Table of Contents
PROFETA Christophe
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
christophe.profeta@univ-evry.fr
Thèmes de recherche
- Probabilités, calcul stochastique
- Diffusions, processus de Lévy, processus auto-similaires
- Processus de branchement
Publications
- Maximal displacement of spectrally negative branching Lévy processes
Bernoulli 30(2), 961–982, 2024.
- Parisian times for linear diffusions
A paraître à Theor. Probability and Math. Statist.
- Extreme values of critical and subcritical branching stable processes with positive jumps
ALEA, Vol. XIX, pages 1421–1433, 2022.
- The area under a spectrally positive stable excursion and other related processes
Electron. J. Probab., Vol. 26(none): 1-21, 2021.
- Persistence and exit times for some additive functionals of skew Bessel processes
J. Theor. Probab., doi.org/10.1007/s10959-019-00966-1, 2019.
- Cramér's estimate for stable processes with power drift
(with Thomas Simon). Electron. J. Probab., Vol. 24, paper no. 17, 2019.
- 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.
- Piecewise constant martingales and lazy clocks
(with Frédéric Vrins). Probab Uncertain Quant Risk, 4: 2, 2019.
- A stable Langevin model with diffusive-reflective boundary conditions
(with Jean-François Jabir). Stochastic Process. Appl., Vol. 129 (11), pages 4269-4293, 2019.
- On the supremum of products of symmetric stable processes
Electron. Commun. Probab., Vol. 23, paper no. 97, 2018.
- A remark on positive sojourn times of symmetric processes
J. Appl. Prob., Vol. 55, pages 69-81, 2018.
- On the harmonic measure of stable processes
(with Thomas Simon). Séminaire de Probabilités XLVIII, Lecture Notes in Math. 2168, pages 325-345, 2016.
- Windings of the stable Kolmogorov process
(with Thomas Simon). ALEA, Vol. XII, pages 115-127, 2015.
- Persistence of integrated stable processes
(with Thomas Simon). Probab. Theory Relat. Fields, Vol. 162 (3), pages 463-485, 2015.
- Some limiting laws associated with the integrated Brownian motion
ESAIM: P&S, Vol. 19, pages 148-171, 2015.
- 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.
- On Dufresne's translated perpetuity and some Black-Scholes annuities
Analítika, Vol. 7 (1), pages 7-19, 2014.
- On last passage times of linear diffusions to curved boundaries
Markov Processes Relat. Fields 19, pages 735-762, 2013.
- Penalizing null recurrent diffusions.
Electron. J. Probab., Vol. 17, no. 69, pages 1-23, 2012.
- 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.
- 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.
- 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.
- 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
- Option Prices as Probabilities
(with B. Roynette and M. Yor). Springer, New York, 2010.
- 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
- Contribution à l’étude asymptotique des temps de passage pour certains processus autosimilaires
Soutenue le 08/06/2020 à l'Université Paris-Saclay.