Laboratoire de Probabilités, Statistique et Modélisation
Présentation
Le Laboratoire de Probabilités, Statistique et Modélisation, dans sa forme actuelle, a résulté, au 1er janvier 1999, de la fusion de l'ancien Laboratoire de probabilité de l'université Paris 6 avec l'équipe de Probabilités et statistique de l'université Paris Diderot.
Le laboratoire compte environ 70 enseignants-chercheurs permanents, 50 thésards, une équipe administrative de 6 personnes. Il accueille de plus les activités de deux masters deuxième année, ce qui représente plus de 200 étudiants chaque année.
La thématique du laboratoire s'inscrit dans le domaine des mathématiques appliquées et a pour objet la modélisation, la description et l'estimation des phénomènes aléatoires. Les thèmes de recherche abordés ici concernent des domaines très variés et recouvrent aussi bien des mathématiques fondamentales que des applications dans des domaines aussi divers que la médecine, les sciences humaines, l'astrophysique, les assurances ou la finance...
Thèmes de recherche
1. Théorie ergodique et systèmes dynamiques
2. Modélisation stochastique
3. Mouvement brownien et calcul stochastique
4. Statistiques
Equipes de recherche
Le laboratoire comprend six équipes :
- Théorie ergodique et systèmes dynamiques,
- Modélisation stochastique,
- Mouvement brownien et calcul stochastique,
- Statistique,
- Probabilités numériques et mathématiques financières,
- Probabilités-statistiques-biologie.
[hal-00101851] Optimal partially reversible investment with entry decision and general production function
Date: 28 sep 2006 - 13:32
Desc: [...]
[hal-00986128] Population Dynamics of Globally Coupled Degrade-and-Fire Oscillators
Date: 5 mai 2014 - 11:59
Desc: This paper reports the analysis of the dynamics of a model of pulse-coupled oscillators with global inhibitory coupling. The model is inspired by experiments on colonies of bacteria-embedded synthetic genetic circuits. The total population can be either of finite (arbitrary) size or infinite, and is represented by a one-dimensional profile. Profiles can be discontinuous, possibly with infinitely many jumps. Their time evolution is governed by a singular differential equation. We address the corresponding initial value problem and characterize the dynamics' main features. In particular, we prove that trajectory behaviors are asymptotically periodic, with period only depending on the profile (and on the model parameters). A criterion is obtained for the existence of the corresponding periodic orbits, which implies the existence of a sharp transition as the coupling parameter is increased. The transition separates a regime where any profile can be obtained in the limit of large times, to a situation where only trajectories with sufficiently large groups of synchronized oscillators perdure.
[hal-00263693] Thermodynamic versus Topological Phase Transitions: Cusp in the Kertész Line
Date: 2 sep 2008 - 19:41
Desc: We present a study of phase transitions of the Curie--Weiss Potts model at (inverse) temperature $\beta$, in presence of an external field $h$. Both thermodynamic and topological aspects of these transitions are considered. For the first aspect we complement previous results and give an explicit equation of the thermodynamic transition line in the $\beta$--$h$ plane as well as the magnitude of the jump of the magnetization (for $q \geqslant 3)$. The signature of the latter aspect is characterized here by the presence or not of a giant component in the clusters of a Fortuin--Kasteleyn type representation of the model. We give the equation of the Kertész line separating (in the $\beta$--$h$ plane) the two behaviours. As a result, we get that this line exhibits, as soon as $q \geqslant 3$, a very interesting cusp where it separates from the thermodynamic transition line.
[hal-00574184] Bid-ask spread modelling, a perturbation approach
Date: 8 Mar 2011 - 14:16
Desc: Our objective is to study liquidity risk, in particular the so-called ``bid-ask spread'', as a by-product of market uncertainties. ``Bid-ask spread'', and more generally ``limit order books'' describe the existence of different sell and buy prices, which we explain by using different risk aversions of market participants. The risky asset follows a diffusion process governed by a Brownian motion which is uncertain. We use the error theory with Dirichlet forms to formalize the notion of uncertainty on the Brownian motion. This uncertainty generates noises on the trajectories of the underlying asset and we use these noises to expound the presence of bid-ask spreads. In addition, we prove that these noises also have direct impacts on the mid-price of the risky asset. We further enrich our studies with the resolution of an optimal liquidation problem under these liquidity uncertainties and market impacts. To complete our analysis, some numerical results will be provided.
Autres contacts
U.F.R. Mathématiques
Sophie-Germain
75013 PARIS