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Author ID: vallois.pierre Recent zbMATH articles by "Vallois, Pierre"
Published as: Vallois, Pierre; Vallois, P.
Documents Indexed: 111 Publications since 1983, including 2 Books and 2 Additional arXiv Preprints
Reviewing Activity: 24 Reviews
Co-Authors: 65 Co-Authors with 95 Joint Publications
894 Co-Co-Authors
all top 5

Serials

13 Stochastic Processes and their Applications
6 Studia Scientiarum Mathematicarum Hungarica
5 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
4 Probability Theory and Related Fields
4 Journal of Theoretical Biology
3 Physica A
3 Comptes Rendus de l’Académie des Sciences. Série I
3 Stochastics and Stochastics Reports
3 Electronic Journal of Probability
3 Theory of Stochastic Processes
3 Comptes Rendus. Mathématique. Académie des Sciences, Paris
2 Journal of Functional Analysis
2 Insurance Mathematics & Economics
2 Revista Matemática Iberoamericana
2 Journal of Theoretical Probability
2 Electronic Communications in Probability
2 Bernoulli
2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
2 Methodology and Computing in Applied Probability
2 Japanese Journal of Mathematics. 3rd Series
1 Advances in Applied Probability
1 Mathematical Biosciences
1 Periodica Mathematica Hungarica
1 Chaos, Solitons and Fractals
1 The Annals of Probability
1 Annali della Scuola Normale Superiore di Pisa. Classe di Scienze. Serie IV
1 Bulletin des Sciences Mathématiques. Deuxième Série
1 Fuzzy Sets and Systems
1 Proceedings of the London Mathematical Society. Third Series
1 RAIRO. Recherche Opérationnelle
1 Statistics & Probability Letters
1 Probability and Mathematical Statistics
1 Computational and Applied Mathematics
1 Bulletin des Sciences Mathématiques
1 European Journal of Control
1 Mathematics and Mechanics of Solids
1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings
1 Markov Processes and Related Fields
1 Mathematical Methods of Operations Research
1 Comptes Rendus de l’Académie des Sciences. Série I. Mathématique
1 Journal of Applied Statistics
1 Applied Stochastic Models in Business and Industry
1 Stochastics and Dynamics
1 Bocconi & Springer Series
1 Probability, Uncertainty and Quantitative Risk

Publications by Year

Citations contained in zbMATH Open

88 Publications have been cited 1,011 times in 608 Documents Cited by Year
Forward, backward and symmetric stochastic integration. Zbl 0792.60046
Russo, Francesco; Vallois, Pierre
134
1993
Stochastic calculus with respect to continuous finite quadratic variation processes. Zbl 0981.60053
Russo, Francesco; Vallois, Pierre
60
2000
\(m\)-order integrals and generalized Itô’s formula; the case of a fractional Brownian motion with any Hurst index. Zbl 1083.60045
Gradinaru, Mihai; Nourdin, Ivan; Russo, Francesco; Vallois, Pierre
59
2005
Elements of stochastic calculus via regularization. Zbl 1126.60045
Russo, Francesco; Vallois, Pierre
57
2007
The generalized covariation process and Itô formula. Zbl 0840.60052
Russo, Francesco; Vallois, Pierre
56
1995
Nonlinear self-stabilizing processes. I: Existence, invariant probability, propagation of chaos. Zbl 0932.60063
Benachour, S.; Roynette, B.; Talay, D.; Vallois, P.
44
1998
Ito formula for \(C^ 1\)-functions of semimartingales. Zbl 0838.60045
Russo, F.; Vallois, P.
39
1996
Generalized covariations, local time and Stratonovich Itô’s formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\). Zbl 1059.60067
Gradinaru, Mihai; Russo, Francesco; Vallois, Pierre
35
2003
Some penalisations of the Wiener measure. Zbl 1160.60315
Roynette, B.; Vallois, P.; Yor, M.
28
2006
Nonlinear self-stabilizing processes. II: Convergence to invariant probability. Zbl 0932.60064
Benachour, S.; Roynette, B.; Vallois, P.
28
1998
On the excursion theory for linear diffusions. Zbl 1160.60024
Salminen, Paavo; Vallois, Pierre; Yor, Marc
24
2007
Limiting laws associated with Brownian motion perturbed by its maximum, minimum and local time, II. Zbl 1121.60004
Roynette, Bernard; Vallois, Pierre; Yor, Marc
23
2006
Itô’s formula for \(C^{1,\lambda}\)-functions of a càdlàg process and related calculus. Zbl 0999.60048
Errami, Mohammed; Russo, Francesco; Vallois, Pierre
20
2002
Asymptotic estimates of solutions of \(u_ t - \frac12\Delta u =-|\nabla u|\) in \(\mathbb{R}_ + \times \mathbb{R}^ d,\quad d\geq 2\). Zbl 0869.35052
Benachour, S.; Roynette, B.; Vallois, P.
18
1997
Limiting laws assiciated with Brownian motion perturbed by normalized exponential weights, I. Zbl 1121.60027
Roynette, Bernard; Vallois, Pierre; Yor, Marc
17
2006
Processes associated to the porous medium equation. (Processus associés à l’équation des milieux poreux.) Zbl 0892.60071
Benachour, S.; Chassaing, P.; Roynette, B.; Vallois, P.
17
1996
On constants related to the choice of the local time at \(0\), and the corresponding Itô measure for Bessel processes with dimension \(d=2(1-\alpha), 0<\alpha<1\). Zbl 1212.60070
Donati-Martin, Catherine; Roynette, Bernard; Vallois, Pierre; Yor, Marc
14
2008
Independence properties of the Matsumoto-Yor type. Zbl 1250.62010
Koudou, A. E.; Vallois, P.
13
2012
Le problème de Skorokhod sur R: Une approche avec le temps local. Zbl 0512.60071
Vallois, Pierre
12
1983
On maximum increase and decrease of Brownian motion. Zbl 1173.60338
Salminen, Paavo; Vallois, Pierre
11
2007
Intégrales progressive, rétrograde et symétrique de processus non adaptés. (Forward, backward and symmetric integrals of non adapted processes). Zbl 0723.60058
Russo, Francesco; Vallois, Pierre
11
1991
The range of a simple random walk on \(\mathbb{Z}\). Zbl 0867.60040
Vallois, P.
10
1996
Abel transform and integrals of Bessel local times. Zbl 0937.60080
Gradinaru, Mihai; Roynette, Bernard; Vallois, Pierre; Yor, Marc
10
1999
Limiting laws for long Brownian bridges perturbed by their one-sided maximum. III. Zbl 1150.60308
Roynette, Bernard; Vallois, Pierre; Yor, Marc
10
2005
Some inequalities with local times in zero of a Brownian motion. (Quelques inégalités avec le temps local en zero du mouvement Brownien.) Zbl 0754.60089
Vallois, P.
10
1992
Which distributions have the Matsumoto-Yor property? Zbl 1244.60016
Koudou, Angelo Efoevi; Vallois, Pierre
8
2011
Solutions fondamentales de \(u_ t-{1\over 2}u_{xx}\). Zbl 0868.35048
Benachour, S.; Roynette, B.; Vallois, P.
8
1996
A generalized class of Lyons-Zheng processes. Zbl 0988.60053
Russo, Francesco; Vallois, Pierre; Wolf, Jochen
8
2001
Decomposing the Brownian path via the range process. Zbl 0820.60063
Vallois, P.
7
1995
Persistent random walks, variable length Markov chains and piecewise deterministic Markov processes. Zbl 1303.60065
Cénac, P.; Chauvin, B.; Herrmann, S.; Vallois, P.
7
2013
La loi Gaussienne inverse généralisée comme premier ou dernier temps de passage de diffusions. (The inverse generalized Gaussian distribution as first or last passage time of diffusions.). Zbl 0727.60090
Vallois, Pierre
7
1991
A diffusion process stopped at the first time its amplitude reaches a fixed level. (Diffusion arrêtée au premier instant où l’amplitude atteint un niveau donné.) Zbl 0808.60069
Vallois, Pierre
6
1993
Explicit solutions of some fourth order partial differential equations via iterated Brownian motion. Zbl 0945.60083
Benachour, S.; Roynette, B.; Vallois, P.
6
1999
Penalizing a \(BES(d)\) process \((0<d<2)\) with a function of its local time. V. Zbl 1164.60307
Roynette, Bernard; Vallois, Pierre; Yor, Marc
6
2008
Branching process associated with 2D-Navier-Stokes equation. Zbl 1013.35063
Benachour, Saïd; Roynette, Bernard; Vallois, Pierre
6
2001
On independent times and positions for Brownian motions. Zbl 1055.60078
de Meyer, Bernard; Roynette, Bernard; Vallois, Pierre; Yor, Marc
6
2002
The logistic S. D. E. Zbl 1363.60074
Giet, Jean-Sébastien; Vallois, Pierre; Wantz-Mézières, Sophie
6
2015
Tumor growth modeling based on cell and tumor lifespans. Zbl 1337.92110
Keinj, R.; Bastogne, T.; Vallois, P.
6
2012
Asymptotic behavior of the local score of independent and identically distributed random sequences. Zbl 1075.60516
Daudin, Jean-Jacques; Etienne, Marie Pierre; Vallois, Pierre
6
2003
On first range times of linear diffusions. Zbl 1085.60057
Salminen, Paavo; Vallois, Pierre
6
2005
From persistent random walk to the telegraph noise. Zbl 1196.60082
Herrmann, S.; Vallois, P.
6
2010
On the law of the maximum and the local time of a uniformly integrable continuous martingale. (Sur la loi du maximum et du temps local d’une martingale continue uniformément intégrable.) Zbl 0807.60041
Vallois, P.
5
1994
Range reliability in random walks. Zbl 0894.60081
Vallois, Pierre; Tapiero, Charles S.
5
1997
Product of two multiple stochastic integrals with respect to a normal martingale. Zbl 0946.60033
Russo, Francesco; Vallois, Pierre
5
1998
Non-causal stochastic integration for lad lag processes. Zbl 0829.60046
Russo, Francesco; Vallois, Pierre
5
1993
On Kummer’s distribution of type two and a generalized beta distribution. Zbl 1380.62047
Hamza, Marwa; Vallois, Pierre
5
2016
Une extension des théorèmes de Ray et Knight sur les temps locaux Browniens. (An extension of the theorems of Ray and Knight on Brownian local times). Zbl 0723.60097
Vallois, P.
5
1991
On the joint law of the maximum and the inverse of local times of Brownian motion: Application to a theorem of Knight. (Sur la loi conjointe du maximum et de l’inverse du temps local du mouvement brownien: Application à un théorème de Knight.) Zbl 0738.60075
Vallois, P.
5
1991
Run length statistics and the Hurst exponent in random and birth-death random walks. Zbl 1080.60506
Tapiero, Charles S.; Vallois, Pierre
5
1996
On subexponentiality of the Lévy measure of the inverse local time; with applications to penalizations. Zbl 1192.60089
Salminen, Paavo H.; Vallois, Pierre
5
2009
Range of Brownian motion with drift. Zbl 1101.60063
Tanré, Etienne; Vallois, Pierre
4
2006
Brownian penalisations related to excursion lengths. VII. Zbl 1181.60046
Roynette, B.; Vallois, P.; Yor, M.
4
2009
Some extensions of Pitman and Ray-Knight theorems for penalized Brownian motions and their local times, IV. Zbl 1164.60355
Roynette, Bernard; Vallois, Pierre; Yor, Marc
4
2007
Moments of an amplitude process in a random walk and approximations: Computations and applications. Zbl 0827.60058
Vallois, P.; Tapiero, C. S.
4
1995
Asymptotic behavior of the hitting time, overshoot and undershoot for some Lévy processes. Zbl 1183.60018
Roynette, Bernard; Vallois, Pierre; Volpi, Agnès
4
2008
Phenomenological modeling of tumor diameter growth based on a mixed effects model. Zbl 1403.92021
Bastogne, Thierry; Samson, A.; Vallois, P.; Wantz-Mézières, S.; Pinel, S.; Bechet, D.; Barberi-Heyob, M.
4
2010
Implied fractional hazard rates and default risk distributions. Zbl 1435.62374
Tapiero, Charles S.; Vallois, Pierre
4
2017
Approximation of the distribution of the supremum of a centered random walk. Application to the local score. Zbl 1045.60021
Etienne, M. P.; Vallois, P.
4
2004
Fractional extreme distributions. Zbl 1472.60021
Boudabsa, Lotfi; Simon, Thomas; Vallois, Pierre
4
2020
Fractional randomness. Zbl 1400.60020
Tapiero, Charles S.; Vallois, Pierre
4
2016
Probability that the maximum of the reflected Brownian motion over a finite interval \([0,t]\) is achieved by its last zero before \(t\). Zbl 1329.60292
Mercier, Sabine; Lagnoux, Agnès; Vallois, Pierre
4
2015
Multinomial model-based formulations of TCP and NTCP for radiotherapy treatment planning. Zbl 1397.92337
Keinj, R.; Bastogne, Thierry; Vallois, P.
4
2011
Sur le passage de certaines marches aléatoires planes au-dessus d’une hyperbole équilatère. (On the crossing of certain planar random walks over an equilateral hyperbola). Zbl 0701.60069
Vallois, P.
4
1989
Penalisations of multidimensional Brownian motion. VI. Zbl 1189.60069
Roynette, Bernard; Vallois, Pierre; Yor, Marc
4
2009
Approximation via regularization of the local time of semimartingales and Brownian motion. Zbl 1151.60329
Bérard Bergery, Blandine; Vallois, Pierre
3
2008
Penalizations and some extensions of Pitman’s theorem relative to Brownian motion and its one-sided maximum. (Pénalisations et quelques extensions du théorème de Pitman, relatives au mouvement Brownien et à son maximum unilatère.) Zbl 1124.60034
Roynette, Bernard; Vallois, Pierre; Yor, Marc
3
2006
Limiting laws associated with Brownian motion perturbated by normalized exponential weights. Zbl 1031.60021
Roynette, Bernard; Vallois, Pierre; Yor, Marc
3
2003
Instability of certain nonlinear stochastic differential equations. (Instabilité de certaines équations différentielles stochastiques non linéaires.) Zbl 0821.60063
Roynette, B.; Vallois, P.
3
1995
On the joint distribution of the supremum and terminal value of a uniformly integrable martingale. Zbl 0828.60030
Vallois, Pierre
3
1993
A family of generalized gamma convoluted variables. Zbl 1197.60012
Roynette, B.; Vallois, P.; Yor, M.
3
2009
Asymptotics for the distribution of lengths of excursions of a \(d\)-dimensional Bessel process \((0 < d < 2)\). Zbl 1155.60329
Roynette, Bernard; Vallois, Pierre; Yor, Marc
2
2006
Level crossing times for certain processes without positive jumps. Zbl 0883.60073
Dozzi, Marco; Vallois, Pierre
2
1997
The range process in random walks: theoretical results and applications. Zbl 1057.60501
Vallois, Pierre; Tapiero, Charles S.
2
1997
A solution to Skorokhod’s embedding for linear Brownian motion and its local time. Zbl 1026.60047
Roynette, B.; Vallois, P.; Yor, M.
2
2002
Stochastic calculus via regularizations. Zbl 07555486
Russo, Francesco; Vallois, Pierre
2
2022
Elements related to the largest complete excursion of a reflected BM stopped at a fixed time. Application to local score. Zbl 1323.60109
Chabriac, Claudie; Lagnoux, Agnès; Mercier, Sabine; Vallois, Pierre
2
2014
Probability density function of the local score position. Zbl 1422.60062
Lagnoux, Agnès; Mercier, Sabine; Vallois, Pierre
2
2019
Penalisations of Brownian motion with its maximum and minimum processes as weak forms of Skorokhod embedding. Zbl 1224.60076
Roynette, B.; Vallois, P.; Yor, M.
2
2008
Amplitude of the Brownian motion and juxtaposition of positive and negative excursions. (Amplitude du mouvement brownien et juxtaposition des excursions positives et négatives.) Zbl 0763.60038
Vallois, Pierre
2
1992
A claims persistence process and insurance. Zbl 1162.91441
Vallois, Pierre; Tapiero, Charles S.
1
2009
Some Brownian local time approximations. (Quelques approximations du temps local brownien.) Zbl 1121.60081
Bergery, Blandine Bérard; Vallois, Pierre
1
2007
The laws of Brownian local time integrals. Zbl 1123.60065
Gradinaru, Mihai; Roynette, Bernard; Vallois, Pierre; Yor, Marc
1
1999
Statistical analysis of unidirectional multicracking of coatings by a two-dimensional Poisson point process. Zbl 1243.74172
Mézin, André; Vallois, Pierre
1
2000
Asymptotic error distribution for the Riemann approximation of integrals driven by fractional Brownian motion. Zbl 1514.60064
Garino, Valentin; Nourdin, Ivan; Vallois, Pierre
1
2022
Fractional randomness and the Brownian bridge. Zbl 1514.60050
Tapiero, Charles S.; Vallois, Pierre
1
2018
Randomness and fractional stable distributions. Zbl 1514.60030
Tapiero, Charles S.; Vallois, Pierre
1
2018
Convoluted Brownian motion: a semimartingale approach. Zbl 1374.60065
Roelly, Sylvie; Vallois, Pierre
1
2016
Provisioning against borrowers default risk. Zbl 1348.91177
Nichil, Geoffrey; Vallois, Pierre
1
2016
Stochastic calculus via regularizations. Zbl 07555486
Russo, Francesco; Vallois, Pierre
2
2022
Asymptotic error distribution for the Riemann approximation of integrals driven by fractional Brownian motion. Zbl 1514.60064
Garino, Valentin; Nourdin, Ivan; Vallois, Pierre
1
2022
Fractional extreme distributions. Zbl 1472.60021
Boudabsa, Lotfi; Simon, Thomas; Vallois, Pierre
4
2020
Probability density function of the local score position. Zbl 1422.60062
Lagnoux, Agnès; Mercier, Sabine; Vallois, Pierre
2
2019
Fractional randomness and the Brownian bridge. Zbl 1514.60050
Tapiero, Charles S.; Vallois, Pierre
1
2018
Randomness and fractional stable distributions. Zbl 1514.60030
Tapiero, Charles S.; Vallois, Pierre
1
2018
Implied fractional hazard rates and default risk distributions. Zbl 1435.62374
Tapiero, Charles S.; Vallois, Pierre
4
2017
On Kummer’s distribution of type two and a generalized beta distribution. Zbl 1380.62047
Hamza, Marwa; Vallois, Pierre
5
2016
Fractional randomness. Zbl 1400.60020
Tapiero, Charles S.; Vallois, Pierre
4
2016
Convoluted Brownian motion: a semimartingale approach. Zbl 1374.60065
Roelly, Sylvie; Vallois, Pierre
1
2016
Provisioning against borrowers default risk. Zbl 1348.91177
Nichil, Geoffrey; Vallois, Pierre
1
2016
The logistic S. D. E. Zbl 1363.60074
Giet, Jean-Sébastien; Vallois, Pierre; Wantz-Mézières, Sophie
6
2015
Probability that the maximum of the reflected Brownian motion over a finite interval \([0,t]\) is achieved by its last zero before \(t\). Zbl 1329.60292
Mercier, Sabine; Lagnoux, Agnès; Vallois, Pierre
4
2015
Elements related to the largest complete excursion of a reflected BM stopped at a fixed time. Application to local score. Zbl 1323.60109
Chabriac, Claudie; Lagnoux, Agnès; Mercier, Sabine; Vallois, Pierre
2
2014
Persistent random walks, variable length Markov chains and piecewise deterministic Markov processes. Zbl 1303.60065
Cénac, P.; Chauvin, B.; Herrmann, S.; Vallois, P.
7
2013
Independence properties of the Matsumoto-Yor type. Zbl 1250.62010
Koudou, A. E.; Vallois, P.
13
2012
Tumor growth modeling based on cell and tumor lifespans. Zbl 1337.92110
Keinj, R.; Bastogne, T.; Vallois, P.
6
2012
Which distributions have the Matsumoto-Yor property? Zbl 1244.60016
Koudou, Angelo Efoevi; Vallois, Pierre
8
2011
Multinomial model-based formulations of TCP and NTCP for radiotherapy treatment planning. Zbl 1397.92337
Keinj, R.; Bastogne, Thierry; Vallois, P.
4
2011
From persistent random walk to the telegraph noise. Zbl 1196.60082
Herrmann, S.; Vallois, P.
6
2010
Phenomenological modeling of tumor diameter growth based on a mixed effects model. Zbl 1403.92021
Bastogne, Thierry; Samson, A.; Vallois, P.; Wantz-Mézières, S.; Pinel, S.; Bechet, D.; Barberi-Heyob, M.
4
2010
On subexponentiality of the Lévy measure of the inverse local time; with applications to penalizations. Zbl 1192.60089
Salminen, Paavo H.; Vallois, Pierre
5
2009
Brownian penalisations related to excursion lengths. VII. Zbl 1181.60046
Roynette, B.; Vallois, P.; Yor, M.
4
2009
Penalisations of multidimensional Brownian motion. VI. Zbl 1189.60069
Roynette, Bernard; Vallois, Pierre; Yor, Marc
4
2009
A family of generalized gamma convoluted variables. Zbl 1197.60012
Roynette, B.; Vallois, P.; Yor, M.
3
2009
A claims persistence process and insurance. Zbl 1162.91441
Vallois, Pierre; Tapiero, Charles S.
1
2009
On constants related to the choice of the local time at \(0\), and the corresponding Itô measure for Bessel processes with dimension \(d=2(1-\alpha), 0<\alpha<1\). Zbl 1212.60070
Donati-Martin, Catherine; Roynette, Bernard; Vallois, Pierre; Yor, Marc
14
2008
Penalizing a \(BES(d)\) process \((0<d<2)\) with a function of its local time. V. Zbl 1164.60307
Roynette, Bernard; Vallois, Pierre; Yor, Marc
6
2008
Asymptotic behavior of the hitting time, overshoot and undershoot for some Lévy processes. Zbl 1183.60018
Roynette, Bernard; Vallois, Pierre; Volpi, Agnès
4
2008
Approximation via regularization of the local time of semimartingales and Brownian motion. Zbl 1151.60329
Bérard Bergery, Blandine; Vallois, Pierre
3
2008
Penalisations of Brownian motion with its maximum and minimum processes as weak forms of Skorokhod embedding. Zbl 1224.60076
Roynette, B.; Vallois, P.; Yor, M.
2
2008
Elements of stochastic calculus via regularization. Zbl 1126.60045
Russo, Francesco; Vallois, Pierre
57
2007
On the excursion theory for linear diffusions. Zbl 1160.60024
Salminen, Paavo; Vallois, Pierre; Yor, Marc
24
2007
On maximum increase and decrease of Brownian motion. Zbl 1173.60338
Salminen, Paavo; Vallois, Pierre
11
2007
Some extensions of Pitman and Ray-Knight theorems for penalized Brownian motions and their local times, IV. Zbl 1164.60355
Roynette, Bernard; Vallois, Pierre; Yor, Marc
4
2007
Some Brownian local time approximations. (Quelques approximations du temps local brownien.) Zbl 1121.60081
Bergery, Blandine Bérard; Vallois, Pierre
1
2007
Some penalisations of the Wiener measure. Zbl 1160.60315
Roynette, B.; Vallois, P.; Yor, M.
28
2006
Limiting laws associated with Brownian motion perturbed by its maximum, minimum and local time, II. Zbl 1121.60004
Roynette, Bernard; Vallois, Pierre; Yor, Marc
23
2006
Limiting laws assiciated with Brownian motion perturbed by normalized exponential weights, I. Zbl 1121.60027
Roynette, Bernard; Vallois, Pierre; Yor, Marc
17
2006
Range of Brownian motion with drift. Zbl 1101.60063
Tanré, Etienne; Vallois, Pierre
4
2006
Penalizations and some extensions of Pitman’s theorem relative to Brownian motion and its one-sided maximum. (Pénalisations et quelques extensions du théorème de Pitman, relatives au mouvement Brownien et à son maximum unilatère.) Zbl 1124.60034
Roynette, Bernard; Vallois, Pierre; Yor, Marc
3
2006
Asymptotics for the distribution of lengths of excursions of a \(d\)-dimensional Bessel process \((0 < d < 2)\). Zbl 1155.60329
Roynette, Bernard; Vallois, Pierre; Yor, Marc
2
2006
\(m\)-order integrals and generalized Itô’s formula; the case of a fractional Brownian motion with any Hurst index. Zbl 1083.60045
Gradinaru, Mihai; Nourdin, Ivan; Russo, Francesco; Vallois, Pierre
59
2005
Limiting laws for long Brownian bridges perturbed by their one-sided maximum. III. Zbl 1150.60308
Roynette, Bernard; Vallois, Pierre; Yor, Marc
10
2005
On first range times of linear diffusions. Zbl 1085.60057
Salminen, Paavo; Vallois, Pierre
6
2005
Approximation of the distribution of the supremum of a centered random walk. Application to the local score. Zbl 1045.60021
Etienne, M. P.; Vallois, P.
4
2004
Generalized covariations, local time and Stratonovich Itô’s formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\). Zbl 1059.60067
Gradinaru, Mihai; Russo, Francesco; Vallois, Pierre
35
2003
Asymptotic behavior of the local score of independent and identically distributed random sequences. Zbl 1075.60516
Daudin, Jean-Jacques; Etienne, Marie Pierre; Vallois, Pierre
6
2003
Limiting laws associated with Brownian motion perturbated by normalized exponential weights. Zbl 1031.60021
Roynette, Bernard; Vallois, Pierre; Yor, Marc
3
2003
Itô’s formula for \(C^{1,\lambda}\)-functions of a càdlàg process and related calculus. Zbl 0999.60048
Errami, Mohammed; Russo, Francesco; Vallois, Pierre
20
2002
On independent times and positions for Brownian motions. Zbl 1055.60078
de Meyer, Bernard; Roynette, Bernard; Vallois, Pierre; Yor, Marc
6
2002
A solution to Skorokhod’s embedding for linear Brownian motion and its local time. Zbl 1026.60047
Roynette, B.; Vallois, P.; Yor, M.
2
2002
A generalized class of Lyons-Zheng processes. Zbl 0988.60053
Russo, Francesco; Vallois, Pierre; Wolf, Jochen
8
2001
Branching process associated with 2D-Navier-Stokes equation. Zbl 1013.35063
Benachour, Saïd; Roynette, Bernard; Vallois, Pierre
6
2001
Stochastic calculus with respect to continuous finite quadratic variation processes. Zbl 0981.60053
Russo, Francesco; Vallois, Pierre
60
2000
Statistical analysis of unidirectional multicracking of coatings by a two-dimensional Poisson point process. Zbl 1243.74172
Mézin, André; Vallois, Pierre
1
2000
Abel transform and integrals of Bessel local times. Zbl 0937.60080
Gradinaru, Mihai; Roynette, Bernard; Vallois, Pierre; Yor, Marc
10
1999
Explicit solutions of some fourth order partial differential equations via iterated Brownian motion. Zbl 0945.60083
Benachour, S.; Roynette, B.; Vallois, P.
6
1999
The laws of Brownian local time integrals. Zbl 1123.60065
Gradinaru, Mihai; Roynette, Bernard; Vallois, Pierre; Yor, Marc
1
1999
Nonlinear self-stabilizing processes. I: Existence, invariant probability, propagation of chaos. Zbl 0932.60063
Benachour, S.; Roynette, B.; Talay, D.; Vallois, P.
44
1998
Nonlinear self-stabilizing processes. II: Convergence to invariant probability. Zbl 0932.60064
Benachour, S.; Roynette, B.; Vallois, P.
28
1998
Product of two multiple stochastic integrals with respect to a normal martingale. Zbl 0946.60033
Russo, Francesco; Vallois, Pierre
5
1998
Asymptotic estimates of solutions of \(u_ t - \frac12\Delta u =-|\nabla u|\) in \(\mathbb{R}_ + \times \mathbb{R}^ d,\quad d\geq 2\). Zbl 0869.35052
Benachour, S.; Roynette, B.; Vallois, P.
18
1997
Range reliability in random walks. Zbl 0894.60081
Vallois, Pierre; Tapiero, Charles S.
5
1997
Level crossing times for certain processes without positive jumps. Zbl 0883.60073
Dozzi, Marco; Vallois, Pierre
2
1997
The range process in random walks: theoretical results and applications. Zbl 1057.60501
Vallois, Pierre; Tapiero, Charles S.
2
1997
Ito formula for \(C^ 1\)-functions of semimartingales. Zbl 0838.60045
Russo, F.; Vallois, P.
39
1996
Processes associated to the porous medium equation. (Processus associés à l’équation des milieux poreux.) Zbl 0892.60071
Benachour, S.; Chassaing, P.; Roynette, B.; Vallois, P.
17
1996
The range of a simple random walk on \(\mathbb{Z}\). Zbl 0867.60040
Vallois, P.
10
1996
Solutions fondamentales de \(u_ t-{1\over 2}u_{xx}\). Zbl 0868.35048
Benachour, S.; Roynette, B.; Vallois, P.
8
1996
Run length statistics and the Hurst exponent in random and birth-death random walks. Zbl 1080.60506
Tapiero, Charles S.; Vallois, Pierre
5
1996
The generalized covariation process and Itô formula. Zbl 0840.60052
Russo, Francesco; Vallois, Pierre
56
1995
Decomposing the Brownian path via the range process. Zbl 0820.60063
Vallois, P.
7
1995
Moments of an amplitude process in a random walk and approximations: Computations and applications. Zbl 0827.60058
Vallois, P.; Tapiero, C. S.
4
1995
Instability of certain nonlinear stochastic differential equations. (Instabilité de certaines équations différentielles stochastiques non linéaires.) Zbl 0821.60063
Roynette, B.; Vallois, P.
3
1995
On the law of the maximum and the local time of a uniformly integrable continuous martingale. (Sur la loi du maximum et du temps local d’une martingale continue uniformément intégrable.) Zbl 0807.60041
Vallois, P.
5
1994
Forward, backward and symmetric stochastic integration. Zbl 0792.60046
Russo, Francesco; Vallois, Pierre
134
1993
A diffusion process stopped at the first time its amplitude reaches a fixed level. (Diffusion arrêtée au premier instant où l’amplitude atteint un niveau donné.) Zbl 0808.60069
Vallois, Pierre
6
1993
Non-causal stochastic integration for lad lag processes. Zbl 0829.60046
Russo, Francesco; Vallois, Pierre
5
1993
On the joint distribution of the supremum and terminal value of a uniformly integrable martingale. Zbl 0828.60030
Vallois, Pierre
3
1993
Some inequalities with local times in zero of a Brownian motion. (Quelques inégalités avec le temps local en zero du mouvement Brownien.) Zbl 0754.60089
Vallois, P.
10
1992
Amplitude of the Brownian motion and juxtaposition of positive and negative excursions. (Amplitude du mouvement brownien et juxtaposition des excursions positives et négatives.) Zbl 0763.60038
Vallois, Pierre
2
1992
Intégrales progressive, rétrograde et symétrique de processus non adaptés. (Forward, backward and symmetric integrals of non adapted processes). Zbl 0723.60058
Russo, Francesco; Vallois, Pierre
11
1991
La loi Gaussienne inverse généralisée comme premier ou dernier temps de passage de diffusions. (The inverse generalized Gaussian distribution as first or last passage time of diffusions.). Zbl 0727.60090
Vallois, Pierre
7
1991
Une extension des théorèmes de Ray et Knight sur les temps locaux Browniens. (An extension of the theorems of Ray and Knight on Brownian local times). Zbl 0723.60097
Vallois, P.
5
1991
On the joint law of the maximum and the inverse of local times of Brownian motion: Application to a theorem of Knight. (Sur la loi conjointe du maximum et de l’inverse du temps local du mouvement brownien: Application à un théorème de Knight.) Zbl 0738.60075
Vallois, P.
5
1991
Sur le passage de certaines marches aléatoires planes au-dessus d’une hyperbole équilatère. (On the crossing of certain planar random walks over an equilateral hyperbola). Zbl 0701.60069
Vallois, P.
4
1989
Le problème de Skorokhod sur R: Une approche avec le temps local. Zbl 0512.60071
Vallois, Pierre
12
1983
all top 5

Cited by 698 Authors

44 Vallois, Pierre
39 Russo, Francesco
21 Nualart, David
20 Yor, Marc
19 Yan, Litan
13 Nourdin, Ivan
13 Roynette, Bernard
11 Øksendal, Bernt Karsten
10 Tudor, Ciprian A.
10 Tugaut, Julian
10 Yano, Kouji
8 Laurençot, Philippe
8 León, Jorge A.
8 Najnudel, Joseph
8 Obloj, Jan K.
8 Tindel, Samy
7 Di Girolami, Cristina
7 Gubinelli, Massimiliano
7 Hobson, David Graham
7 Hu, Yaozhong
7 Malrieu, Florent
7 Salminen, Paavo H.
7 Tapiero, Charles S.
6 Röckner, Michael
6 Sun, Xichao
6 Wiśniewolski, Maciej
6 Yano, Yuko
6 Zähle, Martina
5 Benachour, Said
5 Cénac, Peggy
5 Cox, Alexander Matthew Gordon
5 Di Nunno, Giulia
5 Iagar, Razvan Gabriel
5 Koudou, Angelo Efoévi
5 Olivera, Christian
5 Orsingher, Enzo
5 Rovira, Carles
5 Simon, Thomas
5 Unterberger, Jérémie M.
5 Yu, Xianye
4 Barbu, Viorel
4 Bastogne, Thierry
4 Cosso, Andrea
4 Coutin, Laure
4 de Loynes, Basile
4 Gradinaru, Mihai
4 Harnett, Daniel
4 Hinz, Michael
4 Jakubowski, Jacek
4 Jourdain, Benjamin
4 Karatzas, Ioannis
4 Mercier, Sabine
4 Offret, Yoann
4 Perkowski, Nicolas
4 Ruf, Johannes
4 Torres, Soledad
4 Wesołowski, Jacek
4 Xu, Yong
4 Yen, Ju-Yi J.
4 Zhang, Hongzhong
3 Bandini, Elena
3 Bérard Bergery, Blandine
3 Biagini, Francesca
3 Bolley, François
3 Çağlar, Mine
3 Champagnat, Nicolas
3 Chen, Chao
3 Cont, Rama
3 De Angelis, Tiziano
3 De Gregorio, Alessandro
3 Flandoli, Franco
3 Fontbona, Joaquin
3 Fournier, Nicolas
3 Gushchin, Aleksandr Aleksandrovich
3 Hadjiliadis, Olympia
3 Jolis, Maria
3 Khodabin, Morteza
3 Kim, Yoontae
3 Konzou, Essomanda
3 Liu, Junfeng
3 Liu, Yanghui
3 Meyer-Brandis, Thilo
3 Mishura, Yuliya Stepanivna
3 Nikeghbali, Ashkan
3 Ohashi, Alberto Masayoshi F.
3 Oudjane, Nadia
3 Pei, Bin
3 Piliszek, Agnieszka
3 Pitman, Jim William
3 Profeta, Christophe
3 Proske, Frank Norbert
3 Shaposhnikov, Stanislav V.
3 Song, Yulin
3 Swanson, Jason
3 Tan, Xiaolu
3 Torebek, Berikbol Tillabayuly
3 Vardar-Acar, Ceren
3 Veraar, Mark C.
3 Viens, Frederi G.
3 Villemonais, Denis
...and 598 more Authors
all top 5

Cited in 163 Serials

71 Stochastic Processes and their Applications
39 The Annals of Probability
24 Bernoulli
23 Journal of Theoretical Probability
19 Statistics & Probability Letters
18 Stochastics
17 The Annals of Applied Probability
17 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
16 Probability Theory and Related Fields
14 Journal of Functional Analysis
14 Stochastic Analysis and Applications
12 Stochastics and Dynamics
10 Journal of Mathematical Analysis and Applications
8 Electronic Journal of Probability
8 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
7 Potential Analysis
7 Infinite Dimensional Analysis, Quantum Probability and Related Topics
7 Comptes Rendus. Mathématique. Académie des Sciences, Paris
6 ALEA. Latin American Journal of Probability and Mathematical Statistics
5 Advances in Applied Probability
5 Physica A
5 Journal of Differential Equations
5 Osaka Journal of Mathematics
5 Advances in Difference Equations
4 Communications in Mathematical Physics
4 Journal of Statistical Physics
4 Theory of Probability and its Applications
4 Journal of Applied Probability
4 Transactions of the American Mathematical Society
4 Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI
4 Random Operators and Stochastic Equations
4 Electronic Communications in Probability
4 Mathematical Finance
4 International Journal of Theoretical and Applied Finance
4 Methodology and Computing in Applied Probability
4 Journal of Theoretical Biology
4 Stochastic and Partial Differential Equations. Analysis and Computations
4 Modern Stochastics. Theory and Applications
3 Journal of the Mathematical Society of Japan
3 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
3 Journal de Mathématiques Pures et Appliquées. Neuvième Série
3 Journal of Dynamics and Differential Equations
3 Abstract and Applied Analysis
3 Communications in Nonlinear Science and Numerical Simulation
3 Discrete and Continuous Dynamical Systems. Series B
2 Journal of Computational Physics
2 Journal of Mathematical Physics
2 Mathematical Biosciences
2 Metrika
2 Annales de l’Institut Fourier
2 Applied Mathematics and Computation
2 Inventiones Mathematicae
2 Journal of Multivariate Analysis
2 Journal of Optimization Theory and Applications
2 Journal of Statistical Planning and Inference
2 Mathematische Nachrichten
2 Proceedings of the American Mathematical Society
2 Publications of the Research Institute for Mathematical Sciences, Kyoto University
2 SIAM Journal on Control and Optimization
2 Random Structures & Algorithms
2 M\(^3\)AS. Mathematical Models & Methods in Applied Sciences
2 SIAM Journal on Mathematical Analysis
2 Turkish Journal of Mathematics
2 Bulletin des Sciences Mathématiques
2 Finance and Stochastics
2 Journal of Inequalities and Applications
2 Annales Henri Poincaré
2 Boundary Value Problems
2 Kinetic and Related Models
2 Japanese Journal of Mathematics. 3rd Series
2 Probability Surveys
2 International Journal of Stochastic Analysis
2 Probability, Uncertainty and Quantitative Risk
1 Israel Journal of Mathematics
1 Journal of the Franklin Institute
1 Journal of Mathematical Biology
1 Moscow University Mathematics Bulletin
1 Nonlinearity
1 Reports on Mathematical Physics
1 Rocky Mountain Journal of Mathematics
1 Chaos, Solitons and Fractals
1 Mathematics Magazine
1 Annals of the Institute of Statistical Mathematics
1 Annali della Scuola Normale Superiore di Pisa. Classe di Scienze. Serie IV
1 Applied Mathematics and Optimization
1 Biometrics
1 Journal of Computational and Applied Mathematics
1 Manuscripta Mathematica
1 Mathematische Annalen
1 Mathematische Zeitschrift
1 Systems & Control Letters
1 Insurance Mathematics & Economics
1 Probability and Mathematical Statistics
1 Chinese Annals of Mathematics. Series B
1 Acta Applicandae Mathematicae
1 Journal of the American Mathematical Society
1 Forum Mathematicum
1 Journal of Integral Equations and Applications
1 Journal of Applied Mathematics and Stochastic Analysis
1 Annals of Operations Research
...and 63 more Serials
all top 5

Cited in 37 Fields

546 Probability theory and stochastic processes (60-XX)
107 Partial differential equations (35-XX)
55 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
43 Statistics (62-XX)
35 Numerical analysis (65-XX)
26 Ordinary differential equations (34-XX)
25 Statistical mechanics, structure of matter (82-XX)
24 Biology and other natural sciences (92-XX)
22 Real functions (26-XX)
19 Systems theory; control (93-XX)
18 Dynamical systems and ergodic theory (37-XX)
13 Fluid mechanics (76-XX)
11 Global analysis, analysis on manifolds (58-XX)
10 Operator theory (47-XX)
9 Calculus of variations and optimal control; optimization (49-XX)
8 Combinatorics (05-XX)
5 Measure and integration (28-XX)
5 Functional analysis (46-XX)
5 Quantum theory (81-XX)
4 Linear and multilinear algebra; matrix theory (15-XX)
4 Integral equations (45-XX)
4 Operations research, mathematical programming (90-XX)
3 Special functions (33-XX)
3 Approximations and expansions (41-XX)
3 Computer science (68-XX)
2 Number theory (11-XX)
2 Associative rings and algebras (16-XX)
2 Potential theory (31-XX)
2 Several complex variables and analytic spaces (32-XX)
2 Mechanics of deformable solids (74-XX)
1 Difference and functional equations (39-XX)
1 Harmonic analysis on Euclidean spaces (42-XX)
1 Abstract harmonic analysis (43-XX)
1 Differential geometry (53-XX)
1 Mechanics of particles and systems (70-XX)
1 Classical thermodynamics, heat transfer (80-XX)
1 Information and communication theory, circuits (94-XX)

Citations by Year