Patrimony
The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).
Predictable representation property for progressive enlargements of a poisson filtration.
Poisson process, Predictable representation property, Progressive enlargement, Random time
Dependence modeling between continuous time stochastic processes : an application to electricity markets modeling and risk management.
Bandwidth selection, Brownian motion, Copula, Copule, Dependence, Dépendance, Electricity markets, Estimateur à polynômes locaux, Estimation non paramétrique, Finance mathématique, Gestion des risques, High frequency statistics, Intensité stochastique, Inégalité oracle, Local polynomial estimation, Marchés de l'électricité, Mathematical finance, Mouvement Brownien, Non parametric estimation, Oracle inequality, Pics, Poisson process, Processus de Poisson, Production éolienne, Risk management, Semimartingale, Spikes, Statistique haute fréquence, Stochastic intensity, Sélection de fenêtre, Wind production
Uniform Deconvolution for Poisson Point Processes.
Adaptive estimation, Convolution, Poisson process
Goodness-of-Fit Tests and Nonparametric Adaptive Estimation for Spike Train Analysis.
Adaptive estimation, Goodness-of-fit test, Hawkes process, Point processes, Poisson process, Spike trains analysis
Closed-form and numerical computations of actuarial indicators in ruin theory and claim reserving.
Claim reserving, Non-life insurance, Poisson process, Ruin theory
Minimax Optimality in Robust Detection of a Disorder Time in Poisson Rate.
Change-Point, Poisson Process, Robust Sequential Detection
Dependence modeling between continuous time stochastic processes : an application to electricity markets modeling and risk management.
Bandwidth selection, Brownian motion, Copula, Copule, Dependence, Dépendance, Electricity markets, Estimateur à polynômes locaux, Estimation non paramétrique, Finance mathématique, Gestion des risques, High frequency statistics, Intensité stochastique, Inégalité oracle, Local polynomial estimation, Marchés de l'électricité, Mathematical finance, Mouvement Brownien, Non parametric estimation, Oracle inequality, Pics, Poisson process, Processus de Poisson, Production éolienne, Risk management, Semimartingale, Spikes, Statistique haute fréquence, Stochastic intensity, Sélection de fenêtre, Wind production