20 results on '"Réveillac, Anthony"'
Search Results
2. Explicit correlations for the Hawkes processes *
- Author
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Hillairet, Caroline, Réveillac, Anthony, Ecole Nationale de la Statistique et de l'Analyse Economique (ENSAE), Ecole Nationale de la Statistique et de l'Analyse Economique, CREST-THEMA, Centre de Recherche en Économie et Statistique (CREST), Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] (ENSAI)-École polytechnique (X)-École Nationale de la Statistique et de l'Administration Économique (ENSAE Paris)-Centre National de la Recherche Scientifique (CNRS)-Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] (ENSAI)-École polytechnique (X)-École Nationale de la Statistique et de l'Administration Économique (ENSAE Paris)-Centre National de la Recherche Scientifique (CNRS)-Théorie économique, modélisation et applications (THEMA), Centre National de la Recherche Scientifique (CNRS)-CY Cergy Paris Université (CY)-Centre National de la Recherche Scientifique (CNRS)-CY Cergy Paris Université (CY), Institut National des Sciences Appliquées - Toulouse (INSA Toulouse), Institut National des Sciences Appliquées (INSA)-Université de Toulouse (UT), Institut de Mathématiques de Toulouse UMR5219 (IMT), Université Toulouse Capitole (UT Capitole), Université de Toulouse (UT)-Université de Toulouse (UT)-Institut National des Sciences Appliquées - Toulouse (INSA Toulouse), Institut National des Sciences Appliquées (INSA)-Université de Toulouse (UT)-Institut National des Sciences Appliquées (INSA)-Université Toulouse - Jean Jaurès (UT2J), Université de Toulouse (UT)-Université Toulouse III - Paul Sabatier (UT3), Université de Toulouse (UT)-Centre National de la Recherche Scientifique (CNRS), Université de Toulouse (UT), Joint Research Initiative 'Cyber Risk : actuarial modeling' with the partnership of AXA Research Fund, ANR-11-LABX-0047,ECODEC,Réguler l'économie au service de la société(2011), Reveillac, Anthony, and Centres d'excellences - Réguler l'économie au service de la société - - ECODEC2011 - ANR-11-LABX-0047 - LABX - VALID
- Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR] ,[MATH.MATH-PR] Mathematics [math]/Probability [math.PR] ,60G55, 60G57, 60H07 ,Probability (math.PR) ,Malliavin calculus ,FOS: Mathematics ,Mathematics Subject Classification (2020): 60G55 60G57 60H07 ,Hawkes processes ,Poisson imbedding representation ,Mathematics - Probability - Abstract
In this paper we fill a gap in the literature by providing exact and explicit expressions for the correlation of general Hawkes processes together with its intensity process. Our methodology relies on the Poisson imbedding representation and on recent findings on Malliavin calculus and pseudo-chaotic representation for counting processes.
- Published
- 2023
3. An expansion formula for Hawkes processes and application to cyber-insurance derivatives.
- Author
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Hillairet, Caroline, Réveillac, Anthony, and Rosenbaum, Mathieu
- Subjects
- *
POISSON processes , *RISK assessment , *MALLIAVIN calculus , *REINSURANCE - Abstract
In this paper we provide an expansion formula for Hawkes processes which involves the addition of jumps at deterministic times to the Hawkes process in the spirit of the well-known integration by parts formula (or more precisely the Mecke formula) for Poisson functional. Our approach allows us to provide an expansion of the premium of a class of cyber insurance derivatives (such as reinsurance contracts including generalized Stop-Loss contracts) or risk management instruments (like Expected Shortfall) in terms of so-called shifted Hawkes processes. From the actuarial point of view, these processes can be seen as "stressed" scenarios. Our expansion formula for Hawkes processes enables us to provide lower and upper bounds on the premium (or the risk evaluation) of such cyber contracts and to quantify the surplus of premium compared to the standard modeling with a homogeneous Poisson process. [ABSTRACT FROM AUTHOR]
- Published
- 2023
- Full Text
- View/download PDF
4. Pricing formulae for derivatives in insurance using Malliavin calculus
- Author
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Hillairet, Caroline, Jiao, Ying, and Réveillac, Anthony
- Published
- 2018
- Full Text
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5. Stein Estimation for the Drift of Gaussian Processes Using the Malliavin Calculus
- Author
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Privault, Nicolas and Réveillac, Anthony
- Published
- 2008
- Full Text
- View/download PDF
6. Stein estimation of Poisson process intensities
- Author
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Privault, Nicolas and Réveillac, Anthony
- Published
- 2009
- Full Text
- View/download PDF
7. The Malliavin-Stein method for Hawkes functionals.
- Author
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Hillairet, Caroline, Huang, Lorick, Khabou, Mahmoud, and Réveillac, Anthony
- Subjects
MALLIAVIN calculus ,MATHEMATICAL bounds ,RANDOM variables ,CENTRAL limit theorem ,GAUSSIAN measures - Abstract
In this paper, following Nourdin-Peccati's methodology, we combine the Malliavin calculus and Stein's method to provide general bounds on the Wasserstein distance between the law of functionals of a compound Hawkes process and the one of a Gaussian random variable. To achieve this, we rely on the Poisson imbedding representation of a Hawkes process to provide a Malliavin calculus for the Hawkes processes, and more generally for compound Hawkes processes. As an application, we close a gap in the literature by providing a quantitative Central Limit Theorem for the compound Hawkes process. [ABSTRACT FROM AUTHOR]
- Published
- 2022
- Full Text
- View/download PDF
8. The Itô-Tanaka Trick: a non-semimartingale approach.
- Author
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Coutin, Laure, Duboscq, Romain, and Réveillac, Anthony
- Subjects
SEMIMARTINGALES (Mathematics) ,WIENER processes ,RANDOM fields ,STOCHASTIC processes ,MARTINGALES (Mathematics) - Abstract
In this paper we provide an Itô-Tanaka trick formula in a non semimartingale context, filling a gap in the theory of regularisation by noise. In a classical Brownian framework, the Itô-Tanaka trick links the time average of a function f along the solution to a Brownian SDE, with the solution of a Fokker-Planck PDE. Our main contribution is to provide such a link in a non-semimartingale framework, where the solution to the non-available PDE is replaced by a well-chosen random field. This allows us to improve well-posedness results for fractional SDEs with a singular drift coefficient. [ABSTRACT FROM AUTHOR]
- Published
- 2022
- Full Text
- View/download PDF
9. Functional limit theorems for generalized variations of the fractional Brownian sheet
- Author
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Pakkanen, Mikko and Réveillac, Anthony
- Subjects
Fractional Brownian sheet, central limit theorem, non-central limit theorem, Hermite sheet, power variation, Malliavin calculus ,Fractional Brownian sheet ,Power variation ,Hermite sheet ,Non-central limit theorem ,Central limit theorem ,Malliavin calculus - Abstract
We prove functional central and non-central limit theorems for generalized variations of the anisotropic d-parameter fractional Brownian sheet (fBs) for any natural number d. Whether the central or the non-central limit theorem applies depends on the Hermite rank of the variation functional and on the smallest component of the Hurst parameter vector of the fBs. The limiting process in the former result is another fBs, independent of the original fBs, whereas the limit given by the latter result is an Hermite sheet, which is driven by the same white noise as the original fBs. As an application, we derive functional limit theorems for power variations of the fBs and discuss what is a proper way to interpolate them to ensure functional convergence. We prove functional central and non-central limit theorems for generalized variations of the anisotropic d-parameter fractional Brownian sheet (fBs) for any natural number d. Whether the central or the non-central limit theorem applies depends on the Hermite rank of the variation functional and on the smallest component of the Hurst parameter vector of the fBs. The limiting process in the former result is another fBs, independent of the original fBs, whereas the limit given by the latter result is an Hermite sheet, which is driven by the same white noise as the original fBs. As an application, we derive functional limit theorems for power variations of the fBs and discuss what is a proper way to interpolate them to ensure functional convergence.
- Published
- 2014
10. Statistical estimation and limit theorems for Gaussian fields using the Malliavin calculus
- Author
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Réveillac, Anthony, Réveillac, Anthony, Mathématiques, Image et Applications - EA 3165 (MIA), Université de La Rochelle (ULR), Université de La Rochelle, and Pr. Nicolas Privault
- Subjects
Estimation de Stein ,fractional processes and fractional fields ,Théorèmes limites ,Malliavin calculus ,limit theorems ,Processus à deux paramètres ,Stein estimation ,[MATH] Mathematics [math] ,[MATH]Mathematics [math] ,Calcul de Malliavin ,Processus et champs fractionnaires ,two-parameter processes - Abstract
In this thesis we apply the Malliavin calculus to statistical estimation of parameters of stochastic processes and to derive limit theorems for the weighted quadratic variations of one or two-parameter fractional processes and to multidimensional normal approximation of probability measures. In Chapter 1 we construct Stein type estimators for the drift of Gaussian processes and for the intensity of Poisson processes. In Chapter 2, we compute the Bayesian estimator of the input of a Poisson channel then extended to normal martingales with chaotic representation property channels. In Chapter 3 we derive central limit theorems for the weighted quadratic variations of the standard Brownian sheet (applied then to the obtaining of an asymptotically normal estimator of the quadratic variation of some two-parameter diffusion processes) and of some fractional Brownian sheets. Then in this chapter we establish a central limit theorem for the weighted quadratic variations of the fractional Brownian motion with Hurst index $H=1/4$ leading to the study of the asymptotic behavior of the Riemann sums with alternating signs associated to the fractional brownian motion with Hurst index $H=1/4$. Finally in Chapter 4 we apply Stein's method and the Malliavin calculus in order to obtain explicit bounds in the multidimensional normal approximation of functionals of gaussian fields. In particular we provide an application to a functional version of the Breuer-Major TCL for fields subordinated to a fractional Brownian motion., Dans cette thèse nous appliquons le calcul de Malliavin à l'estimation statistique de paramètres de certains processus stochastiques et à l'obtention de théorèmes de la limite centrale pour les variations quadratiques à poids de processus fractionnaires et/ou à deux paramètres ainsi qu'à l'approximation gaussienne de mesures de probabilités multidimensionnelles. Dans le Chapitre 1 nous construisons des estimateurs de type Stein pour la dérive de processus gaussiens et pour l'intensité de processus de Poisson. Dans le Chapitre 2 nous calculons l'estimateur bayésien du signal d'entrée d'un canal de Poisson et nous étendons notre résultat aux canaux dont le bruit est une martingale normale possédant la propriété de représentation chaotique. Dans le Chapitre 3 nous établissons des théorèmes de la limite centrale pour les variations quadratiques à poids du drap brownien standard (nous permettant de donner un estimateur asymptotiquement normal de la variation quadratique de certains processus de diffusion à deux paramètres) puis pour celles de certains draps browniens fractionnaires. Dans ce même chapitre nous établissons un théorème de la limite centrale pour les variations quadratiques à poids du mouvement brownien fractionnaire d'indice $H=1/4$ nous permettant de donner le comportement asymptotique des sommes de Riemann à signe alterné associées au mouvement brownien fractionnaire d'indice $H=1/4$. Enfin dans le Chapitre 4 nous appliquons la méthode de Stein et du calcul de Malliavin afin d'obtenir des bornes explicites pour l'approximation gaussienne multidimensionnelle de fonctionnelles de champs gaussiens. Nous appliquons en particulier nos résultats aux théorème de la limite centrale de Breuer et Major pour des champs associés à un mouvement brownien fractionnaire.
- Published
- 2008
11. Estimation statistique et théorèmes limites pour les champs gaussiens par le calcul de Malliavin
- Author
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Réveillac, Anthony, Mathématiques, Image et Applications - EA 3165 (MIA), Université de La Rochelle (ULR), Université de La Rochelle, and Pr. Nicolas Privault
- Subjects
Estimation de Stein ,fractional processes and fractional fields ,Théorèmes limites ,Malliavin calculus ,limit theorems ,Processus à deux paramètres ,Stein estimation ,Calcul de Malliavin ,Processus et champs fractionnaires ,[MATH]Mathematics [math] ,two-parameter processes - Abstract
In this thesis we apply the Malliavin calculus to statistical estimation of parameters of stochastic processes and to derive limit theorems for the weighted quadratic variations of one or two-parameter fractional processes and to multidimensional normal approximation of probability measures. In Chapter 1 we construct Stein type estimators for the drift of Gaussian processes and for the intensity of Poisson processes. In Chapter 2, we compute the Bayesian estimator of the input of a Poisson channel then extended to normal martingales with chaotic representation property channels. In Chapter 3 we derive central limit theorems for the weighted quadratic variations of the standard Brownian sheet (applied then to the obtaining of an asymptotically normal estimator of the quadratic variation of some two-parameter diffusion processes) and of some fractional Brownian sheets. Then in this chapter we establish a central limit theorem for the weighted quadratic variations of the fractional Brownian motion with Hurst index $H=1/4$ leading to the study of the asymptotic behavior of the Riemann sums with alternating signs associated to the fractional brownian motion with Hurst index $H=1/4$. Finally in Chapter 4 we apply Stein's method and the Malliavin calculus in order to obtain explicit bounds in the multidimensional normal approximation of functionals of gaussian fields. In particular we provide an application to a functional version of the Breuer-Major TCL for fields subordinated to a fractional Brownian motion.; Dans cette thèse nous appliquons le calcul de Malliavin à l'estimation statistique de paramètres de certains processus stochastiques et à l'obtention de théorèmes de la limite centrale pour les variations quadratiques à poids de processus fractionnaires et/ou à deux paramètres ainsi qu'à l'approximation gaussienne de mesures de probabilités multidimensionnelles. Dans le Chapitre 1 nous construisons des estimateurs de type Stein pour la dérive de processus gaussiens et pour l'intensité de processus de Poisson. Dans le Chapitre 2 nous calculons l'estimateur bayésien du signal d'entrée d'un canal de Poisson et nous étendons notre résultat aux canaux dont le bruit est une martingale normale possédant la propriété de représentation chaotique. Dans le Chapitre 3 nous établissons des théorèmes de la limite centrale pour les variations quadratiques à poids du drap brownien standard (nous permettant de donner un estimateur asymptotiquement normal de la variation quadratique de certains processus de diffusion à deux paramètres) puis pour celles de certains draps browniens fractionnaires. Dans ce même chapitre nous établissons un théorème de la limite centrale pour les variations quadratiques à poids du mouvement brownien fractionnaire d'indice $H=1/4$ nous permettant de donner le comportement asymptotique des sommes de Riemann à signe alterné associées au mouvement brownien fractionnaire d'indice $H=1/4$. Enfin dans le Chapitre 4 nous appliquons la méthode de Stein et du calcul de Malliavin afin d'obtenir des bornes explicites pour l'approximation gaussienne multidimensionnelle de fonctionnelles de champs gaussiens. Nous appliquons en particulier nos résultats aux théorème de la limite centrale de Breuer et Major pour des champs associés à un mouvement brownien fractionnaire.
- Published
- 2008
12. Stochastic regularization effects of semi-martingales on random functions.
- Author
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Duboscq, Romain and Réveillac, Anthony
- Subjects
- *
MATHEMATICAL regularization , *STOCHASTIC analysis , *RANDOM functions (Mathematics) , *OPEN-ended questions , *FOKKER-Planck equation , *MATHEMATICAL mappings - Abstract
In this paper we address an open question formulated in [16] . That is, we extend the Itô–Tanaka trick, which links the time-average of a deterministic function f depending on a stochastic process X and F the solution of the Fokker–Planck equation associated to X , to random mappings f . To this end we provide new results on a class of adapted and non-adapted Fokker–Planck SPDEs and BSPDEs. [ABSTRACT FROM AUTHOR]
- Published
- 2016
- Full Text
- View/download PDF
13. HERMITE VARIATIONS OF THE FRACTIONAL BROWNIAN SHEET.
- Author
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RÉVEILLAC, ANTHONY, STAUCH, MICHAEL, and TUDOR, CIPRIAN A.
- Subjects
- *
HERMITE polynomials , *CALCULUS of variations , *WIENER processes , *CENTRAL limit theorem , *RENORMALIZATION (Physics) , *RANDOM variables , *STOCHASTIC convergence - Abstract
We prove central and non-central limit theorems for the Hermite variations of the anisotropic fractional Brownian sheet Wα, β with Hurst parameter (α, β) ∈ (0, 1)2. When $0 \lt \alpha \leq 1-\frac{1}{2q}$ or $0 \lt \beta \leq 1-\frac{1}{2q}$ a central limit theorem holds for the renormalized Hermite variations of order q ≥ 2, while for $1-\frac{1}{2q} \lt \alpha, \beta \lt 1$ we prove that these variations satisfy a non-central limit theorem. In fact, they converge to a random variable which is the value of a two-parameter Hermite process at time (1, 1). [ABSTRACT FROM AUTHOR]
- Published
- 2012
14. FBSDEs with time delayed generators: Lp -solutions, differentiability, representation formulas and path regularity
- Author
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dos Reis, Gonçalo, Réveillac, Anthony, and Zhang, Jianing
- Subjects
- *
STOCHASTIC differential equations , *TIME delay systems , *CALCULUS of variations , *MALLIAVIN calculus , *MATHEMATICAL formulas , *ESTIMATION theory , *STOCHASTIC analysis , *MATHEMATICAL analysis - Abstract
Abstract: We extend the work of Delong and Imkeller (2010) concerning backward stochastic differential equations with time delayed generators (delay BSDEs). We give moment and a priori estimates in general -spaces and provide sufficient conditions for the solution of a delay BSDE to exist in . We introduce decoupled systems of SDEs and delay BSDEs (delay FBSDEs) and give sufficient conditions for their variational differentiability. We connect these variational derivatives to the Malliavin derivatives of delay FBSDEs via the usual representation formulas. We conclude with several path regularity results, in particular we extend the classic -path regularity to delay FBSDEs. [Copyright &y& Elsevier]
- Published
- 2011
- Full Text
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15. Estimation of quadratic variation for two-parameter diffusions
- Author
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Réveillac, Anthony
- Subjects
- *
WIENER processes , *STOCHASTIC processes , *LIMIT theorems , *MALLIAVIN calculus - Abstract
Abstract: In this paper we give a central limit theorem for the weighted quadratic variation process of a two-parameter Brownian motion. As an application, we show that the discretized quadratic variations of a two-parameter diffusion observed on a regular grid form an asymptotically normal estimator of the quadratic variation of as goes to infinity. [Copyright &y& Elsevier]
- Published
- 2009
- Full Text
- View/download PDF
16. Convergence of Finite-Dimensional Laws of the Weighted Quadratic Variations Process for Some Fractional Brownian Sheets.
- Author
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Réveillac, Anthony
- Subjects
- *
CENTRAL limit theorem , *ASYMPTOTIC distribution , *MATHEMATICAL analysis , *PROBABILITY theory , *STOCHASTIC analysis - Abstract
In this article, we state and prove a central limit theorem for the finite-dimensional laws of the quadratic variations process of certain fractional Brownian sheets. The main tool of this article is a method developed by Nourdin and Nualart in [18] based on the Malliavin calculus. [ABSTRACT FROM AUTHOR]
- Published
- 2009
- Full Text
- View/download PDF
17. Superefficient drift estimation on the Wiener space
- Author
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Privault, Nicolas and Réveillac, Anthony
- Subjects
- *
MALLIAVIN calculus , *WIENER processes , *FLUCTUATIONS (Physics) , *STOCHASTIC analysis , *MARKOV processes - Abstract
Abstract: In the framework of a nonparametric functional estimation for the drift of a Brownian motion we construct Stein type estimators of the form which are superefficient when is a superharmonic functional on the Wiener space for the Malliavin derivative D. To cite this article: N. Privault, A. Réveillac, C. R. Acad. Sci. Paris, Ser. I 343 (2006). [Copyright &y& Elsevier]
- Published
- 2006
- Full Text
- View/download PDF
18. On the Malliavin differentiability of BSDEs.
- Author
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Mastrolia, Thibaut, Possamaï, Dylan, and Réveillac, Anthony
- Subjects
- *
MALLIAVIN calculus , *CALCULUS of variations , *LIPSCHITZ spaces , *FUNCTION spaces , *FUNCTIONAL analysis - Abstract
In this paper we provide new conditions for the Malliavin differentiability of solutions of Lipschitz or quadratic BSDEs. Our results rely on the interpretation of the Malliavin derivative as a Gâteaux derivative in the directions of the Cameron-Martin space. Incidentally, we provide a new formulation for the characterization of the Malliavin-Sobolev type spaces D1,p. [ABSTRACT FROM AUTHOR]
- Published
- 2017
- Full Text
- View/download PDF
19. Multivariate normal approximation using Stein's method and Malliavin calculus.
- Author
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Nourdin, Ivan, Peccati, Giovanni, and Réveillac, Anthony
- Subjects
- *
GAUSSIAN processes , *APPROXIMATION theory , *MALLIAVIN calculus , *STEIN manifolds , *WIENER processes , *MULTIVARIATE analysis - Abstract
We combine Stein's method with Malliavin calculus in order to obtain explicit bounds in the multidimensional normal approximation (in the Wasserstein distance) of functionals of Gaussian fields. Among several examples, we provide an application to a functional version of the Breuer-Major CLT for fields subordinated to a fractional Brownian motion. [ABSTRACT FROM AUTHOR]
- Published
- 2010
- Full Text
- View/download PDF
20. A note on the Malliavin–Sobolev spaces.
- Author
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Imkeller, Peter, Mastrolia, Thibaut, Possamaï, Dylan, and Réveillac, Anthony
- Subjects
- *
SOBOLEV spaces , *MALLIAVIN calculus , *STOCHASTIC processes , *FUNCTIONAL analysis , *SET theory - Abstract
In this paper, we provide a strong formulation of the stochastic Gâteaux differentiability in order to study the sharpness of a new characterization, introduced in Mastrolia et al. (2014), of the Malliavin–Sobolev spaces. We also give a new internal structure of these spaces in the sense of sets inclusion. [ABSTRACT FROM AUTHOR]
- Published
- 2016
- Full Text
- View/download PDF
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