Contributions à l'étude des processus de Lévy et des processus fractionnaires via le calcul de Malliavin et applications en statistiques PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Contributions à l'étude des processus de Lévy et des processus fractionnaires via le calcul de Malliavin et applications en statistiques PDF full book. Access full book title Contributions à l'étude des processus de Lévy et des processus fractionnaires via le calcul de Malliavin et applications en statistiques by Khalifa Es-Sebaiy. Download full books in PDF and EPUB format.
Author: Khalifa Es-Sebaiy
Publisher:
ISBN:
Category :
Languages : en
Pages : 131
Get Book Here
Book Description
Cette thèse se décompose en six chapitres plus ou moins distincts. Cependant, tous font appel au calcul de Malliavin, aux notions de processus gaussien et processus de Lévy, et à leur utilisation en statistique. Chacune des trois parties a fait l’objet de deux articles. Dans la première partie, nous établissons les théorèmes d’Itô et de Tanaka pour le mouvement brownien bi-factionnaire multidimensionnel. Ensuite nous étudions l’existence de la densité d’occupation pour certains processus en relation avec le mouvement brownien fractionnaire. Dans la deuxième partie, nous analysons, dans un premier temps, le comportement asymptotique de la variation cubique pour le processus de Rosenblatt. Dans un deuxième temps, nous construisons d’une part des estimateurs biaisés de type James-stein qui dominent, sous le risque quadratique usuel, l’estimateur du maximum de vraisemblance. La dernière partie présente deux travaux. Dans le premier, nous utilisons une approche menant à un calcul de Malliavin pour les processus de Lévy, qui a été développée récemment par Solé et al. [106], et nous étudions des processus anticipés de type intégrale d’Itô-skorohod (au sens de [111] sur l’espace de Lévy. Dans le deuxième, nous étudions le lien entre les processus stables et les processus auto-similaires, à travers des processus qui sont infiniment divisibles en temps.
Author: Khalifa Es-Sebaiy
Publisher:
ISBN:
Category :
Languages : en
Pages : 131
Get Book Here
Book Description
Cette thèse se décompose en six chapitres plus ou moins distincts. Cependant, tous font appel au calcul de Malliavin, aux notions de processus gaussien et processus de Lévy, et à leur utilisation en statistique. Chacune des trois parties a fait l’objet de deux articles. Dans la première partie, nous établissons les théorèmes d’Itô et de Tanaka pour le mouvement brownien bi-factionnaire multidimensionnel. Ensuite nous étudions l’existence de la densité d’occupation pour certains processus en relation avec le mouvement brownien fractionnaire. Dans la deuxième partie, nous analysons, dans un premier temps, le comportement asymptotique de la variation cubique pour le processus de Rosenblatt. Dans un deuxième temps, nous construisons d’une part des estimateurs biaisés de type James-stein qui dominent, sous le risque quadratique usuel, l’estimateur du maximum de vraisemblance. La dernière partie présente deux travaux. Dans le premier, nous utilisons une approche menant à un calcul de Malliavin pour les processus de Lévy, qui a été développée récemment par Solé et al. [106], et nous étudions des processus anticipés de type intégrale d’Itô-skorohod (au sens de [111] sur l’espace de Lévy. Dans le deuxième, nous étudions le lien entre les processus stables et les processus auto-similaires, à travers des processus qui sont infiniment divisibles en temps.
Author: Khalifa Es-Sebaiy
Publisher:
ISBN: 9783838141893
Category :
Languages : fr
Pages : 140
Get Book Here
Book Description
Author: Jean-François Renaud
Publisher:
ISBN:
Category :
Languages : en
Pages : 212
Get Book Here
Book Description
Author: Paul Malliavin
Publisher: Springer Science & Business Media
ISBN: 3540307990
Category : Business & Economics
Languages : en
Pages : 148
Get Book Here
Book Description
Highly esteemed author Topics covered are relevant and timely
Author: Yury A. Kutoyants
Publisher: Springer Science & Business Media
ISBN: 144713866X
Category : Mathematics
Languages : en
Pages : 493
Get Book Here
Book Description
The first book in inference for stochastic processes from a statistical, rather than a probabilistic, perspective. It provides a systematic exposition of theoretical results from over ten years of mathematical literature and presents, for the first time in book form, many new techniques and approaches.
Author: Anastasios Tsiatis
Publisher: Springer Science & Business Media
ISBN: 0387373454
Category : Mathematics
Languages : en
Pages : 392
Get Book Here
Book Description
This book summarizes current knowledge regarding the theory of estimation for semiparametric models with missing data, in an organized and comprehensive manner. It starts with the study of semiparametric methods when there are no missing data. The description of the theory of estimation for semiparametric models is both rigorous and intuitive, relying on geometric ideas to reinforce the intuition and understanding of the theory. These methods are then applied to problems with missing, censored, and coarsened data with the goal of deriving estimators that are as robust and efficient as possible.
Author: Alexander V. Sergienko
Publisher: CRC Press
ISBN: 1420026607
Category : Science
Languages : en
Pages : 248
Get Book Here
Book Description
All current methods of secure communication such as public-key cryptography can eventually be broken by faster computing. At the interface of physics and computer science lies a powerful solution for secure communications: quantum cryptography. Because eavesdropping changes the physical nature of the information, users in a quantum exchange can easily detect eavesdroppers. This allows for totally secure random key distribution, a central requirement for use of the one-time pad. Since the one-time pad is theoretically proven to be undecipherable, quantum cryptography is the key to perfect secrecy. Quantum Communications and Cryptography is the first comprehensive review of the past, present, and potential developments in this dynamic field. Leading expert contributors from around the world discuss the scientific foundations, experimental and theoretical developments, and cutting-edge technical and engineering advances in quantum communications and cryptography. The book describes the engineering principles and practical implementations in a real-world metropolitan network as well as physical principles and experimental results of such technologies as entanglement swapping and quantum teleportation. It also offers the first detailed treatment of quantum information processing with continuous variables. Technologies include both free-space and fiber-based communications systems along with the necessary protocols and information processing approaches. Bridging the gap between physics and engineering, Quantum Communications and Cryptography supplies a springboard for further developments and breakthroughs in this rapidly growing area.
Author: Anatoly A. Karatsuba
Publisher: Walter de Gruyter
ISBN: 3110886146
Category : Mathematics
Languages : en
Pages : 409
Get Book Here
Book Description
The aim of the series is to present new and important developments in pure and applied mathematics. Well established in the community over two decades, it offers a large library of mathematics including several important classics. The volumes supply thorough and detailed expositions of the methods and ideas essential to the topics in question. In addition, they convey their relationships to other parts of mathematics. The series is addressed to advanced readers wishing to thoroughly study the topic. Editorial Board Lev Birbrair, Universidade Federal do Ceará, Fortaleza, Brasil Victor P. Maslov, Russian Academy of Sciences, Moscow, Russia Walter D. Neumann, Columbia University, New York, USA Markus J. Pflaum, University of Colorado, Boulder, USA Dierk Schleicher, Jacobs University, Bremen, Germany
Author: Yiannis N. Moschovakis
Publisher: American Mathematical Soc.
ISBN: 0821848135
Category : Mathematics
Languages : en
Pages : 521
Get Book Here
Book Description
Descriptive Set Theory is the study of sets in separable, complete metric spaces that can be defined (or constructed), and so can be expected to have special properties not enjoyed by arbitrary pointsets. This subject was started by the French analysts at the turn of the 20th century, most prominently Lebesgue, and, initially, was concerned primarily with establishing regularity properties of Borel and Lebesgue measurable functions, and analytic, coanalytic, and projective sets. Its rapid development came to a halt in the late 1930s, primarily because it bumped against problems which were independent of classical axiomatic set theory. The field became very active again in the 1960s, with the introduction of strong set-theoretic hypotheses and methods from logic (especially recursion theory), which revolutionized it. This monograph develops Descriptive Set Theory systematically, from its classical roots to the modern ``effective'' theory and the consequences of strong (especially determinacy) hypotheses. The book emphasizes the foundations of the subject, and it sets the stage for the dramatic results (established since the 1980s) relating large cardinals and determinacy or allowing applications of Descriptive Set Theory to classical mathematics. The book includes all the necessary background from (advanced) set theory, logic and recursion theory.
Author: C. van den Berg
Publisher: Springer Science & Business Media
ISBN: 3642661289
Category : Mathematics
Languages : en
Pages : 205
Get Book Here
Book Description
Classical potential theory can be roughly characterized as the study of Newtonian potentials and the Laplace operator on the Euclidean space JR3. It was discovered around 1930 that there is a profound connection between classical potential 3 theory and the theory of Brownian motion in JR . The Brownian motion is determined by its semigroup of transition probabilities, the Brownian semigroup, and the connection between classical potential theory and the theory of Brownian motion can be described analytically in the following way: The Laplace operator is the infinitesimal generator for the Brownian semigroup and the Newtonian potential kernel is the" integral" of the Brownian semigroup with respect to time. This connection between classical potential theory and the theory of Brownian motion led Hunt (cf. Hunt [2]) to consider general "potential theories" defined in terms of certain stochastic processes or equivalently in terms of certain semi groups of operators on spaces of functions. The purpose of the present exposition is to study such general potential theories where the following aspects of classical potential theory are preserved: (i) The theory is defined on a locally compact abelian group. (ii) The theory is translation invariant in the sense that any translate of a potential or a harmonic function is again a potential, respectively a harmonic function; this property of classical potential theory can also be expressed by saying that the Laplace operator is a differential operator with constant co efficients.
