======PROFETA Christophe==== {{:members:cprofeta:xprof.png?100|}} Maître de conférences \\ Université d'Évry Val d'Essonne \\ Laboratoire de Mathématiques et Modélisation d'Évry (UMR 8071) \\ I.B.G.B.I., 23 Bd. de France, 91037 Évry Cedex \\ Bureau : 413 \\ ☎ +33 (0) 1 64 85 35 59 \\ \\ ---- ===== Thèmes de recherche ===== * Probabilités, calcul stochastique * Diffusions, processus de Lévy, processus auto-similaires * Processus de branchement ---- ===== Publications ===== * [[https://hal.science/hal-04111531/ | Survival and maximum of spectrally negative branching Lévy processes with absorption ]]\\ * [[https://hal.archives-ouvertes.fr/hal-03736526 | Maximal displacement of spectrally negative branching Lévy processes ]]\\ Bernoulli 30(2), 961–982, 2024. * [[https://arxiv.org/abs/2105.13706 | Parisian times for linear diffusions]]\\ A paraître à Theor. Probability and Math. Statist. * [[https://alea.impa.br/articles/v19/19-57.pdf | Extreme values of critical and subcritical branching stable processes with positive jumps ]]\\ ALEA, Vol. XIX, pages 1421–1433, 2022. * [[https://projecteuclid.org/journals/electronic-journal-of-probability/volume-26/issue-none/The-area-under-a-spectrally-positive-stable-excursion-and-other/10.1214/21-EJP618.full | The area under a spectrally positive stable excursion and other related processes]]\\ Electron. J. Probab., Vol. 26(none): 1-21, 2021. * [[https://math.maths.univ-evry.fr/cprofeta/labo/skewbessel.pdf | Persistence and exit times for some additive functionals of skew Bessel processes]]\\ J. Theor. Probab., doi.org/10.1007/s10959-019-00966-1, 2019. * [[https://math.maths.univ-evry.fr/cprofeta/labo/drift.pdf | Cramér's estimate for stable processes with power drift ]]\\ (with Thomas Simon). Electron. J. Probab., Vol. 24, paper no. 17, 2019. * [[ https://math.maths.univ-evry.fr/cprofeta/labo/clocks.pdf | Local time penalizations with various clocks for one-dimensional diffusions]] \\ (with Kouji Yano and Yuko Yano). J. Math. Soc. Japan, Vol. 71, Number 1, pages 203-233, 2019. * [[https://math.maths.univ-evry.fr/cprofeta/labo/lazyclocks.pdf | Piecewise constant martingales and lazy clocks]]\\ (with Frédéric Vrins). Probab Uncertain Quant Risk, 4: 2, 2019. * [[https://math.maths.univ-evry.fr/cprofeta/labo/maxwell.pdf  | A stable Langevin model with diffusive-reflective boundary conditions]]\\ (with Jean-François Jabir). Stochastic Process. Appl., Vol. 129 (11), pages 4269-4293, 2019. * [[https://math.maths.univ-evry.fr/cprofeta/labo/product.pdf | On the supremum of products of symmetric stable processes]]\\ Electron. Commun. Probab., Vol. 23, paper no. 97, 2018. * [[https://math.maths.univ-evry.fr/cprofeta/labo/sojourn.pdf | A remark on positive sojourn times of symmetric processes]]\\ J. Appl. Prob., Vol. 55, pages 69-81, 2018. * [[https://math.maths.univ-evry.fr/cprofeta/labo/harmonicstable.pdf | On the harmonic measure of stable processes]]\\ (with Thomas Simon). Séminaire de Probabilités XLVIII, Lecture Notes in Math. 2168, pages 325-345, 2016. * [[https://math.maths.univ-evry.fr/cprofeta/labo/windings.pdf | Windings of the stable Kolmogorov process]]\\ (with Thomas Simon). ALEA, Vol. XII, pages 115-127, 2015. * [[https://math.maths.univ-evry.fr/cprofeta/labo/integratedstable.pdf | Persistence of integrated stable processes]]\\ (with Thomas Simon). Probab. Theory Relat. Fields, Vol. 162 (3), pages 463-485, 2015. * [[https://math.maths.univ-evry.fr/cprofeta/labo/limitinglaws.pdf | Some limiting laws associated with the integrated Brownian motion]]\\ ESAIM: P&S, Vol. 19, pages 148-171, 2015. * [[https://math.maths.univ-evry.fr/cprofeta/labo/conditionalhitting.pdf | Conditional hitting time estimation in a nonlinear filtering model by the Brownian bridge method]]\\ (with Abass Sagna). Stochastics, Vol. 87 (1), pages 112-141, 2015. * [[https://math.maths.univ-evry.fr/cprofeta/labo/dufresne.pdf | On Dufresne's translated perpetuity and some Black-Scholes annuities]] \\ Analítika, Vol. 7 (1), pages 7-19, 2014. * [[https://math.maths.univ-evry.fr/cprofeta/labo/lastpassagetimes.pdf | On last passage times of linear diffusions to curved boundaries]]\\ Markov Processes Relat. Fields 19, pages 735-762, 2013. * [[https://math.maths.univ-evry.fr/cprofeta/labo/nullpenal.pdf | Penalizing null recurrent diffusions.]]\\ Electron. J. Probab., Vol. 17, no. 69, pages 1-23, 2012. * [[https://math.maths.univ-evry.fr/cprofeta/labo/strongpeacock.pdf | Peacocks obtained by normalisation : strong and very strong peacocks]]\\ (with A. Bogso and B. Roynette). Séminaire de Probabilités XLIV, Lecture Notes in Math. 2046, pages 317-374, 2012. * [[https://math.maths.univ-evry.fr/cprofeta/labo/markovpeacocks.pdf | Some examples of peacocks in a Markovian set-up]]\\ (with A. Bogso and B. Roynette). Séminaire de Probabilités XLIV, Lecture Notes in Math. 2046, pages 281-316, 2012. * [[https://math.maths.univ-evry.fr/cprofeta/labo/skoro.pdf | Constructing self-similar martingales via two Skorokhod embeddings]]\\ (with F. Hirsch, B. Roynette and M. Yor). Séminaire de Probabilités XLIII, Lecture Notes in Math. 2006, pages 451-501, 2011. * [[https://math.maths.univ-evry.fr/cprofeta/labo/positivepenal.pdf | Penalization of a positively recurrent diffusion by an exponential function of its local time]]\\ Publ. Res. Inst. Math. Sci., Vol. 46 (4) :681-718, 2010. --------- ==== Monographies ==== * [[https://www.springer.com/gp/book/9783642103940 | Option Prices as Probabilities ]]\\ (with B. Roynette and M. Yor). Springer, New York, 2010. 
 * [[https://www.springer.com/gp/book/9788847019072 | Peacocks and associated martingales: with explicit constructions]]\\ (with F. Hirsch, B. Roynette and M. Yor). Bocconi & Springer Series, 3. Springer, Milan, 2011.

 ---------------------------------------- ==== Manuscript d'HDR ==== *[[https://math.maths.univ-evry.fr/cprofeta/labo/HDR.pdf | Contribution à l’étude asymptotique des temps de passage pour certains processus autosimilaires]]\\ Soutenue le 08/06/2020 à l'Université Paris-Saclay.