Chaumont, Loïc
- Conditioned stable Lévy processes and Lamperti representation
2006/03/27 by María Emilia Caballero, Caballero, Maria Emilia, Loïc Chaumont +1 · 2 citations
Business, Management and Accounting · Decision Sciences · Economics, Econometrics and Finance · #60 B #60 G 18 #60 G 51 #Advanced Queuing Theory Analysis #FOS: Mathematics #Probability (math.PR) #Probability and Risk Models #Stochastic processes and financial applications
- Inversion, duality and Doob h-transforms for self-similar Markov processes
2016/01/29 by Alili, Larbi, Chaumont, Loïc, Graczyk, Piotr +1 · 2 citations
#60J45 #FOS: Mathematics #Probability (math.PR)
- Space and time inversions of stochastic processes and Kelvin transform
2017/04/04 by Larbi Alili, Loïc Chaumont, Alili, Larbi +5 · 2 citations
Economics, Econometrics and Finance · Mathematics · #31C05 (Primary) #60J45 #60J60 (Secondary) #60J65 #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Random Matrices and Applications #Stochastic processes and financial applications
- The lower envelope of positive self-similar Markov processes
2006/01/09 by Loïc Chaumont, Juan Carlos Pardo, Chaumont, Loïc +1 · 1 citation
Economics, Econometrics and Finance · Mathematics · #60 B 10 #60 G 18 #60 G 51 #FOS: Mathematics #Mathematical Dynamics and Fractals #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics
- Invariance principles for local times at the supremum of random walks and Lévy processes
2009/03/22 by Loïc Chaumont, Chaumont, Loïc, Ron Doney +1 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Probability (math.PR) #Probability and Risk Models #Stochastic processes and financial applications #Stochastic processes and statistical mechanics
- An invariance principle for random walk bridges conditioned to stay\n positive
2012/04/27 by Francesco Caravenna, Loïc Chaumont, Caravenna, Francesco +1 · 1 citation
Decision Sciences · Mathematics · #60B10 #60G50 #60G51 #FOS: Mathematics #Markov Chains and Monte Carlo Methods #Probability (math.PR) #Probability and Risk Models #Stochastic processes and statistical mechanics
- Extinction times of multitype, continuous-state branching processes
2021/09/07 by Loïc Chaumont, Chaumont, Loïc, Marine Marolleau +1 · 1 citation
Business, Management and Accounting · Mathematics · Physics and Astronomy · #60J80 #Advanced Queuing Theory Analysis #FOS: Mathematics #Probability (math.PR) #Stochastic processes and statistical mechanics #Theoretical and Computational Physics
- Creeping of Lévy processes through curves
2022/05/13 by Loïc Chaumont, Chaumont, Loïc, Thomas Pellas +1 · 1 citation
Business, Management and Accounting · Decision Sciences · Mathematics · #60G50 #Advanced Queuing Theory Analysis #FOS: Mathematics #Probability (math.PR) #Probability and Risk Models #Stochastic processes and statistical mechanics