Browsing by Author "Faraud, Gabriel"

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    Bessel bridges decomposition with varying dimension : applications to finance
    (Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2012) Faraud, Gabriel; Goutte, Stéphane
    We consider a class of stochastic processes containing the classical and well-studied class of Squared Bessel processes. Our model, however, allows the dimension be a function of the time. We first give some classical results in a larger context where a time-varying drift term can be added. Then in the non-drifted case we extend many results already proven in the case of classical Bessel processes to our context. Our deepest result is a decomposition of the Bridge process associated to this generalized squared Bessel process, much similar to the much celebrated result of J. Pitman and M. Yor. On a more practical point of view, we give a methodology to compute the Laplace transform of additive functionals of our process and the associated bridge. This permits in particular to get directly access to the joint distribution of the value at $t$ of the process and its integral. We finally give some financial applications to illustrate the panel of applications of our results.
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    Connection times in large ad hoc mobile networks
    (Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2013) Döring, Hanna; Faraud, Gabriel; König, Wolfgang
    We study connectivity properties in a probabilistic model for a large mobile ad-hoc network. We consider a large number of participants of the system moving randomly, independently and identically distributed in a large domain, with a space-dependent population density of finite, positive order and with a fixed time horizon. Messages are instantly transmitted according to a relay principle, i.e., they are iteratedly forwarded from participant to participant over distances 2R, with 2R the communication radius, until they reach the recipient. In mathematical terms, this is a dynamic continuum percolation model. We consider the connection time of two sample participants, the amount of time over which these two are connected with each other. In the above thermodynamic limit, we find that the connectivity induced by the system can be described in terms of the counterplay of a local, random, and a global, deterministic mechanism, and we give a formula for the limiting behaviour. A prime example of the movement schemes that we consider is the well-known random waypoint model (RWP). Here we describe the decay rate, in the limit of large time horizons, of the probability that the portion of the connection time is less than the expectation.