WorldCat Identities

Coutin, Laure

Overview
Works: 25 works in 41 publications in 2 languages and 44 library holdings
Roles: Author, Thesis advisor, Opponent, Other
Publication Timeline
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Most widely held works by Laure Coutin
Stochastic analysis, rough path analysis and fractional Brownian motions by Laure Coutin( Book )

4 editions published between 2000 and 2002 in English and held by 5 WorldCat member libraries worldwide

Approximation d'un drap brownien fractionnaire by Laure Coutin( Book )

4 editions published in 2002 in French and held by 4 WorldCat member libraries worldwide

SYSTEME CAD-LAG EN OBSERVATION INCOMPLETE : ESTIMATION DES COEFFICIENTS DU MODELE ; APPLICATION DU CALCUL DES VARIATIONS STOCHASTIQUES A L'ETUDE DE LA DENSITE DU FILTRE (EXISTENCE, REGULARITE, UNICITE) by Laure Coutin( Book )

2 editions published in 1994 in French and held by 3 WorldCat member libraries worldwide

L'OBJET DE CE TRAVAIL EST L'ETUDE D'UN SYSTEME CAD-LAG EN OBSERVATION INCOMPLETE. IL EST COMPOSE DE DEUX PARTIES. LA PREMIERE PARTIE EST CONSACREE A L'ESTIMATION DES COEFFICIENTS DU SIGNAL LORSQU'IL EST DIRIGE PAR UN MOUVEMENT BROWNIEN ET DEUX PROCESSUS DE POISSON INDEPENDANTS. LA MATRICE DE VARIANCE, LES PROCESSUS DE POISSON ET LA TAILLE DES SAUTS SONT ESTIMES A PARTIR DE L'APPROXIMATION DE LA VARIATION QUADRATIQUE. LES ESTIMATEURS DU DRIFT ET DES INTENSITES DES PROCESSUS DE POISSON SONT CEUX DU MAXIMUM DE VRAISEMBLANCE. L'ESTIMATION EST VALIDEE EN MONTRANT QUE LE PROCESSUS SIMULE CONVERGE EN PROBABILITE VERS LE PROCESSUS ETUDIE. LA SECONDE PARTIE EST CONSACREE A L'ETUDE D'UN PROBLEME DE FILTRAGE LORSQUE LES PROCESSUS SIGNAL ET OBSERVATION SONT CAD-LAG ET PLUS PARTICULIEREMENT A L'EXISTENCE, L'UNICITE ET LA REGULARITE DE LA DENSITE DU FILTRE. LES INTENSITES DES PROCESSUS DE SAUTS SONT DES FONCTIONS DU SIGNAL. D'ABORD LES EQUATIONS DE ZAKAI ET DE KUSHNER-STRATONOVITCH SONT ETABLIES EN UTILISANT LA METHODE DE LA PROBABILITE DE REFERENCE. L'OUTIL PRINCIPAL POUR DEMONTRER L'ABSOLUE CONTINUITE DU FILTRE NON NORMALISE PAR RAPPORT A LA MESURE DE LEBESGUE EST LE CALCUL DES VARIATIONS STOCHASTIQUES. ENSUITE CET OUTIL, AVEC DES HYPOTHESES SUPPLEMENTAIRES, PERMET DE DEMONTRER QUE LA DENSITE AINSI OBTENUE EST A VALEURS DANS L'ENSEMBLE DES FONCTIONS REGULIERES. ENFIN L'APPLICATION DE RESULTATS SUR LES EQUATIONS DIFFERENTIELLES STOCHASTIQUES AUX DERIVEES PARTIELLES DANS LE CAS CONTINU A L'EQUATION DUALE DE L'EQUATION DE ZAKAI, ENTRE LES SAUTS DE L'OBSERVATION, ENTRAINE L'EXISTENCE D'UNE UNIQUE SOLUTION A L'EQUATION DE ZAKAI
The linear Kalman-Bucy filter with respect to Liouville fractional Brownian motion by Philippe Carmona( Book )

3 editions published in 2000 in English and held by 3 WorldCat member libraries worldwide

Trajectoires rugueuses, processus gaussiens et applications by Nicolas Marie( Book )

2 editions published in 2012 in French and held by 2 WorldCat member libraries worldwide

Topics of that thesis are the rough paths theory introduced by T. Lyons (1998) and its application, in particular to stochastic differential equations (SDE) and sensitivities analysis. Applications of theoretical results in biology and finance are also provided. On one hand, are extended the existence and computation of greeks Delta and Vega, well known sensitivities in finance, for SDE with bounded coefficients and centered, continuous Gaussian signals such there exists an enhanced Gaussian process over it. The fractional Brownian motion's case is particularly developed in order to provide an application of the computation of Vega to a financial model with stochastic volatility on one hand, and to numerical simulations on the other hand. On the other hand, is studied a generalization of a mean-reverting equation to the case of a one-dimensional, centered and continuous Gaussian signal : global existence and uniqueness of the solution, integrability, continuity and differentiability of the Itô map, existence of a Lp-converging approximation scheme with an almost-sure convergence rate, a large deviation principle, and the existence of a density with respect to the Lebesgue's measure. The study of that SDE family is applicated to pharmacokinetics
Flots rugueux et inclusions différentielles perturbées by Antoine Brault( Book )

2 editions published in 2018 in French and held by 2 WorldCat member libraries worldwide

This thesis consists of three independent chapters in the theme of rough path theory. Introduced in 1998 by Terry Lyons, this pathwise approach to stochastic differential equations (SDE) allows one to study SDE driven by processes that do not have the semi-martingale property which is required to apply the framework of the Itô integral. This is for example the case of the fractional Brownian motion for a Hurst index different from one-half. The first chapter deals with the links between rough path and regularity structure theories. The latter was recently introduced by Martin Hairer to solve a large class of stochastic partial differential equations. With the tools of this new theory, we show how to build the rough integral and the signature of an irregular path, which leads to solve a rough differential equation (RDE). In the second chapter, we focus on building RDE flows from their approximations at small scale, called almost flows. We show that under weak conditions on regularity of almost flows, although the uniqueness of the associated RDE solutions does not hold, we are able to select a measurable flow. Our general framework unifies the previous approaches by flow due to I. Bailleul, A. M. Davie, P. Friz and N. Victoir. In the last chapter, we study of a differential inclusion perturbed by a rough path, i.e. a RDE whose drift is a multivalued function. We prove, without convexity hypothesis and several conditions on the regularity of the drift, the existence of a solution
Application of a representation of long memory gaussian processes by Philippe Carmona( Book )

2 editions published in 1998 in English and held by 2 WorldCat member libraries worldwide

Fractional Brownian motion and the Markov property by Philippe Carmona( Book )

1 edition published in 1998 in English and held by 2 WorldCat member libraries worldwide

Modélisation du risque de défaut en entreprise by Diana Dorobantu( Book )

2 editions published in 2007 in French and held by 2 WorldCat member libraries worldwide

In the first part of this thesis, we study some optimal stopping time problems of the form : sup_T E[g(V_T)] or sup_T E[exp(-rT)}g(V_T)], where V is a stochastic process, g a Borelian function, r>0 and T a stopping. These problems can be applied in Finance, Economy or Medicine. In the first part of this thesis we show that sometimes the smallest optimal stopping time is a hitting time. That's why, in the second part we study the hitting time law of a Lévy jump process. Some applications to finance are given : we compute the intensity of this stopping time associated with some filtration F. Two cases are presented : when the stopping time is a F-stopping time and when it is not
Fractional Brownian motion and the Markov property by Philippe Carmona( Book )

2 editions published in 1998 in English and held by 2 WorldCat member libraries worldwide

Contributions à l'étude de l'instant de défaut d'un processus de Lévy en observation complète et incomplète by Waly Ngom( Book )

2 editions published in 2016 in French and held by 2 WorldCat member libraries worldwide

Dans nos travaux, nous avons considéré un processus de Lévy X avec une composante brownienne non nulle et dont la partie à sauts est un processus de Poisson composé. Nous avons supposé que la valeur d'une entreprise est modélisée par un processus stochastique de la forme V = Vo exp X et que cette entreprise est mise à défaut dès lors que sa valeur passe sous un certain seuil b déterminé de façon exogène et qui donc, est une donnée du problème. L'instant de défaut T est alors de la forme Tx pour x= ln(Vo) ln((b) où x> 0, Tx = inf{t 2:0: X, 2:x}. Dans un premier temps, nous supposons que des agents observant la valeur V des actifs de la firme souhaitent connaître le comportement de l'instant de défaut. Dans ce modèle, au chapitre 2, nous avons étudié d'une part la régularité de la densité de la loi de l'instant de défaut. D'autre part, nous avons étudié la loi conjointe de l'instant de défaut, de l'overshoot et de l'undershoot. Au chapitre 3, nous avons obtenu une équation à valeurs mesures dont le quadriplet formé par la variable aléatoire X,, le su premum du processus X à l'instant t, le supremum du processus X au dernier instant de saut avant l'instant t et le dernier instant de saut à l'instant t est solution au seris faible, puis une équation dont ce quadriplet est une solution forte. Dans un second temps, au chapitre 4, nous avons supposé que des investisseurs souhaitant détenir une part de cette entreprise ne disposent pas de l'information complète. Ils n'observent pas la valeur des actifs de la firme V, mais sa valeur bruitée. Leur information est modélisée par la filtration Ç = (Ç,, t 2: 0) engendrée par cette observation. Dans ce modèle, nous avons montré que la loi conditionnelle de l'instant de défaut sachant la tribu Ç, admet une densité par rapport à la mesure de Lebesgue et obtenu une équation de Volttera dont cette densité est solution. Cette connaissance permet aux investisseurs de prévoir au vu de leur information, quand est-ce que l'instant de défaut va intervenir après l'instant t. Nous avons complété ce travail par des simulations numériques
Ergodicité des équations différentielles stochastiques fractionnaires et problèmes liés by Maylis Varvenne( Book )

2 editions published in 2019 in English and held by 2 WorldCat member libraries worldwide

In this thesis, we focus on three problems related to the ergodicity of stochastic dynamics with memory (in a discrete-time or continuous-time setting) and especially of Stochastic Differential Equations (SDE) driven by fractional Brownian motion. In the first chapter, we study the long-time behavior of a general class of discrete-time stochastic dynamics driven by an ergodic and stationary Gaussian noise. Following the seminal paper written by Hairer (2005) on the ergodicity of fractional SDE (see also Fontbona-Panloup (2017) and Deya-Panloup-Tindel (2019)), we first build a Markovian structure above the dynamics, we show existence and uniqueness of the invariant distribution and then we exhibit some upper-bounds on the rate of convergence to equilibrium in terms of the asymptotic behavior of the covariance function of the Gaussian noise (or more precisely, of the asymptotic behavior of the coefficients appearing in its moving average representation). The second chapter establishes long-time concentration inequalities both for functionals of the whole solution on an interval [0,T] of an additive fractional SDE and for functionals of discrete-time observations of this process. Then, we apply this general result to specific functionals related to discrete and continuous-time occupation measures of the process. The last chapter, which uses the results developed in Chapter 2, is a joint work with Panloup and Tindel which focuses on the parametric estimation of the (non-linear) drift term in an additive fractional SDE. We use a minimum contrast estimation based on the identification of the invariant distribution (for which we build an approximation from discrete-time observations of the SDE). We provide consistency results as well as non-asymptotic estimates of the corresponding quadratic error. Some of our results are illustrating through numerical discussions. We also give some examples for which the identifiability condition related to our estimation procedure (intrinsically linked to the invariant distribution) is fulfilled
Modélisation du processus d'inclusion de patients dans un essai clinique multicentrique by Guillaume Mijoule( Book )

1 edition published in 2013 in French and held by 1 WorldCat member library worldwide

Cette thèse a pour objet la modélisation statistique du processus d'inclusion de patients lors de la phase III d'un essai clinique multicentrique. Elle présente les modèles bayésiens empiriques existants (modèle Gamma-Poisson) et en propose de nouveaux, prenant en compte une incertitude sur la date d'ouverture des centres ou une intensité d'inclusion dépendant du temps. Sont abordés les problèmes d'estimation et prédiction du nombre de patients inclus à partir d'une étude à une date intermédiaire. Un modèle bayésien prenant en compte la perte de patients en phase de screening est également introduit. Enfin, un modèle de coût s'appuyant sur les modèles précédents est proposé
Application of a representation of long memory Gaussian processes by Philippe Carmona( Book )

1 edition published in 1998 in English and held by 1 WorldCat member library worldwide

Premier temps de passage pour une diffusion by Nicolas Massin( )

1 edition published in 2021 in English and held by 1 WorldCat member library worldwide

In this thesis, we focus our attention on the generation of the first exit time or the first passage time for diffusions in a one-dimensional context.In the first chapter, we present already well-known methods in order to generate such random variables. We particularly introduce the WOMS algorithm. This algorithm permits the generation of an approximation of the time needed by the Brownian motion in order to exit from a given interval.In the second and third chapters, we explain how to extend the previous algorithm in order to deal with diffusions strongly linked to the one-dimensional Brownian motion. We first consider the Ornstein-Uhlenbeck process, and then we consider a wide class of diffusions called the L-class diffusions.In the fourth and last chapter, we study the generation of the first passage time through a given level for jump diffusions. This part of the study is based on the so-called exact simulation methods and also on the famous Girsanov's formula
Chemins rugueux issus de processus discrets by Olga Lopusanschi( )

1 edition published in 2018 in French and held by 1 WorldCat member library worldwide

Through the present work, we hope to contribute to extending the domain of applications of rough paths theory by studying the convergence of discrete processes and thus allowing for a new point of view on several issues appearing in the setting of classical stochastic calculus. We study the convergence, first of Markov chains on periodic graphs, then of hidden Markov walks, in rough path topology, and we show that this change of setting allows to bring forward extra information on the limit using the area anomaly, which is invisible in the uniform topology. We want to show that the utility of this object goes beyond the setting of dierential equations. We also show how rough paths can be used to encode the way we embed a discrete process in the space of continuous functions, and that the limits of these embeddings dier precisely by the area anomaly term. We then define the iterated occupation times for a Markov chain and show using iterated sums that they form an underlying combinatorial structure for hidden Markov walks. We then construct rough paths using iterated sums and compare them to the classical construction, which uses iterated integrals, to get two dierent types of rough paths at the limit: the non-geometric and the geometric one respectively. Finally, we illustrate the computation and construction of the area anomaly and we give some extra results on the convergence of iterated sums and occupation times
Modélisation du processus d'inclusion de patients dans un essai clinique multicentrique by Guillaume Mijoule( )

1 edition published in 2014 in French and held by 1 WorldCat member library worldwide

In this work, we investigate the statistical modeling of the patients' inclusion process in phase III of a multicentric clinical trial. We introduce empirical bayesian models similar to the Gamma-Poisson process that take into account uncertainty in the opening dates of centers or a time-dependent rate of inclusion. We show how to perform estimation and prediction based on an on-going study at some interim time. We extend these models to account for patients drop-out during screening process. Finally, a stochastic cost model is proposed
Tanaka formula for the fractional Brownian motion by Laure Coutin( Book )

1 edition published in 2000 in English and held by 1 WorldCat member library worldwide

Application of a representation of Long Memory Gaussian Processes( Book )

1 edition published in 1998 in English and held by 1 WorldCat member library worldwide

 
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Audience level: 0.93 (from 0.84 for Tanaka for ... to 1.00 for Stochastic ...)

Languages
French (18)

English (18)