Browsing by Author "Nualart, Eulàlia"

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  • Nualart, Eulàlia (Institut d’Estudis Catalans, 2011)
    Durant els anys setanta, el matemàtic francès Paul Malliavin va revolucionar la teoria de les probabilitats quan va introduir el càlcul de variacions estocàstic que avui porta el seu nom. Malliavin va construir una ...
  • Dalang, Robert C.; Khoshnevisan, Davar; Nualart, Eulàlia; Wu, Dongsheng; Xiao, Yimin (Institute of Mathematical Statistics (IMS), 2012)
    We derive a decoupling formula for the Brownian sheet which has the following ready consequence: An N-parameter Brownian sheet in Rd has double points if and only if d<4N. In particular, in the critical case where d=4N, ...
  • Sun, Yucheng (Universitat Pompeu Fabra, 2017-03-16)
    Based on high-frequency price data, this thesis focuses on estimating the realized covariance and the integrated volatility of asset prices, and applying volatility estimation to price jump detection. The first chapter ...
  • Dalang, Robert C.; Khoshnevisan, Davar; Nualart, Eulàlia (Springer, 2009)
    We consider a system of d non-linear stochastic heat equations in spatial dimension 1 driven by d-dimensional space-time white noise. The non-linearities appear both as additive drift terms and as multipliers of the noise. ...
  • Kohatsu, Arturo; Nualart, Eulàlia; Tran, Ngoc Khue (Taylor & Francis (Routledge), 2017)
    In this paper, we consider a multidimensional ergodic diffusion with jumps driven by a Brownian motion and a Poisson random measure associated with a compound Poisson process, whose drift coefficient depends on an unknown ...
  • Nualart, Eulàlia; Mountford, Thomas S. (Institute of Mathematical Statistics (IMS), 2004)
    We use Girsanov's theorem to establish a conjecture of Khoshnevisan, Xiao and Zhong that ϕ(r)=rN−d/2(loglog(1r))d/2 is the exact Hausdorff measure function for the zero level set of an N-parameter d-dimensional additive ...
  • Khoshnevisan, Davar; Nualart, Eulàlia (International Statistical Institute, Bernoulli Society for Mathematical Statistics and Probability, 2008)
    We consider the solution {u(t, x); t≥0, x∈R} of a system of d linear stochastic wave equations driven by a d-dimensional symmetric space-time Lévy noise. We provide a necessary and sufficient condition on the characteristic ...
  • Baudoin, Fabrice; Nualart, Eulàlia; Ouyang, Cheng; Tindel, Samy (Institute of Mathematical Statistics (IMS), 2016)
    This article investigates several properties related to densities of solutions (Xt)t∈[0,1] to differential equations driven by a fractional Brownian motion with Hurst parameter H>1/4. We first determine conditions for ...
  • Dalang, Robert C.; Nualart, Eulàlia (Institute of Mathematical Statistics (IMS), 2004)
    We give general sufficient conditions which imply upper and lower bounds for the probability that a multiparameter process hits a given set E in terms of a capacity of E related to the process. This extends a result of ...
  • Delarue, François; Menozzi, Stéphane; Nualart, Eulàlia (Institute of Mathematical Statistics (IMS), 2015)
    In this paper we prove that the spatially homogeneous Landau equation for Maxwellian moleculescan be represented through the product of two elementary stochastic processes. The first one is the Brownian motion on the group ...