Coutin Laure

Research Interests

• Estimation of coefficient of a right continous left limited process with discrete time observations. These processes are driven by Brownian motions and point Poisson processes. They are used in mathematical finance.
• Filtering of a right continous left limited process : application of stochastic caculus of variation to the study of the filter density (existence, smoothness, uniqness).
• Study of stochastic differential equations driven by a fractional Brownian motions. We used the approach developped by Decreusefond-Ustunel, and it leads to Volterra equations with unbounded kernels.
• Filtering theory for solutions of stochastic differential equations driven by fractional Brownian motions.
• Simulation of fractional Brownian motion by a recursive algorithm.
• Integration with respect to fractional Brownian motion using limit of semimartingales.
• Differential equations with respect to fractional Brownian motion using rough paths in the multidimensional case and in Stratonovitch sense.
• Semimartingales and rough path.
• Volterra Bridge

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