De Saporta, Benoîte - Institut de Mathematiques de Bordeaux, Université Bordeaux

• Stochastic Processes and their Applications 115 (2005) 19541978 Tail of the stationary solution of the stochastic
• Mathematical Optimal Portfolio Allocation under
• Introduction Presentation du mod`ele
• Table des mati`eres Remerciements 3
• Tail of a linear diffusion with Markov switching Beno^ite de Saporta, Jian-Feng Yao
• On the multidimensional stochastic equation Yn+1 = AnYn + Bn
• Approximation of the value function of an impulse control problem of Piecewise
• Numerical method for optimal stopping of hybrid processes
• Analyse asymptotique des processus autoregressifs de bifurcation avec donnees
• Introduction Least square estimations Convergence Further work Asymptotic behavior of bifurcating
• Problme Rsolution Rsultats Conclusion Arrt optimal pour la maintenance prdictive
• PDMP's Optimal stopping SDE's Numerical method Numerical results Numerical method for optimal stopping of piecewise
• Introduction Coefficients
• Introduction Dimension 1
• optimale de portefeuille
• Introduction Programming
• university-logo Introduction
• Introduction Model and LSE Martingale approach 2 and estimators Simulation
• Journes MAS 2008, Rennes Processus autorgressifs
• Introduction Les rsultats de
• Queue de la solution stationnaire d'un modle auto-rgressif d'ordre 1 coefficients markoviens.
• PDMP's Optimal stopping Numerical method Numerical results Numerical method for optimal stopping of
• Tail of the stationary solution of the stochastic equation Yn+1 = anYn + bn with Markovian coefficients
• Introduction Estimateurs Convergences Analyse asymptotique des processus
• Approximation of the value function of an optimal stopping problem for piecewise deterministic Markov processes
• optimale de portefeuille
• Numerical method for the distribution of a service time Adrien Brandejsky1,2
• ASYMPTOTIC ANALYSIS FOR BIFURCATING AUTOREGRESSIVE PROCESSES VIA A MARTINGALE
• Renewal theorem for a system of renewal equations Theor`eme de renouvellement pour un syst`eme d'equations de
• Technical Analysis compared to mathematical models under misspecification
• Introduction Auto-rgressions rgime markovien
• optimale de portefeuille
• Queue de la solution stationnaire d'un modle auto-rgressif d'ordre 1 coefficients markoviens.
• Introduction Stratgie Mthode numrique Exemple Perspectives Mthode numrique pour le contrle optimal des
• PMDM Arrt optimal Mthode numrique Rsultats numriques Mthode numrique pour l'arrt optimal des
• optimale de portefeuille
• Numerical method for optimal stopping of piecewise deterministic Markov processes
• PDMP's Optimal stopping Numerical method Numerical results Numerical method for optimal stopping of
• Bibliographie [1] Arjas, E., and Speed, T. P. An extension of Cramer's estimate for the
• Submitted to the Annals of Applied Probability NUMERICAL METHOD FOR OPTIMAL STOPPING OF PIECEWISE
• optimale de portefeuille
• Allocation de portefeuille
• ASYMPTOTIC ANALYSIS FOR BIFURCATING AUTOREGRESSIVE PROCESSES VIA A MARTINGALE
• Queue de la solution stationnaire d'un modle auto-rgressif d'ordre 1 coefficients markoviens.
• Renewal theorem for a system of renewal equations Beno^ite de Saporta (presenting the work)
• Problme Rsolution Rsultats Conclusion Arrt optimal pour la maintenance prdictive
• Queue de la solution stationnaire d'un modle auto-rgressif d'ordre 1 coefficients markoviens.
• Tail of a linear diffusion with Markov Queue d'une diffusion lineaire `a regime
• Motivation Model Limit theorems Symmetry tests Application Limit theorems for Bifurcating Auto-Regressive