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...
Le laboratoire comprend six équipes :
Date: 30 Dec 2014 - 10:17
Desc: Consider the matrix Σn = n −1/2 XnD 1/2 n + Pn where the matrix Xn ∈ C N×n has Gaussian standard independent elements, Dn is a deter-ministic diagonal nonnegative matrix, and Pn is a deterministic matrix with fixed rank. Under some known conditions, the spectral measures of ΣnΣ * n and n −1 XnDnX * n both converge towards a compactly supported probability measure µ as N, n → ∞ with N/n → c > 0. In this paper, it is proved that finitely many eigenvalues of ΣnΣ * n may stay away from the support of µ in the large dimensional regime. The existence and locations of these outliers in any connected component of R − supp(µ) are studied. The fluctuations of the largest outliers of ΣnΣ * n are also analyzed. The results find applications in the fields of signal processing and radio communications.
Date: 29 Jan 2016 - 12:27
Desc: [...]
Date: 17 Feb 2016 - 14:16
Desc: In this paper, we study a third weak order scheme for diffusion processes which has been introduced by Alfonsi [1]. This scheme is built using cubature methods and is well defined under an abstract commutativity condition on the coefficients of the underlying diffusion process. Moreover, it has been proved in [1], that the third weak order convergence takes place for smooth test functions. First, we provide a necessary and sufficient explicit condition for the scheme to be well defined when we consider the one dimensional case. In a second step, we use a result from [3] and prove that, under an ellipticity condition, this convergence also takes place for the total variation distance with order 3. We also give an estimate of the density function of the diffusion process and its derivatives.
Date: 9 Mar 2014 - 15:43
Desc: This paper sheds light on universal coding with respect to classes of memoryless sources over a countable alphabet defined by an envelope function with finite and non-decreasing hazard rate. We prove that the auto-censuring AC code introduced by Bontemps (2011) is adaptive with respect to the collection of such classes. The analysis builds on the tight characterization of universal redundancy rate in terms of metric entropy % of small source classes by Opper and Haussler (1997) and on a careful analysis of the performance of the AC-coding algorithm. The latter relies on non-asymptotic bounds for maxima of samples from discrete distributions with finite and non-decreasing hazard rate.
Date: 9 Jul 2010 - 19:56
Desc: We adress the maximization problem of expected utility from terminal wealth. The special feature of this paper is that we consider a financial market where the price process of risky assets can have a default time. Using dynamic programming, we characterize the value function with a backward stochastic differential equation and the optimal portfolio policies. We separately treat the cases of exponential, power and logarithmic utility.
U.F.R. Mathématiques
Sophie-Germain
75013 PARIS