References

Infinite system of Brownian balls with interaction: the non-reversible case p. 55
Myriam Fradon and Sylvie Roelly
Published Online: 1 March 2007
Abstract | PDF file (311.6 KB) | PS file (596.3 KB) | References

Pricing rules under asymmetric information p. 80
Shigeyoshi Ogawa and Monique Pontier
Published Online: 1 March 2007
Abstract | PDF file (150.2 KB) | PS file (350.3 KB) | References

Press release

Potentials of a Markov process are expected suprema p. 89
Hans Föllmer and Thomas Knispel
Published Online: 1 March 2007
Abstract | PDF file (184.3 KB) | PS file (394.0 KB) | References

Regular Articles
Articles Réguliers

The empirical distribution function for dependent variables: asymptotic and nonasymptotic results in ${\mathbb L}^p$ p. 102
Jérôme Dedecker and Florence Merlevède
Published Online: 31 March 2007
Abstract | PDF file (221.2 KB) | PS file (463.9 KB) | References

Approximation of the fractional Brownian sheet VIA Ornstein-Uhlenbeck sheet p. 115
Laure Coutin and Monique Pontier
Published Online: 31 March 2007
Abstract | PDF file (377.8 KB) | PS file (681.3 KB) | References

Lifetime asymptotics of iterated Brownian motion in $\mathbb$ p. 147
Erkan Nane
Published Online: 31 March 2007
Abstract | PDF file (198.8 KB) | PS file (423.6 KB) | References

Convex rearrangements of Lévy processes p. 161
Youri Davydov and Emmanuel Thilly
Published Online: 31 March 2007
Abstract | PDF file (189.2 KB) | PS file (398.4 KB) | References

Asymptotic properties of power variations of Lévy processes p. 173
Jean Jacod
Published Online: 19 June 2007
Abstract | PDF file (343.9 KB) | PS file (605.5 KB) | References

Entropic Conditions and Hedging p. 197
Samuel Njoh
Published Online: 19 June 2007
Abstract | PDF file (225.4 KB) | PS file (453.7 KB) | References

Discrete Lundberg-type bounds with actuarial applications p. 217
Kristina Sendova
Published Online: 19 June 2007
Abstract | PDF file (221.6 KB) | PS file (465.2 KB) | References

Behavior of the Euler scheme with decreasing step in a degenerate situation p. 236
Vincent Lemaire
Published Online: 19 June 2007
Abstract | PDF file (193.3 KB) | PS file (448.0 KB) | References

Polynomial expansions of density of power mixtures p. 248
Denys Pommeret
Published Online: 19 June 2007
Abstract | PDF file (242.0 KB) | PS file (603.2 KB) | References

Moderate deviations for two sample t-statistics p. 264
Hongyuan Cao
Published Online: 19 June 2007
Abstract | PDF file (142.6 KB) | PS file (331.1 KB) | References

A graph-based estimator of the number of clusters p. 272
Gérard Biau, Benoît Cadre and Bruno Pelletier
Published Online: 19 June 2007
Abstract | PDF file (159.7 KB) | PS file (359.9 KB) | References

Macroscopic non-uniqueness and transversal fluctuation in optimal random sequence alignment p. 281
Saba Amsalu, Heinrich Matzinger and Serguei Popov
Published Online: 19 June 2007
Abstract | PDF file (228.9 KB) | PS file (433.1 KB) | References

A Donsker theorem to simulate one-dimensional processes with measurable coefficients p. 301
Pierre Étoré and Antoine Lejay
Published Online: 17 August 2007
Abstract | PDF file (378.9 KB) | PS file (4.069 MB) | References

Small ball probabilities for stable convolutions p. 327
Frank Aurzada and Thomas Simon
Published Online: 17 August 2007
Abstract | PDF file (230.4 KB) | PS file (476.8 KB) | References

On pointwise adaptive curve estimation based on inhomogeneous data p. 344
Stéphane Gaïffas
Published Online: 17 August 2007
Abstract | PDF file (276.3 KB) | PS file (523.5 KB) | References

Probability density for a hyperbolic SPDE with time dependent coefficients p. 365
Marta Sanz-Solé and Iván Torrecilla-Tarantino
Published Online: 17 August 2007
Abstract | PDF file (235.6 KB) | PS file (493.9 KB) | References

Corrigendum to "Stability of solutions of BSDEs with random terminal time" p. 381
Sandrine Toldo
Published Online: 17 August 2007
Abstract | PDF file (105.4 KB) | PS file (277.8 KB) | References

Homogenization of a semilinear parabolic PDE with locally periodic coefficients: a probabilistic approach p. 385
Abdellatif Benchérif-Madani and Étienne Pardoux
Published Online: 17 August 2007
Abstract | PDF file (298.3 KB) | PS file (574.9 KB) | References

Toward the best constant factor for the Rademacher-Gaussian tail comparison p. 412
Iosif Pinelis
Published Online: 17 August 2007
Abstract | PDF file (245.8 KB) | PS file (860.4 KB) | References

Minimum variance importance sampling via Population Monte Carlo p. 427
R. Douc, A. Guillin, J.-M. Marin and C.P. Robert
Published Online: 17 August 2007
Abstract | PDF file (303.8 KB) | PS file (624.2 KB) | References

The fractional mixed fractional brownian motion and fractional brownian sheet p. 448
Charles El-Nouty
Published Online: 17 August 2007
Abstract | PDF file (215.7 KB) | PS file (443.9 KB) | References