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).


Reset

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