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We study the class of Azéma–Yor processes defined from a general semi-martingale with a continuous running supremum process. We show that they arise as unique strong solutions of the Bachelier stochastic differential equation which we prove is equivalent to the Drawdown equation. Solutions of the latter have the drawdown property: they always stay above a(More)
The optimization of expensive-to-evaluate functions generally relies on metamodel-based exploration strategies. Many deterministic global optimization algorithms used in the field of computer experiments are based on Kriging (Gaussian process regression). Starting with a spatial predictor including a measure of uncertainty, they proceed by iteratively(More)
Kriging-based exploration strategies often rely on a single Ordinary Kriging model which parametric covariance kernel is selected a priori or on the basis of an initial data set. Since choosing an unadapted kernel can radically harm the results, we wish to reduce the risk of model misspecification. Here we consider the simultaneous use of multiple kernels(More)
and RKHS of zero mean functions for model-based sensitivity analysis. HAL is a multidisciplinary open access archive for the deposit and dissemination of scientific research documents, whether they are published or not. The documents may come from teaching and research institutions in France or abroad, or from public or private research centers. L'archive(More)
In the study of computer codes, filling space as uniformly as possible is important to describe the complexity of the investigated phenomenon. However, this property is not conserved by reducing the dimension. Some numeric experiment designs are conceived in this sense as Latin hypercubes or orthogonal arrays, but they consider only the projections onto the(More)
Load balancing constitutes a crucial task to realize for the performance of parallel applications. However it adds an overhead which, instead, can degrade the performance of the applications. Therefore, it is essential to decide when it is worthwhile to run the load balancing. This paper rst presents a probabilistic analysis of the time complexity of an(More)
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