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Axis 1 : Risk measures and sustainability of public security systems (Modelling and New Risks measures)2018

  • Alili L., Chaumont L., Graczyk P. and Zak T., Space and time inversions of stochastic processes and Kelvin transform. Mathematische Nachrichten, 1–21,2018.
  • Charles A., and Darne O., Volatility estimation for Bitcoin: Replication and robustness, International Economics, forthcoming.
  • Chaumont L. and Małecki J., Short proofs in extrema of spectrally one sided Lévy processes. Electron. Commun. Probab. 23, no. 55, 1-12, 2018.
  • Chaumont L. and Nguyen T.N.A., On mutations in the branching model for multitype populations. Adv. in Appl. Probab. 50, no. 2, 2018.
  • Garbit R.,On the exit time from an orthant for badly oriented random walks. Brazilian Journal of Probability and Statistics, Vol. 32, no. 1, p. 117-146, 2018.
  • Graczyk P., Ishi H., Kolodziejek B., Wishart laws and variance function on homogeneous cones, to appear in Prob. Mathematical Stat., pp. 1-24, 2018.
  • Karamé F., A Likelihood-based Approach to Estimate Nonlinear/Non Gaussian Models with Markov-Switching (with an application to MS Stochastic Volatility Models) Econometrics & Statistics, 8, 204-230, 2018 (special issue on risk management edited by J.M. Maheu, M. Paolella, T.K. Siu and M.K.P. So)
  • Kleptsyna M., Chigansky P., Exact asymptotics in eigenproblems for fractional Brownian covariance operators, Stochastic Processes and their Applications, vol. 128, N 6, 2007-2059, 2018.
  • Kleptsyna M., Chigansky P., Statistical analysis of the mixed fractional Ornstein—Uhlenbeck process, Theory of Probability and its Applications, v.63, N3, 500-519, 2018.
  • Kutoyants Yu., Kordzakhia N., Novikov A., Hin L.-Y. On limit distributions of estimators in irregular statistical models and a new representation of fractional Brownian motion. Statist. Probab. Letters. 139, 141-151, 2018.
  • Kutoyants Yu. A., Chernoyarov O.V., and Top A., On multiple change-point estimation for Poisson process. Communications in Statistics - Theory and Methods, 47, 5, 1215-1233, 2018.
  • Kutoyants Yu. A., Khasminskii, R. Z., On parameter estimation of hidden telegraph process. Bernoulli, 24, 3, 2064-2090. 2018.
  • Kutoyants Yu. A., Dachian S., Kordzakhia N., Novikov A., Estimation of cusp location of stochastic processes : a survey., Stat. Inference Stoch. Process. 21, 2, 345-362, 2018.
  • Kutoyants Yu. A., Dabye A. S., Gounoung A.A., Method of moments estimators and Multi-step MLE for Poisson processes. Journal of Contemporary Mathematical Analysis, 53, 4, 31-45, 2018.
  • Kutoyants, Yu. A., Chernoyarov, O.V., and Trifonov, A.P. On misspecifications in regularity and properties of estimators. Electronic J. of Statistics, 12, 1, 80-106, 2018.
  • Louhichi W., Bank profitability during and before the financial crisis: Domestic versus foreign banks, Research in International Business and Finance, Elsevier, Numéro 44, pp 26-39, 2018.
  • Lagnoux A., Nguyen T.M.N., Proïa F., On the Bickel-Rosenblatt test of goodness-of-fit for the residuals of autoregressive processes, To appear in ESAIM Probab. Stat. 2018.
  • Proïa F., Soltane M., A test of correlation in the random coefficients of an autoregressive process. Math. Methods Statist. Vol. 26 (2), pp 119-144, 2018.
  • Proïa F., Testing for residual correlation of any order in the autoregressive process. Comm. Stat. Theory and Methods. Vol. 47 (3), pp 628-654, 2018.
  • Proïa F., Stationarity against integration in the autoregressive process with polynomial trend. Probab. Math. Statist. Vol. 38 (1), pp 1-26, 2018.
  • Panloup F., Gadat S., Saadane S., Stochastic Heavy Ball. Electronic Journal of Statistics, Volume 12. Number 1. 461-529. 2018.
  • Panloup F., Gadat S., Saadane S., Regret bounds for Narendra-Shapiro bandit algorithms. Stochastics. Volume 90. Issue 6. 886-926. 2018.
  • Panloup F., Deya A., Tindel S., Rate of convergence to equilibrium of fractional driven stochastic differential equations with rough multiplicative noise, To appear in Annals of Probability. 51 p.
  • Panloup F., Benaim M., Cloez B., Stochastic approximation of Quasi-Stationary Distributions on compact spaces and Applications.  Annals of Applied Probability.  Vol. 28 (4), 2370–2416. 2018.
  • Panloup F., Pages G., Weighted Multilevel Langevin Ergodic Simulation of Invariant Measures. Annals of Applied Probability. Vol. 28. Number 6. 3358-3417. 2018.
  • Salminen P., Vostrikova L., On exponential functionals of processes with independent increment, Teor. Veroyatnost. i Primenen., 2018, Volume 63, Issue 2, Pages 330–357.
  • Salminen P., Vostrikova L., On moments of exponential functionals of additive processes. Statistics and Probability Letters, 2018 ( small revisions)

Published on July 6, 2022

Publications 2017

  • Alili L., Chaumont L., Graczyk P., and Zak T., Space-time inversions of stochastic processes and Kelvin transform.
  • Benaim M., Cloez B., Panloup F. Stochastic approximation of Quasi-Stationary Distributions on compact spaces and Applications. À paraître dans Annals of Applied Probability (soumis en 2016).
  • Charles A., and Darné O., Forecasting crude oil market volatility: Further evidence with jumps. Energy Economics, 67, 508-519, 2017 https://doi.org/10.1016/j.eneco.2017.09.002
  • Charles A., Darné O., and Kim J., Adaptive markets hypothesis for Islamic stock portfolios: Evidence from Dow Jones size and sector-indices. International Economics, 151, 100-112, 2017 https://doi.org/10.1016/j.inteco.2017.05.002
  • Charles A., Darné O., and Kim J., International stock return predictability: Evidence from new statistical tests. International Review of Financial Analysis, 54, 97-113, 2017 https://doi.org/10.1016/j.irfa.2016.06.005
  • Chaumont L., and Doney R., On distributions determined by their upward, space-time Wiener-Hopf factor. Prépublication Arxiv.
  • Deya A., Panloup F., Tindel S. Rate of convergence to fractional driven stochastic differential equations with rough multiplicative noise. En révision mineure à Annals of Probability. Soumis en 2016
  • Djehiche B., Hamadène S., Morlais M.-A., Zhao X., Hamadene S., On the Equality of Solutions of Max-Min and Min-Max Systems of Variational Inequalities with Interconnected Bilateral Obstacles. J. Math. Anal. Appl. 452 (2017), no. 1, 148–175.
  • Farinetto C. On hypothesis tests for disk-type intensities of spatial poisson processes, Communications in Statistics - Theory and Methods, Volume 46, 2017 - Issue 9
  • Farinetto C. On hypothesis tests in misspecified change-point problems for a Poisson process, Volume 46, 2017 – Issue 20.
  • Maunoury F., Farinetto C., Ruckly S., Guenezan J.,  Lucet J.C., Lepape A., Pascal J., Souweine B., Mimoz O., Timsit J.F., Analyse coût-efficacité des solutions antiseptiques cutanées à base de chlorhexidine-alcool versus solution de povidone iodée-alcool pour la prévention des infections sanguines liées aux cathéters intravasculaires en France,  Plos One: accepté sous conditions de révisions.
  • Fontbona J., Panloup F., Ergodicity of SDEs driven by fractional Brownian motion with multiplicative noise. Annales de l’IHP. Volume 53, Number 2. 503-538. 2017.
  • Gadat S., Panloup F. Optimal non-asymptotic bound of the Ruppert-Polyak averaging without strong convexity. Preprint, 2017
  • Gadat S., Panloup F. Saadane S. Stochastic Heavy Ball. En révision à Electronic Journal of Statistics. Soumis en 2016.
  • Gayant J.-P., Le Pape N., Increasing Nth degree inequality, forthcoming Journal of Mathematical Economics, 2017, DOI : 10.1016/j.jmateco.2017.02.010
  • Gobillon L., Wolff F.-C., Guillotreau P., The effects of buyers and sellers on fish market prices, European Review of Agricultural Economics,2017,  44, 149-177
  • Karamé F., A New Particle Filtering Approach to Estimate Stochastic Volatility Models with Markov-Switching, Soumis en mars 2017 dans “Econometrics and Statistics”. Première révision lourde en Août 2017. Seconde révision plus légère en décembre 2017.
  • Lagnoux A., Nguyen T.M.N., Proïa F., On the Bickel-Rosenblatt test of goodness-of-fit for the residuals of autoregressive processes. Submitted in 2017.
  • Nocera G., Bisetti E., Favero C.A., and Tebaldi C., A Multivariate Model of Strategic Asset Allocation with Longevity Risk, Journal Financial and Quantitative Analysis, 2017, 52(5): 2251-2275
  • Pagès G., Panloup F. Weighted Multilevel Langevin Simulation of Invariant measures. À paraître dans Annals of Applied Probability (soumis en 2016).
  • Proïa F., Soltane M., A test of correlation in the random coefficients of an autoregressive process. Submitted in 2017
  • Proïa F., Testing for residual correlation of any order in the autoregressive process. Comm.Stat. Theory and Methods. 2017.
  • Proïa F., Stationarity against integration in the autoregressive process with polynomial trend. Probab. Math. Statist. 2017.

Published on July 6, 2022

Publications 2015 - 2016

Published on July 6, 2022

Work in progress

  • Barbu V., Gayraud G., Limnios N., Votsi I., Hypotheses testing and posterior concentration rates for semi-Markov processes.
  • Brouste A., Votsi I., Confidence intervals for risk indicators in semi-Markov models: an application to wind energy production.
  • Brouste A., Soltane M. and Votsi I., Volatility estimation for the fractional Gaussian noise model.
  • Brouste A., Matoussi A., Rohmer T., Dutang C., Désert V., Gales E., Golhen P., Lekeufack W. and Milleville B., Solvency tuned premium for a composite loss distribution.
  • Graczyk P., Sawyer P., Integral kernels on complex symmetric spaces and for the Dyson Brownian Motion, 2018, submit, preprint LAREMA.
  • Karamé F., Nguyen H., Dynamic Risk-Taking Behavior of Mutual Funds.
  • Karamé F., Adjemian S., Langot F., Nonlinearities in Unemployment.
  • Louhichi W.,News and Sovereign CDS Spillovers: The Case of the Euro Area Markets, Revise for Bankers, Markets and Investors.
  • Proïa F., Panloup F., Trabelsi C. and Clotault J. Probabilistic reconstruction of genealogies for polyploid plant species. Submitted in 2018.
  • Panloup F. and Richard A. Sub-exponential convergence to equilibrium for Gaussian driven Stochastic Differential Equations with semi-contractive drift. Submitted in 2018.
  • Spielmann J., Vostrikova L., Ruin problem with the investment modeled by semi-martingales, 2018, (submitted).
  • Vostrikova L., On distributions of exponential functionals of the processes with independent increments. 2018.
  • Vostrikova L., Dong Yu., Utility maximization for Levy swithching models, 2018, (submitted).
  • Votsi I., Hamdaoui M., Conditional failure occurrence rates for semi-Markov chains.
  • Votsi, I., Reliability indicators for hidden Markov renewal models, Reliability Engineering : theory and Applications.
  • Votsi I., Limnios N., Papadimitriou E., Tsaklidis G., Earthquake statistical study by a multistate modeling approach, ISTE Editions.

Published on July 6, 2022