Robert Dalang
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Organe paritaire de la Caisse de pension PUBLICA
Élu membre de cet organe dès lBiographie
Robert Dalang, né en 1961, a reçu le diplôme de Mathématicien-EPFL en 1983 et est lauréat du Prix Dommer. Il passe l'année académique 1985-86 à Cornell University. En 1987, il termine son doctorat en mathématiques à l'EPFL sous la direction du professeur Cairoli.Récompenses
2019 : Fellow of the Institute of Mathematical Statistics : Robert Dalang was nominated for his “pioneering contributions to the study of SPDEs driven by a Gaussian noise which is white in time with a spatially homogeneous covariance.”
Publications
Publications Infoscience
Hitting with Probability One for Stochastic Heat Equations with Additive Noise
Journal Of Theoretical Probability. 2024-06-06. DOI : 10.1007/s10959-024-01342-4.Power variations in fractional Sobolev spaces for a class of parabolic stochastic PDEs
Bernoulli. 2023-08-01. DOI : 10.3150/22-BEJ1521.Parabolic stochastic PDEs on bounded domains with rough initial conditions: moment and correlation bounds
Stochastics And Partial Differential Equations-Analysis And Computations. 2023-09-29. DOI : 10.1007/s40072-023-00310-z.Chung-type law of the iterated logarithm and exact moduli of continuity for a class of anisotropic Gaussian random fields
Bernoulli. 2023-02-01. DOI : 10.3150/22-BEJ1467.Local Nondeterminism and Local Times of the Stochastic Wave Equation Driven by Fractional-Colored Noise
Journal Of Fourier Analysis And Applications. 2022-04-01. DOI : 10.1007/s00041-022-09914-w.Propagation of singularities for the stochastic wave equation
Stochastic Processes And Their Applications. 2022-01-01. DOI : 10.1016/j.spa.2021.09.013.The Hausdorff measure of the range and level sets of Gaussian random fields with sectorial local nondeterminism
Bernoulli. 2022-02-01. DOI : 10.3150/21-BEJ1342.Localization errors of the stochastic heat equation
Lausanne, EPFL, 2022. DOI : 10.5075/epfl-thesis-7742.Hausdorff dimension of the boundary of bubbles of additive Brownian motion and of the Brownian sheet
Dissertationes Mathematicae. 2021-11-04. DOI : 10.4064/dm811-9-2021.Polarity Of Almost All Points For Systems Of Nonlinear Stochastic Heat Equations In The Critical Dimension
Annals Of Probability. 2021-09-01. DOI : 10.1214/21-AOP1516.The domain of definition of the Levy white noise
Stochastic Processes And Their Applications. 2021-05-01. DOI : 10.1016/j.spa.2021.01.007.Multiple points of Gaussian random fields
Electronic Journal Of Probability. 2021-01-01. DOI : 10.1214/21-EJP589.Optimal lower bounds on hitting probabilities for non-linear systems of stochastic fractional heat equations
Stochastic Processes And Their Applications. 2021-01-01. DOI : 10.1016/j.spa.2020.07.015.On the density of the supremum of the solution to the linear stochastic heat equation
Stochastics And Partial Differential Equations-Analysis And Computations. 2020-09-01. DOI : 10.1007/s40072-019-00151-9.The Almost-Sure Asymptotic Behavior Of The Solution To The Stochastic Heat Equation With Levy Noise
Annals Of Probability. 2020-05-01. DOI : 10.1214/19-AOP1401.High-Frequency Analysis Of Parabolic Stochastic Pdes
Annals Of Statistics. 2020-04-01. DOI : 10.1214/19-AOS1841.Normal approximation of the solution to the stochastic heat equation with Levy noise
Stochastics And Partial Differential Equations-Analysis And Computations. 2020-06-01. DOI : 10.1007/s40072-019-00148-4.Optimal lower bounds on hitting probabilities for stochastic heat equations in spatial dimension k >= 1
Electronic Journal Of Probability. 2020-01-01. DOI : 10.1214/20-EJP438.Path properties of the solution to the stochastic heat equation with Levy noise
Stochastics And Partial Differential Equations-Analysis And Computations. 2019-03-01. DOI : 10.1007/s40072-018-0124-y.Richard V. Kadison (1925-2018) Obituary
Expositiones Mathematicae. 2019-01-01. DOI : 10.1016/j.exmath.2019.05.002.Random field solutions to linear SPDEs driven by symmetric pure jump Levy space-time white noises
Electronic Journal Of Probability. 2019-01-01. DOI : 10.1214/19-EJP317.Low dose photodynamic therapy promotes a cytotoxic immunological response in a murine model of malignant pleural mesothelioma
2019-05-01. 106th Annual Congress of the Swiss-Society-of-Surgery, Berne, SWITZERLAND, May 15-17, 2019. p. 20-20.Global Solutions To Stochastic Reaction-Diffusion Equations With Super-Linear Drift And Multiplicative Noise
Annals Of Probability. 2019-01-01. DOI : 10.1214/18-AOP1270.Srishti Dhar Chatterji (1935-2017): In Memoriam
Expositiones Mathematicae. 2018-01-01. DOI : 10.1016/j.exmath.2018.09.005.The stochastic heat equation: hitting probabilities and the probability density function of the supremum via Malliavin calculus
Lausanne, EPFL, 2018. DOI : 10.5075/epfl-thesis-8695.Optimal solution and asymptotic properties of a stochastic control problem arising in sailboat trajectory optimization
Lausanne, EPFL, 2017. DOI : 10.5075/epfl-thesis-8149.Stochastic partial differential equations driven by Lévy white noises
Lausanne, EPFL, 2017. DOI : 10.5075/epfl-thesis-8223.Moments And Growth Indices For The Nonlinear Stochastic Heat Equation With Rough Initial Conditions
Annals Of Probability. 2015. DOI : 10.1214/14-Aop954.Multiple Points Of The Brownian Sheet In Critical Dimensions
Annals Of Probability. 2015. DOI : 10.1214/14-Aop912.Stochastic optimization of sailing trajectories in an upwind regatta
Journal Of The Operational Research Society. 2015. DOI : 10.1057/jors.2014.40.A Quickest Detection Problem With An Observation Cost
Annals Of Applied Probability. 2015. DOI : 10.1214/14-Aap1028.Moment bounds and asymptotics for the stochastic wave equation
Stochastic Processes And Their Applications. 2015. DOI : 10.1016/j.spa.2014.11.009.Optimal expulsion and optimal confinement of a Brownian particle with a switching cost
Stochastic Processes And Their Applications. 2014. DOI : 10.1016/j.spa.2014.07.016.Modeling an America's Cup Regatta as a Sequential Stochastic Game
Lausanne, EPFL, 2013. DOI : 10.5075/epfl-thesis-5929.Moments, Intermittency, and Growth Indices for Nonlinear Stochastic PDE's with Rough Initial Conditions
Lausanne, EPFL, 2013. DOI : 10.5075/epfl-thesis-5712.Critical Brownian Sheet Does Not Have Double Points
Annals Of Probability. 2012. DOI : 10.1214/11-AOP665.Stochastic Control and Free Boundary Problems for Sailboat Trajectory Optimization
Lausanne, EPFL, 2012. DOI : 10.5075/epfl-thesis-5381.Predicting The Ultimate Supremum Of A Stable Levy Process With No Negative Jumps
Annals Of Probability. 2011. DOI : 10.1214/10-AOP598.Stochastic integrals for spde's: A comparison
Expositiones Mathematicae. 2011. DOI : 10.1016/j.exmath.2010.09.005.Stochastic Optimization of Sailing Trajectories in an America's Cup Race
Lausanne, EPFL, 2010. DOI : 10.5075/epfl-thesis-4884.Intermittency properties in a hyperbolic Anderson problem
Annales de l'Institut Henri Poincaré, Probabilités et Statistiques. 2009. DOI : 10.1214/08-AIHP199.Hitting probabilities for systems of non-linear stochastic heat equations with multiplicative noise
Probability Theory and Related Fields. 2009. DOI : 10.1007/s00440-008-0150-1.Hölder-Sobolev regularity of the solution to the stochastic wave equation in dimension 3
American Mathematical Society.The stochastic wave equation
A Minicourse on Stochastic Partial Differential Equations; Springer Verlag, 2009. p. 39-71.Introduction à la théorie des probabilités
Lausanne: Presses Polytechniques et Universitaires Romandes.Proceedings of the Fifth Seminar on Stochastic Analysis, Random Fields and Applications
2008A Feynman-Kac-type formula for the deterministic and stochastic wave equations and other P.D.E.'s
Transactions of the American Mathematical Society. 2008. DOI : 10.1090/S0002-9947-08-04351-1.The non-linear stochastic wave equation in high dimensions
Electronic Journal of Probability. 2008. DOI : 10.1214/EJP.v13-500.The law of the supremum of a stable Lévy process with no negative jumps
Annals of Applied Probability. 2008. DOI : 10.1214/07-AOP376.The non-linear stochastic wave equation in high dimensions
Lausanne, EPFL, 2008. DOI : 10.5075/epfl-thesis-4265.Dynamical Dirichlet Mixture Model
2007Hitting probabilities for systems of non-linear stochastic heat equations with additive noise
ALEA Latin American Journal of Probability and Mathematical Statistics. 2007.An optimal prediction problem in financial modelling
Lausanne, EPFL, 2007. DOI : 10.5075/epfl-thesis-3967.Hitting properties of parabolic S.P.D.E.'s with reflection
Annals of Applied Probability. 2006. DOI : 10.1214/009117905000000792.Second-order hyperbolic S.P.D.E.'s driven by homogeneous Gaussian noise on a hyperplane
Transactions of the American Mathematical Society. 2006. DOI : 10.1090/S0002-9947-05-03740-2.Une démonstration élémentaire du théorème central limite
Elemente der Mathematik. 2006. DOI : 10.4171/EM/34.Regularity of the sample paths of a class of second-order SPDE's
Journal of Functional Analysis. 2005. DOI : 10.1016/j.jfa.2004.11.015.Linear algebra. Textbook, exercises and applications. (Algèbre linéaire. Aide-mémoire, exercices et applications.)
Presses Polytechniques et Universitaires Romandes.Proceedings of the Fourth Seminar on Stochastic Analysis, Random Fields and Applications
2004Potential theory for hyperbolic SPDEs
Annals of Applied Probability. 2004. DOI : 10.1214/009117904000000685.Second-order hyperbolic S.P.D.E.'s driven by boundary noises
Seminar on Stochastic Analysis, Random Fields and Applications IV; Birkhäuser, 2004. p. 83-93.Second-order linear hyperbolic SPDEs driven by isotropic Gaussian noise on a sphere
Annals of Applied Probability. 2004. DOI : 10.1214/aop/1079021472.Recurrent lines in two-parameter isotropic stable Lévy sheets
Stochastic Processes and Their Applications. 2004. DOI : 10.1016/j.spa.2004.05.008.The right time to sell a stock whose price is driven by Markovian noise
Annals of Applied Probability. 2004. DOI : 10.1214/105051604000000747.A mathematical model for 'Who wants to be a millionaire?'
Mathematical Scientist (The). 2004.Topics in spatial stochastic processes
Berlin: Springer Verlag.Some non-linear S.P.D.E.'s that are second order in time
Electronic Journal of Probability. 2003. DOI : 10.1214/EJP.v8-123.Non-independence of excursions of the Brownian sheet and of additive Brownian motion
Transactions of the American Mathematical Society. 2003. DOI : 10.1090/S0002-9947-02-03138-0.Level sets and excursions of the Brownian sheet
2003. C.I.M.E. Summer School, Martina Franca, Italy, July 1-8, 2001. p. 167-208. DOI : 10.1007/978-3-540-36259-3_5.Performance of quantitative versus passive investing: a comparison in global markets
The Journal of Performance Measurement. 2002.Proceedings of the Third Seminar on Stochastic Analysis, Random Fields and Applications
2002Time-reversal in hyperbolic S.P.D.E. 's
Annals of Applied Probability. 2002. DOI : 10.1214/aop/1020107766.Eccentric behaviors of the Brownian sheet along lines
Annals of Applied Probability. 2002. DOI : 10.1214/aop/1020107769.Linear algebra. Textbook, exercises and applications. (Algèbre linéaire. Aide-mémoire, exercices et applications.)
Lausanne: Presses Polytechniques et Universitaires Romandes.Jordan curves in the level sets of additive Brownian motion
Transactions of the American Mathematical Society. 2001. DOI : 10.1090/S0002-9947-01-02811-2.Corrections to: Extending the martingale measure stochastic integral with applications to spatially homogeneous S.P.D.E. 's
Electronic Journal of Probability. 2001.Anomalous diffusion and homogenization on an infinite number of scales
Lausanne, EPFL, 2001. DOI : 10.5075/epfl-thesis-2340.Level sets, bubbles and excursions of a Brownian sheet
Infinite dimensional stochastic analysis (Amsterdam, 1999); R. Neth. Acad. Arts Sci., Amsterdam, 2000. p. 117-128.Proceedings of the Second Seminar on Stochastic Analysis, Random Fields and Applications
1999Extending martingale measure stochastic integral with applications to spatially homogeneous S. P. D. E's
Electronic Journal of Probability. 1999. DOI : 10.1214/EJP.v4-43.The stochastic wave equation in two spatial dimensions
Annals of Applied Probability. 1998. DOI : 10.1214/aop/1022855416.Points of increase of the Brownian sheet
Probability Theory and Related Fields. 1997. DOI : 10.1007/s004400050099.On Markov property of Lévy waves in two dimensions
Stochastic Processes and Their Applications. 1997. DOI : 10.1016/S0304-4149(97)00087-2.Sequential stochastic optimization
New York: Wiley.Local structure of level sets of the Brownian sheet
Stochastic analysis: random fields and measure-valued processes (Ramat Gan, 1993/1995); Bar-Ilan Univ., 1996. p. 57-64.Points of increase of functions in the plane
Real Analysis Exchange. 1996.Nondifferentiability of curves on the Brownian sheet
Annals of Applied Probability. 1996. DOI : 10.1214/aop/1042644712.Optimal switching between two Brownian motions
Stochastic analysis (Ithaca, NY, 1993); American Mathematical Society, 1995. p. 53-63.Optimal switching between two random walks
Annals of Applied Probability. 1995. DOI : 10.1214/aop/1176987812.The structure of a Brownian bubble
Probability Theory and Related Fields. 1993. DOI : 10.1007/BF01200206.Geography of the level sets of the Brownian sheet
Probability Theory and Related Fields. 1993. DOI : 10.1007/BF01192131.The sharp Markov property of Lévy sheets
Annals of Applied Probability. 1992. DOI : 10.1214/aop/1176989793.The sharp Markov property of the Brownian sheet and related processes
Acta Mathematica. 1992. DOI : 10.1007/BF02392978.Equivalent martingale measures and no-arbitrage in stochastic securities market models
Stochastics and Stochastics Reports. 1990.Randomization in the two-armed bandit problem
Annals of Applied Probability. 1990. DOI : 10.1214/aop/1176990946.Optimal stopping of two-parameter processes on nonstandard probability spaces
Transactions of the American Mathematical Society. 1989. DOI : 10.2307/2001425.On randomized stopping points and perfect graphs
Journal of Combinatorial Theory, Series B. 1988. DOI : 10.1016/0095-8956(88)90076-7.A prediction problem for the Brownian sheet
Journal of Multivariate Analysis. 1988. DOI : 10.1016/0047-259X(88)90071-1.On stopping points in the plane that lie on a unique optional increasing path
Stochastics. 1988. DOI : 10.1080/17442508808833517.On infinite perfect graphs and randomized stopping points on the plane
Probability Theory and Related Fields. 1988. DOI : 10.1007/BF00334200.Infoscience
Hitting with Probability One for Stochastic Heat Equations with Additive Noise
Journal Of Theoretical Probability. 2024-06-06. DOI : 10.1007/s10959-024-01342-4.Power variations in fractional Sobolev spaces for a class of parabolic stochastic PDEs
Bernoulli. 2023-08-01. DOI : 10.3150/22-BEJ1521.Parabolic stochastic PDEs on bounded domains with rough initial conditions: moment and correlation bounds
Stochastics And Partial Differential Equations-Analysis And Computations. 2023-09-29. DOI : 10.1007/s40072-023-00310-z.Chung-type law of the iterated logarithm and exact moduli of continuity for a class of anisotropic Gaussian random fields
Bernoulli. 2023-02-01. DOI : 10.3150/22-BEJ1467.Local Nondeterminism and Local Times of the Stochastic Wave Equation Driven by Fractional-Colored Noise
Journal Of Fourier Analysis And Applications. 2022-04-01. DOI : 10.1007/s00041-022-09914-w.Propagation of singularities for the stochastic wave equation
Stochastic Processes And Their Applications. 2022-01-01. DOI : 10.1016/j.spa.2021.09.013.The Hausdorff measure of the range and level sets of Gaussian random fields with sectorial local nondeterminism
Bernoulli. 2022-02-01. DOI : 10.3150/21-BEJ1342.Localization errors of the stochastic heat equation
Lausanne, EPFL, 2022. DOI : 10.5075/epfl-thesis-7742.Hausdorff dimension of the boundary of bubbles of additive Brownian motion and of the Brownian sheet
Dissertationes Mathematicae. 2021-11-04. DOI : 10.4064/dm811-9-2021.Polarity Of Almost All Points For Systems Of Nonlinear Stochastic Heat Equations In The Critical Dimension
Annals Of Probability. 2021-09-01. DOI : 10.1214/21-AOP1516.The domain of definition of the Levy white noise
Stochastic Processes And Their Applications. 2021-05-01. DOI : 10.1016/j.spa.2021.01.007.Multiple points of Gaussian random fields
Electronic Journal Of Probability. 2021-01-01. DOI : 10.1214/21-EJP589.Optimal lower bounds on hitting probabilities for non-linear systems of stochastic fractional heat equations
Stochastic Processes And Their Applications. 2021-01-01. DOI : 10.1016/j.spa.2020.07.015.On the density of the supremum of the solution to the linear stochastic heat equation
Stochastics And Partial Differential Equations-Analysis And Computations. 2020-09-01. DOI : 10.1007/s40072-019-00151-9.The Almost-Sure Asymptotic Behavior Of The Solution To The Stochastic Heat Equation With Levy Noise
Annals Of Probability. 2020-05-01. DOI : 10.1214/19-AOP1401.High-Frequency Analysis Of Parabolic Stochastic Pdes
Annals Of Statistics. 2020-04-01. DOI : 10.1214/19-AOS1841.Normal approximation of the solution to the stochastic heat equation with Levy noise
Stochastics And Partial Differential Equations-Analysis And Computations. 2020-06-01. DOI : 10.1007/s40072-019-00148-4.Optimal lower bounds on hitting probabilities for stochastic heat equations in spatial dimension k >= 1
Electronic Journal Of Probability. 2020-01-01. DOI : 10.1214/20-EJP438.Path properties of the solution to the stochastic heat equation with Levy noise
Stochastics And Partial Differential Equations-Analysis And Computations. 2019-03-01. DOI : 10.1007/s40072-018-0124-y.Richard V. Kadison (1925-2018) Obituary
Expositiones Mathematicae. 2019-01-01. DOI : 10.1016/j.exmath.2019.05.002.Random field solutions to linear SPDEs driven by symmetric pure jump Levy space-time white noises
Electronic Journal Of Probability. 2019-01-01. DOI : 10.1214/19-EJP317.Low dose photodynamic therapy promotes a cytotoxic immunological response in a murine model of malignant pleural mesothelioma
2019-05-01. 106th Annual Congress of the Swiss-Society-of-Surgery, Berne, SWITZERLAND, May 15-17, 2019. p. 20-20.Global Solutions To Stochastic Reaction-Diffusion Equations With Super-Linear Drift And Multiplicative Noise
Annals Of Probability. 2019-01-01. DOI : 10.1214/18-AOP1270.Srishti Dhar Chatterji (1935-2017): In Memoriam
Expositiones Mathematicae. 2018-01-01. DOI : 10.1016/j.exmath.2018.09.005.The stochastic heat equation: hitting probabilities and the probability density function of the supremum via Malliavin calculus
Lausanne, EPFL, 2018. DOI : 10.5075/epfl-thesis-8695.Optimal solution and asymptotic properties of a stochastic control problem arising in sailboat trajectory optimization
Lausanne, EPFL, 2017. DOI : 10.5075/epfl-thesis-8149.Stochastic partial differential equations driven by Lévy white noises
Lausanne, EPFL, 2017. DOI : 10.5075/epfl-thesis-8223.Moments And Growth Indices For The Nonlinear Stochastic Heat Equation With Rough Initial Conditions
Annals Of Probability. 2015. DOI : 10.1214/14-Aop954.Multiple Points Of The Brownian Sheet In Critical Dimensions
Annals Of Probability. 2015. DOI : 10.1214/14-Aop912.Stochastic optimization of sailing trajectories in an upwind regatta
Journal Of The Operational Research Society. 2015. DOI : 10.1057/jors.2014.40.A Quickest Detection Problem With An Observation Cost
Annals Of Applied Probability. 2015. DOI : 10.1214/14-Aap1028.Moment bounds and asymptotics for the stochastic wave equation
Stochastic Processes And Their Applications. 2015. DOI : 10.1016/j.spa.2014.11.009.Optimal expulsion and optimal confinement of a Brownian particle with a switching cost
Stochastic Processes And Their Applications. 2014. DOI : 10.1016/j.spa.2014.07.016.Modeling an America's Cup Regatta as a Sequential Stochastic Game
Lausanne, EPFL, 2013. DOI : 10.5075/epfl-thesis-5929.Moments, Intermittency, and Growth Indices for Nonlinear Stochastic PDE's with Rough Initial Conditions
Lausanne, EPFL, 2013. DOI : 10.5075/epfl-thesis-5712.Critical Brownian Sheet Does Not Have Double Points
Annals Of Probability. 2012. DOI : 10.1214/11-AOP665.Stochastic Control and Free Boundary Problems for Sailboat Trajectory Optimization
Lausanne, EPFL, 2012. DOI : 10.5075/epfl-thesis-5381.Predicting The Ultimate Supremum Of A Stable Levy Process With No Negative Jumps
Annals Of Probability. 2011. DOI : 10.1214/10-AOP598.Stochastic integrals for spde's: A comparison
Expositiones Mathematicae. 2011. DOI : 10.1016/j.exmath.2010.09.005.Stochastic Optimization of Sailing Trajectories in an America's Cup Race
Lausanne, EPFL, 2010. DOI : 10.5075/epfl-thesis-4884.Intermittency properties in a hyperbolic Anderson problem
Annales de l'Institut Henri Poincaré, Probabilités et Statistiques. 2009. DOI : 10.1214/08-AIHP199.Hitting probabilities for systems of non-linear stochastic heat equations with multiplicative noise
Probability Theory and Related Fields. 2009. DOI : 10.1007/s00440-008-0150-1.Hölder-Sobolev regularity of the solution to the stochastic wave equation in dimension 3
American Mathematical Society.The stochastic wave equation
A Minicourse on Stochastic Partial Differential Equations; Springer Verlag, 2009. p. 39-71.Introduction à la théorie des probabilités
Lausanne: Presses Polytechniques et Universitaires Romandes.Proceedings of the Fifth Seminar on Stochastic Analysis, Random Fields and Applications
2008A Feynman-Kac-type formula for the deterministic and stochastic wave equations and other P.D.E.'s
Transactions of the American Mathematical Society. 2008. DOI : 10.1090/S0002-9947-08-04351-1.The non-linear stochastic wave equation in high dimensions
Electronic Journal of Probability. 2008. DOI : 10.1214/EJP.v13-500.The law of the supremum of a stable Lévy process with no negative jumps
Annals of Applied Probability. 2008. DOI : 10.1214/07-AOP376.The non-linear stochastic wave equation in high dimensions
Lausanne, EPFL, 2008. DOI : 10.5075/epfl-thesis-4265.Dynamical Dirichlet Mixture Model
2007Hitting probabilities for systems of non-linear stochastic heat equations with additive noise
ALEA Latin American Journal of Probability and Mathematical Statistics. 2007.An optimal prediction problem in financial modelling
Lausanne, EPFL, 2007. DOI : 10.5075/epfl-thesis-3967.Hitting properties of parabolic S.P.D.E.'s with reflection
Annals of Applied Probability. 2006. DOI : 10.1214/009117905000000792.Second-order hyperbolic S.P.D.E.'s driven by homogeneous Gaussian noise on a hyperplane
Transactions of the American Mathematical Society. 2006. DOI : 10.1090/S0002-9947-05-03740-2.Une démonstration élémentaire du théorème central limite
Elemente der Mathematik. 2006. DOI : 10.4171/EM/34.Regularity of the sample paths of a class of second-order SPDE's
Journal of Functional Analysis. 2005. DOI : 10.1016/j.jfa.2004.11.015.Linear algebra. Textbook, exercises and applications. (Algèbre linéaire. Aide-mémoire, exercices et applications.)
Presses Polytechniques et Universitaires Romandes.Proceedings of the Fourth Seminar on Stochastic Analysis, Random Fields and Applications
2004Potential theory for hyperbolic SPDEs
Annals of Applied Probability. 2004. DOI : 10.1214/009117904000000685.Second-order hyperbolic S.P.D.E.'s driven by boundary noises
Seminar on Stochastic Analysis, Random Fields and Applications IV; Birkhäuser, 2004. p. 83-93.Second-order linear hyperbolic SPDEs driven by isotropic Gaussian noise on a sphere
Annals of Applied Probability. 2004. DOI : 10.1214/aop/1079021472.Recurrent lines in two-parameter isotropic stable Lévy sheets
Stochastic Processes and Their Applications. 2004. DOI : 10.1016/j.spa.2004.05.008.The right time to sell a stock whose price is driven by Markovian noise
Annals of Applied Probability. 2004. DOI : 10.1214/105051604000000747.A mathematical model for 'Who wants to be a millionaire?'
Mathematical Scientist (The). 2004.Topics in spatial stochastic processes
Berlin: Springer Verlag.Some non-linear S.P.D.E.'s that are second order in time
Electronic Journal of Probability. 2003. DOI : 10.1214/EJP.v8-123.Non-independence of excursions of the Brownian sheet and of additive Brownian motion
Transactions of the American Mathematical Society. 2003. DOI : 10.1090/S0002-9947-02-03138-0.Level sets and excursions of the Brownian sheet
2003. C.I.M.E. Summer School, Martina Franca, Italy, July 1-8, 2001. p. 167-208. DOI : 10.1007/978-3-540-36259-3_5.Performance of quantitative versus passive investing: a comparison in global markets
The Journal of Performance Measurement. 2002.Proceedings of the Third Seminar on Stochastic Analysis, Random Fields and Applications
2002Time-reversal in hyperbolic S.P.D.E. 's
Annals of Applied Probability. 2002. DOI : 10.1214/aop/1020107766.Eccentric behaviors of the Brownian sheet along lines
Annals of Applied Probability. 2002. DOI : 10.1214/aop/1020107769.Linear algebra. Textbook, exercises and applications. (Algèbre linéaire. Aide-mémoire, exercices et applications.)
Lausanne: Presses Polytechniques et Universitaires Romandes.Jordan curves in the level sets of additive Brownian motion
Transactions of the American Mathematical Society. 2001. DOI : 10.1090/S0002-9947-01-02811-2.Corrections to: Extending the martingale measure stochastic integral with applications to spatially homogeneous S.P.D.E. 's
Electronic Journal of Probability. 2001.Anomalous diffusion and homogenization on an infinite number of scales
Lausanne, EPFL, 2001. DOI : 10.5075/epfl-thesis-2340.Level sets, bubbles and excursions of a Brownian sheet
Infinite dimensional stochastic analysis (Amsterdam, 1999); R. Neth. Acad. Arts Sci., Amsterdam, 2000. p. 117-128.Proceedings of the Second Seminar on Stochastic Analysis, Random Fields and Applications
1999Extending martingale measure stochastic integral with applications to spatially homogeneous S. P. D. E's
Electronic Journal of Probability. 1999. DOI : 10.1214/EJP.v4-43.The stochastic wave equation in two spatial dimensions
Annals of Applied Probability. 1998. DOI : 10.1214/aop/1022855416.Points of increase of the Brownian sheet
Probability Theory and Related Fields. 1997. DOI : 10.1007/s004400050099.On Markov property of Lévy waves in two dimensions
Stochastic Processes and Their Applications. 1997. DOI : 10.1016/S0304-4149(97)00087-2.Sequential stochastic optimization
New York: Wiley.Local structure of level sets of the Brownian sheet
Stochastic analysis: random fields and measure-valued processes (Ramat Gan, 1993/1995); Bar-Ilan Univ., 1996. p. 57-64.Points of increase of functions in the plane
Real Analysis Exchange. 1996.Nondifferentiability of curves on the Brownian sheet
Annals of Applied Probability. 1996. DOI : 10.1214/aop/1042644712.Optimal switching between two Brownian motions
Stochastic analysis (Ithaca, NY, 1993); American Mathematical Society, 1995. p. 53-63.Optimal switching between two random walks
Annals of Applied Probability. 1995. DOI : 10.1214/aop/1176987812.The structure of a Brownian bubble
Probability Theory and Related Fields. 1993. DOI : 10.1007/BF01200206.Geography of the level sets of the Brownian sheet
Probability Theory and Related Fields. 1993. DOI : 10.1007/BF01192131.The sharp Markov property of Lévy sheets
Annals of Applied Probability. 1992. DOI : 10.1214/aop/1176989793.The sharp Markov property of the Brownian sheet and related processes
Acta Mathematica. 1992. DOI : 10.1007/BF02392978.Equivalent martingale measures and no-arbitrage in stochastic securities market models
Stochastics and Stochastics Reports. 1990.Randomization in the two-armed bandit problem
Annals of Applied Probability. 1990. DOI : 10.1214/aop/1176990946.Optimal stopping of two-parameter processes on nonstandard probability spaces
Transactions of the American Mathematical Society. 1989. DOI : 10.2307/2001425.On randomized stopping points and perfect graphs
Journal of Combinatorial Theory, Series B. 1988. DOI : 10.1016/0095-8956(88)90076-7.A prediction problem for the Brownian sheet
Journal of Multivariate Analysis. 1988. DOI : 10.1016/0047-259X(88)90071-1.On stopping points in the plane that lie on a unique optional increasing path
Stochastics. 1988. DOI : 10.1080/17442508808833517.On infinite perfect graphs and randomized stopping points on the plane
Probability Theory and Related Fields. 1988. DOI : 10.1007/BF00334200.Enseignement & Phd
Enseignement
Mathematics
A dirigé les thèses EPFL de
Candil David Jean-Michel , Chen Le , Ciccarella Carlo , Conus Daniel , Dumas Frédéric , Humeau Thomas Marie Jean-Baptiste , Pu Fei , Rossel Jean-Benoît , Vinckenbosch Laura ,Cours
Analyse III (pour SV, MT)
Ce cours est une introduction aux concepts fondamentaux de l'analyse vectorielle et de l'analyse complexe en vue de leur
utilisation dans d'autres cours et pour résoudre des problèmes pluridisciplinaires d'ingénierie scientifique.
Analyse IV (pour SV, MT)
Ce cours est une introduction à la théorie des séries de Fourier, transformées de Fourier (y compris pour les distributions
tempérées), à la transformée de Laplace, et à leurs utilisations pour résoudre des équations différentielles ordinaires et
aux dérivées partielles.
Theory of stochastic calculus
Introduction à la théorie mathématique du calcul stochastique: construction de l'intégrale stochastique d'Itô, démonstration de la formule d'Itô, introduction aux équations différentielles stochastiques, théorème de Girsanov et formule de Feynman-Kac, théorème de représentation des martingales.