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author = "Martínez, Miguel"
<< < 2 3 4 5 6 > >>

Found 158 documents, displaying page 4 of 16

Distance between two skew Brownian motions as a SDE with jumps and law of the hitting time

Author(s) : Gloter, Arnaud , Martinez, Miguel
Description : In this paper, we consider two skew Brownian motions, driven by the same Brownian motion, with different starting points and different skewness coefficients. We show that we can describe the evolution of the distance between the two processes with a stochastic differential equation. This S.D.E. poss...
Repository : HAL - Hyper Article on Line
Language(s) : English

Exact Simulation of One-dimensional Stochastic Differential Equations involving the local time at zero of the unknown process

Author(s) : Etore, Pierre , Martinez, Miguel
Description : In this article we extend the exact simulation methods of Beskos et al. to the solutions of one-dimensional stochastic differential equations involving the local time of the unknown process at point zero. In order to perform the method we compute the law of the skew Brownian motion with drift. The m...
Repository : HAL - Hyper Article on Line
Language(s) : English

On the existence of a time inhomogeneous skew Brownian motion and some related laws

Author(s) : Etore, Pierre , Martinez, Miguel
Description : This article is devoted to the construction of a solution for the "skew inhomogeneous Brownian motion" equation, which first appear in a seminal paper by Sophie Weinryb (1983). We investigate some laws related to the constructed process. In particular, using the description of the straddling excursi...
Repository : HAL - Hyper Article on Line
Language(s) : English

Exact simulation for solutions of one-dimensional Stochastic Differential Equations with discontinuous drift

Author(s) : Etore, Pierre , Martinez, Miguel
Description : In this note we propose an exact simulation algorithm for the solution of dX_t=dW_t+b(X_t)dt (1) where b is a smooth real function except at point 0 where b(0+)\neq b(0-). The main idea is to sample an exact skeleton of X using an algorithm deduced from the convergence of the solutions of the skew p...
Repository : HAL - Hyper Article on Line
Language(s) : English

A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients

Author(s) : Lejay, Antoine , Martinez, Miguel
Description : The aim of this article is to provide a scheme for simulating diffusion processes evolving in one-dimensional discontinuous media. This scheme does not rely on smoothing the coefficients that appear in the infinitesimal generator of the diffusion processes, but uses instead an exact description of t...
Repository : HAL - Hyper Article on Line
Language(s) : English

One-Dimensional Parabolic Diffraction Equations: Pointwise Estimates and Discretization of Related Stochastic Differential Equations With Weighted Local Times

Author(s) : Martinez, Miguel , Talay, Denis
Description : In this paper we consider one-dimensional partial differential equations of parabolic type involving a divergence form operator with a discontinuous coefficient and a transmission compatibility condition. We prove existence and uniqueness result by stochastic methods which also allow us to develop a...
Repository : HAL - Hyper Article on Line
Language(s) : English

Photographier la peinture : de la photographie document de l'oeuvre à la photographie de notation

Author(s) : Molina Martinez, Miguel-Angel
Description : Les taches de couleur au sol ont toujours existé dans l'atelier. Je ne sais comment, subitement, un jour, je les ai vues, non pas comme une saleté "pittoresque", mais comme de la peinture, une peinture sur le sol, des prolongations du tableau en dehors de ses limites. J'ai photographié ces taches de...
Repository : HAL - Hyper Article on Line
Language(s) : French

Investigar en enfermería. Concepto y estado actual de la investigación en enfermería

Author(s) : Cabrero García Julio , Richart Martínez Miguel
Description :
Repository : DOAJ-Articles
Language(s) : Undetermined

Distance between two skew Brownian motions as a SDE with jumps and law of the hitting time

Author(s) : Gloter, Arnaud , Martinez, Miguel
Description : In this paper, we consider two skew Brownian motions, driven by the same Brownian motion, with different starting points and different skewness coefficients. We show that we can describe the evolution of the distance between the two processes with a stochastic differential equation. This S.D.E. po...
Repository : arXiv
Language(s) : Undetermined

Exact Simulation of One-dimensional Stochastic Differential Equations involving the local time at zero of the unknown process

Author(s) : Etore, Pierre , Martinez, Miguel
Description : In this article we extend the exact simulation methods of Beskos et al. to the solutions of one-dimensional stochastic differential equations involving the local time of the unknown process at point zero. In order to perform the method we compute the law of the skew Brownian motion with drift. The...
Repository : arXiv
Language(s) : Undetermined
<< < 2 3 4 5 6 > >>

Found 158 documents, displaying page 4 of 16