Colloque / Séminaire

Sujet du séminaire

Loi jointe du processus d'Ornstein-Uhlenbeck et de son supremum

Abstract

The main purpose of this work is to give an expression for the joint law of the endpoint and supremum of an Ornstein-Uhlenbeck process. This law is expressed as an expansion involving parabolic cylinder functions  and the main axes of the proof of this expression will be given during the talk. Numerically, we obtain this law faster with our expression than with a Monte Carlo method. Numerical applications illustrate the interest of this result.

Biographie de l'intervenant

Laura GAY est agrégée de mathématiques et doctorante en troisième année au sein de l'Institut Camille Jordan à l'Ecole Centrale de Lyon.