We prove limit theorems for rescaled occupation time fluctuations of a (d, , )-branching particle system (particles moving in Rd according to a spherically symmetric -stable L´evy process, (1 + )- branching, 0 < < 1, uniform Poisson initial state), in the cases of critical dimension, d = (1+)/, and large dimensions, d > (1 + )/. The fluctuation processes are continuous but their limits are stable...</<>

In this paper, we simulate portfolios which aim to insure the invested capital. The object of our simulations is the duplication of the cashflows of strategies based on options. We initially show how to duplicate the cash-flows of a call by using a leveraged portfolio of stocks. After, we...

A new formulation of non-local branching superprocesses is given from which we derive as special cases the rebirth, the multitype, the mass-structured, the multilevel and the age-reproduction-structured superprocesses and the superprocesscontrolled immigration process. This unied treatment...

Consider a continuous time finite state irreducible Markov chain whose jump transitions are partitioned into one group that is regulated and the other group that is not. The regulated transitions are only allowed to occur if there is a token available. We collect the tokens in a buer and allow a...

Most asymptotic results for robust estimates rely on regularity conditions that are difficult to verify and that real data sets rarely satisfy. Moreover, these results apply to fixed distribution functions. In the robustness context the distribution of the data remains largely unspecified and...

The dissension on the mechanism of determination of interest rate is always in the center of much confusion and many controversies of monetary economics. Keynes’s liquidity preference theory remains at the core of the center. This paper starts off with analyzing the inherent logic of liquidity...

In this paper, we propose a new empirical version of the Fama and French Model based on the Hausman (1978) specification test and aimed at discarding measurement errors in the variables. The proposed empirical framework is general enough to be used for correcting other financial and accounting...

This paper proposes an adaptive version for the Metropolis adjusted Langevin algorithm with a truncated drift (T-MALA). The scale parameter and the covariance matrix of the proposal kernel of the algorithm are simultaneously and recursively updated in order to reach the optimal acceptance rate...

A dynamic version of Data Envelopment Analysis (DEA) is developed in the present paper. Our model introduces investment in traditional DEA and imposes intertemporal cost minimization. Adding an intertemporal adjustment constraint into the cost minimization problem, we derive the relation between...