Publications et préprints de Prof. Robert C. Dalang

Research articles (since 1999)

• Extending the martingale measure stochastic integral with applications to spatially homogeneous s.p.d.e.'s, Electronic J. of Probab. 4-6 (1999), 1-29.
• Level sets, bubbles and excursions of a Brownian sheet, in: Proceedings of Akademie Colloquium Infinite Dimensional Stochastic Analysis, Amsterdam, February 11-12, 1999 (with T. Mountford), Ph. Clément, F. den Hollander, J. van Neerven and B. de Pagter, eds, Royal Netherlands Akademie of Arts and Sciences, Amsterdam, 2000, pp. 117-128.
• Corrections to: Extending the martingale measure stochastic integral with applications to spatially homogeneous s.p.d.e.'s, Electronic J. of Probab. 6 (2001), 5pp.
• Jordan curves in the level sets of additive Brownian motion (with T. Mountford), Trans. Amer. Math. Soc. 353-9 (2001), 3531-3545.
• Eccentric behaviors of the Brownian sheet along lines (with T. Mountford), Annals Probab. 30-1 (2002), 293-322.
• Time-reversal in hyperbolic s.p.d.e.'s (with J.B. Walsh), Annals Probab. 30-1 (2002), 213-252.
• Performance of quantitative versus passive investing: a comparison in global markets (with C. Osinski and W. Marty), The Journal of Performance Measurement 6-2 (2002), 29-44.
• Non-independence of excursions of the Brownian sheet and of additive Brownian motion (with T. Mountford) Trans. Amer. Math. Soc. 355 (2003), 967-985.
• Some non-linear s.p.d.e.'s that are second order in time (with C. Mueller), Electronic Journal of Probability 8-1 (2003), 1-21.
• Potential theory for hyperbolic spde's (with E. Nualart), Annals Probab. 32 (2004), 2099-2148.
• Second-order linear hyperbolic s.p.d.e.'s driven by isotropic Gaussian noise on a sphere (with O. Lévèque), Annals Probab. 32 (2004), 1068-1099.
• Second-order hyperbolic SPDE's driven by boundary noises (with O. Lévèque), in: Seminar on Stochastic Analysis, Random Fields and Applications IV, Ascona, Switzerland 2002 (R.C. Dalang, M. Dozzi \& F. Russo, eds), Progress in Probability 58, Birkh\auser (2004), 83-93.
• The right time to sell a stock whose price is driven by Markovian noise (with M.-O. Hongler), Annals Applied Probab. 14-4 (2004), 2176-2201.
• A mathematical model for `Who wants to be a millionaire?' (with V. Bernyk), The Mathematical Scientist 29 (2004), 85-100.
• Recurrent lines in two-parameter isotropic stable Lévy sheets (with D. Khoshnevisan), Stochastic Processes and Their Applications 114 (2004), 81-107.
• Regularity of the sample paths of a class of second order spde's (with M. Sanz-Solé), J. Functional Analysis 227 (2005), 304-337.
• Second-order hyperbolic s.p.d.e.'s driven by homogeneous Gaussian noise on a hyperplane (with O. Lévèque, Transactions of the American Mathematical Society), 368 (2006), 2123-2159.
• Hitting properties of parabolic s.p.d.e.'s with reflection (with C. Mueller and L. Zambotti), Annals Probab. 34 (2006).
• Une démonstration élémentaire du théorème central limite, Elemente der Mathematik 61 (2006), 65-73.
• Hitting probabilities for systems of non-linear stochastic heat equations with additive noise (with Davar Khoshnevisan and Eulalia Nualart), ALEA 3 (2007), 231-271.
• The law of the supremum of a stable Lévy process with no negative jumps (with V. Bernyk and G. Peskir), Annals Probab., 36-5 (2008), 1777-1789.
• The non-linear stochastic wave equation in high dimensions (with Daniel Conus), Electronic Journal of Probability 13 (2008), 629-670.
• A Feynman-Kac-type formula for the deterministic and stochastic wave equations and other p.d.e.'s (with C. Mueller and R. Tribe), Transactions of the American Mathematical Society, 360 (2008), 4681-4703.
• Hölder-Sobolev regularity of the solution to the stochastic wave equation in dimension 3 (with M. Sanz-Solé), Memoirs of the American Mathematical Society, to appear (2009).
• Hitting probabilities for systems of non-linear stochastic heat equations with multiplicative noise (with Davar Khoshnevisan and Eulalia Nualart), Probab. Theory and Rel. Fields, to appear (2009).
• Intermittency properties in a hyperbolic Anderson problem (with Carl Mueller), Annales de l'Institut Henri Poincaré, to appear (2009).

Monograph

• Sequential Stochastic Optimization (with R. Cairoli), 10 chapters, xii + 327 pages, 1996), Wiley, New York.

Lecture Notes

• Level sets and excursions of the Brownian sheet. In: CIME 2001 summer school Topics in Spatial Stochastic Processes (Merzbach, E., ed), Lect. Notes in Math. 1802, Springer Verlag (2003), 167-208.
• The stochastic wave equation. In: A Minicourse on Stochastic Partial Differential Equations Salt Lake City, Utah, 2006 (Khoshnevisan, D. and Rassoul-Agha, F., eds), Lect. Notes in Math. 1962, Springer Verlag (2008), 39-71.

Conference proceedings edited

• Seminar on Stochastic Analysis, Random Fields and Applications (Ascona, Switzerland 1996) (with M. Dozzi and F. Russo), Progress in Probability 45, Birkh\auser (1999) (20 articles).
• Seminar on Stochastic Analysis, Random Fields and Applications III (Ascona, Switzerland 1999) (with M. Dozzi and F. Russo), Progress in Probability 52, Birkh\auser (2002) (21 articles).
• Seminar on Stochastic Analysis, Random Fields and Applications IV (Ascona, Switzerland 2002) (with M. Dozzi and F. Russo), Progress in Probability 58, Birkh\auser (2004) (19 articles).
• Seminar on Stochastic Analysis, Random Fields and Applications V (Ascona, Switzerland 2005) (with M. Dozzi and F. Russo), Progress in Probability 59, Birkh\auser (2008) (28 articles).

Textbook

• Algèbre linéaire: Aide-mémoire, exercices et applications (with A. Chaabouni), (16 chapters, xii + 322 pages, 2001), Presses Polytechniques et Universitaires Romandes.
• Algèbre linéaire: Aide-mémoire, exercices et applications 2ème éd. (with A. Chaabouni), (17 chapters, xii + 348 pages, 2004), Presses Polytechniques et Universitaires Romandes.
• Introduction à la théorie des probabilités (with D. Conus), (11 chapters, xii + 204 pages, 2008), Presses Polytechniques et Universitaires Romandes.