Pierre Patie

Submitted

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• Novel visions in the theory of self-adjoint operators through the lens of algebras
• Isospectral schemes for exact algorithms for stochastic processes and PDE's with A. Chee, X.Y. Han, Y. Liu, R. Sarkar and T. Tian
• Fluctuation theory of continuous-time skip-free downward Markov chains with applications to branching processes with immigration with R.L. Loeffen and J. Wang
  
• Non-local heat equation with moving boundary and curve-crossing of delayed Brownian motion with G. Ascione and B. Toaldo

Published/accepted papers

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1. Jacobi processes with jumps as neuronal models: a first passage time analysis with G. D'Onofrio and L. Sacerdote,
   SIAM Journal on Applied Mathematics, 2023
2. Weak similarity orbit of (log)-self-similar semigroups in the Euclidean space with R. Sarkar
   Proceedings of the London Mathematical Society, 2023
3. A new class of solutions to the van Dantzig problem, the Lee-Yang property and the Riemann hypothesis with T. Konstantopoulos and R. Sarkar
   Annales de l'Institut Fourier, 2023
4. Discrete self-similar and ergodic Markov chains with L. Miclo and R. Sarkar
   Annals of Probability, 2022
5. First passage times over stochastic boundaries for subdiffusive processes with C. Constantinescu and R.L. Loeffen
   Transactions of the American Mathematical Society, 2022
6. Non-classical Tauberian and Abelian type criteria for the moment problem with A. Vaidyanathan
   Mathematische Nachrichten, 2022
7. On intertwining relations between Ehrenfest, Yule and Ornstein-Uhlenbeck processes with L. Miclo
   Lecture Notes in Math., Sémin. Probab. Springer, 2022
8. Spectral expansions of non-self-adjoint generalized Laguerre semigroups with M. Savov
   Memoirs of the American Mathematical Society, 2021
9. On interweaving relations with L. Miclo
   Journal of Functional Analysis, 2021
10. On non-local ergodic Jacobi semigroups: spectral theory, convergence-to-equilibrium and contractivity with P. Cheridito, A. Srapionyan and A. Vaidyanathan
    Journal de l'Ecole Polytechnique - Mathématiques, 2021
11. Turàn inequalities and complete monotonicity for a class of entire functions with C. Bartholmé
    Analysis Mathematica, 2021
12. On Doney's striking factorization of the arc-sine law with L. Alili, C. Bartholmé, L. Chaumont, M. Savov and S. Vakeroudis
    Progress in Probability, Special Volume in Honor of Ron Doney, Birkhauser, 2021
13. A transformation for spectrally negative Lévy processes and applications with M. Chazal and A.E. Kyprianou
    Progress in Probability, Special Volume in Honor of Ron Doney, Birkhauser, 2021
14. Risk-neutral pricing techniques and examples with R. A. Jarrow, A. Srapionyan and Y. Zhao
    Mathematical Finance, 2021
15. Self-similar Cauchy problems and generalized Mittag-Leffler functions with A. Srapionyan
    Fractional Calculus and Applied Analysis, 2021
16. Spectral projections correlation structure for short-to-long range dependent processes with A. Srapionyan
    European Journal of Applied Mathematics, 2021
17. A spectral approach for hypocoercivity applied to some degenerate hypoelliptic, and non-local operators with with A. Vaidyanathan
    Kinetics and Related Models, 2020
18. Analysis of non-reversible Markov chains via similarity orbit with M.C.H. Choi
    Combinatorics, Probability and Computing, 2020
19. The log-Lévy moment problem via Berg-Urbanik semigroups with A. Vaidyanathan
    Studia Mathematica, 2020
20. Intertwining, excursion theory and Krein theory of strings for non-self-adjoint Markov semigroups with M. Savov and Y. Zhao
    Annals of Probability, 2019
21. Skip-free Markov chains with M.C.H. Choi,
    Transactions of the American Mathematical Society, 2019
22. Extinction time of non-Markovian self-similar processes, persistence, annihilation of jumps and the Fréchet distribution with R.L. Loeffen and M. Savov,
    Journal of Statistical Physics, 2019
23. On a gateway between continuous and discrete Bessel and Laguerre processes with L. Miclo,
    Annales Henri Lebesgue, 2019
24. Purely excessive functions and hitting times of continuous-time branching processes with F. Avram and with J. Wang
    Methodology and Computing in Applied Probability, 2019
25. Smoothness of continuous state branching with immigration semigroups with M. Chazal and R.L. Loeffen
    Journal of Mathematical Analysis and Applications, 2018
26. Bernstein-gamma functions and exponential functionals of Lévy Processes with M. Savov
    Electronic Journal of Probability, 2018
27. Option pricing in a one-dimensional affine term structure model via spectral representations with M. Chazal and R.L. Loeffen
    SIAM Journal on Financial Mathematics, 2018
28. Spectral decomposition of fractional operators and a reflected stable semigroup with Y. Zhao
    Journal of Differential Equations, 2017
29. Cauchy problem of the non-self-adjoint Gauss-Laguerre semigroups and uniform bounds of generalized Laguerre polynomials with M. Savov
    Journal of Spectral Theory, 2017
30. Convergence analysis of the spectral expansion of stable related semigroups with Y. Zhao
    Mathematical and computational approaches in advancing modern science and engineering, 2016
31. A sufficient condition for continuous-time finite skip-free Markov chains to have real eigenvalues with M.C.H. Choi,
    Mathematical and computational approaches in advancing modern science and engineering, 2016
32. Boundary crossing identities for Brownian motion and some nonlinear ode's with L. Alili
    Proceedings of the American Mathematical Society, 2014
33. Asion options under one-sided  Lévy models
    Journal of Applied Probability, 2013
34. Law of the absorption time of positive self-similar Markov processes
    Annals of Probability, 2012
35. Extended factorizations of exponential functionals of Lévy processes with M. Savov
    Electronic Journal of Probability, 2012
36. A Wiener-Hopf type factorization for the exponential functional of Lévy processes with J.-C. Pardo and M. Savov
    Journal of the London Mathematical Society, 2012
37. Intertwining certain fractional operators with T. Simon
    Potential Analysis, 2012
38. Optimal stopping problems for some Markov processes with M. Cissé and E. Tanré
    Annals of Applied Probability, 2012
39. A Ciesielski-Taylor type identity for positive self-similar Markov processes with A.E. Kyprianou
    Annales Institut Henri Poincaré, 2011
40. A refined factorization of the exponential law
    Bernoulli, 2011
41. Boundary crossing identities for diffusions having the time inversion property with L. Alili,
    Journal of Theoretical Probability, 2010
42. Exponential functional of a new family of Lévy processes and self-similar continuous state branching processes with immigration
    Bulletin des Sciences Mathématiques, 2009
43. Infinite divisibility of solutions to some self-similar integro-differential equations and exponential functionals of Lévy processes
    Annales Institut Henri Poincaré Prob.. Stat., 2009
44. Law of the exponential functional of one-sided Lévy processes and Asian options
    Comptes Rendus Mathématique. Académie des Sciences, 2009
45. A few remarks on the supremum of stable processes
    Statistics and Probability Letters, 2009
46. q-invariant functions for some generalizations of the Ornstein-Uhlenbeck semigroup
    ALEA, 2008
47. First exit time probabilities for multidimensional diffusion: A PDE-based approach with C. Winter
    Journal of Computational and Applied Mathematics, 2008
48. On the joint law of the L¹ and L² norms of a 3-dimensional Bessel bridge with L. Alili
    Séminaire de Probabilités, 2007
49. Two-sided exit problem for a spectrally negative α-stable Ornstein-Uhlenbeck process and the Wright's generalized hypergeometric functions
    Electronic Communications in Probability, 2007
50. Representations of the first hitting time density of an Ornstein-Uhlenbeck process with L. Alili  and J.L. Pedersen,
    Stochastic Models, 2005
51. Sur les premiers instants de croissement du mouvement brownien et d'une famille de courbes continues with L. Alili
    Comptes Rendus Mathématique. Académie des Sciences, 2005
52. Strategic Long-Term Financial Risks: The one dimensional case with P. Embrechts   and R. Kaufmann
    Computational Optimization and Applications, 2005
53. On a martingale associated to generalized Ornstein-Uhlenbeck processes and an application to finance
    Stochastic Processes and Applications, 2005
54. Risk Management for Derivatives in Illiquid Markets: A Simulation Study with R. Frey,
    Advances in Finance and Stochastics, 2002