Bernard Caron (Diretor do LLACAN- Centro de Pesquisas do CNRS - Paris)

Universités de Paris 6 & Paris 7 - CNRS ( UMR 7599 ) PRÉPUBLICATIONS DU LABORATOIRE DE PROBABILITÉS & MODÈLES ALÉATOIRES

In this paper, we use probabilistic methods of excursion theory for Lévy processes in order to value some exotic options in general exponential Lévy models. AMS 2000 Subject Classification : Primary: 60G51, 91B28, 91B70. JEL Classification: C13.

Universités de Paris 6 & Paris 7 - CNRS ( UMR 7599 ) PRÉPUBLICATIONS DU LABORATOIRE DE PROBABILITÉS & MODÈLES ALÉATOIRES

Given a sequence of random polynomials, we show that, under some very general conditions, the roots tend to cluster near the unit circle, and their angles are uniformly distributed. In particular, we do not assume independence or equidistribution of the coefficients of the polynomial. We apply this result to various problems in both random and deterministic sequences of polyno-mials, including ...

Le Centre de Reanimation respiratoire de l'Hopital Claude-Bernard, Paris.

Universités de Paris 6 & Paris 7 - CNRS ( UMR 7599 ) PRÉPUBLICATIONS DU LABORATOIRE

We propose a statistical index for measuring the fluctuations of a stochastic process ξ. This index is based on the generalized Lorenz curves and (modified) Gini indices of econometric theory. When ξ is a fractional Brownian motion with Hurst index α ∈ (0, 1), we develop a complete picture of the asymptotic theory of our index. In particular, we show that the asymptotic behavior of our proposed...

Universités de Paris 6 & Paris 7 - CNRS ( UMR 7599 ) PRÉPUBLICATIONS DU LABORATOIRE

Motivated by a problem arising in mining industry, we estimate the energy E(η) which is needed to reduce a unit mass to fragments of size at most η in a fragmentation process, when η → 0. We assume that the energy used by the instantaneous dislocation of a block of size s into a set of fragments (s1, s2, ...), is sφ(s1/s, s2/s, ..), where φ is some cost-function and β a positive parameter. Roug...