| Publication | Date of Publication | Type |
|---|
| Non-decreasing martingale couplings | 2025-01-23 | Paper |
| Convex ordering for stochastic Volterra equations and their Euler schemes | 2025-01-09 | Paper |
| Convergence to the uniform distribution of vectors of partial sums modulo one with a common factor | 2024-11-05 | Paper |
| Maximal martingale Wasserstein inequality | 2024-09-03 | Paper |
| Signature-based validation of real-world economic scenarios | 2024-06-17 | Paper |
| Convergence rate of the Euler-Maruyama scheme applied to diffusion processes with \(L^q - L^{\rho}\) drift coefficient and additive noise | 2024-04-10 | Paper |
| Stability of the weak martingale optimal transport problem | 2024-01-19 | Paper |
| Convex ordering of solutions to one-dimensional SDEs | 2023-12-15 | Paper |
| Maximal Martingale Wasserstein Inequality | 2023-10-12 | Paper |
| One Dimensional Martingale Rearrangement Couplings | 2023-08-21 | Paper |
| Central limit theorem for the stratified resampling mechanism | 2023-08-04 | Paper |
| Convergence to the uniform distribution of vectors of partial sums modulo one with a common factor | 2023-08-03 | Paper |
| Lipschitz continuity of the Wasserstein projections in the convex order on the line | 2023-08-02 | Paper |
| Non-decreasing martingale couplings | 2023-04-30 | Paper |
| An extension of martingale transport and stability in robust finance | 2023-04-19 | Paper |
| Weak and strong error analysis for mean-field rank-based particle approximations of one-dimensional viscous scalar conservation laws | 2022-12-20 | Paper |
| Convex order, quantization and monotone approximations of ARCH models | 2022-11-21 | Paper |
| Convex ordering for stochastic Volterra equations and their Euler schemes | 2022-11-18 | Paper |
| Strong solutions to a beta-Wishart particle system | 2022-09-29 | Paper |
| Convergence in Total Variation of the Euler--Maruyama Scheme Applied to Diffusion Processes with Measurable Drift Coefficient and Additive Noise | 2022-07-29 | Paper |
| Approximation of martingale couplings on the line in the adapted weak topology | 2022-05-20 | Paper |
| Martingale Wasserstein inequality for probability measures in the convex order | 2022-05-16 | Paper |
| Central limit theorem over non-linear functionals of empirical measures: beyond the iid setting | 2022-04-13 | Paper |
| Central limit theorem over non-linear functionals of empirical measures with applications to the mean-field fluctuation of interacting diffusions | 2022-02-22 | Paper |
| Quantization and martingale couplings | 2022-02-08 | Paper |
| Approximation rate in Wasserstein distance of probability measures on the real line by deterministic empirical measures | 2022-01-31 | Paper |
| Convergence of metadynamics: discussion of the adiabatic hypothesis | 2021-11-04 | Paper |
| Optimal dual quantizers of \(1 D\log \)-concave distributions: uniqueness and Lloyd like algorithm | 2021-06-30 | Paper |
| A new family of one dimensional martingale couplings | 2021-05-04 | Paper |
| Sampling of probability measures in the convex order by Wasserstein projection | 2021-02-15 | Paper |
| Squared quadratic Wasserstein distance: optimal couplings and Lions differentiability | 2020-12-15 | Paper |
| Martingale Wasserstein inequality for probability measures in the convex order | 2020-11-23 | Paper |
| Existence of a calibrated regime switching local volatility model | 2020-05-14 | Paper |
| Strong solutions to a beta-Wishart particle system | 2020-03-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5241677 | 2019-11-01 | Paper |
| Weak and strong error analysis for mean-field rank based particle approximations of one dimensional viscous scalar conservation law | 2019-10-24 | Paper |
| Convex order, quantization and monotone approximations of ARCH models | 2019-10-02 | Paper |
| Bias behaviour and antithetic sampling in mean-field particle approximations of SDEs nonlinear in the sense of McKean | 2019-07-11 | Paper |
| A probabilistic particle approximation of the “Paveri-Fontana” kinetic model of traffic flow | 2019-07-03 | Paper |
| SAMPLING OF ONE-DIMENSIONAL PROBABILITY MEASURES IN THE CONVEX ORDER AND COMPUTATION OF ROBUST OPTION PRICE BOUNDS | 2019-05-21 | Paper |
| Non-asymptotic error bounds for the multilevel Monte Carlo Euler method applied to SDEs with constant diffusion coefficient | 2019-05-16 | Paper |
| Computation of sensitivities for the invariant measure of a parameter dependent diffusion | 2018-11-07 | Paper |
| Convergence and efficiency of adaptive importance sampling techniques with partial biasing | 2018-06-08 | Paper |
| Evolution of the Wasserstein distance between the marginals of two Markov processes | 2018-03-27 | Paper |
| Ninomiya-Victoir scheme : Multilevel Monte Carlo estimators and discretization of the involved Ordinary Differential Equations | 2018-03-07 | Paper |
| Stochastic particle approximation of the Keller-Segel equation and two-dimensional generalization of Bessel processes | 2018-01-04 | Paper |
| Self-healing umbrella sampling: convergence and efficiency | 2017-03-23 | Paper |
| A multitype sticky particle construction of Wasserstein stable semigroups solving one-dimensional diagonal hyperbolic systems with large monotonic data | 2016-11-04 | Paper |
| Optimal convergence rate of the multitype sticky particle approximation of one-dimensional diagonal hyperbolic systems with monotonic initial data | 2016-10-14 | Paper |
| Reducing the debt: is it optimal to outsource an investment? | 2016-09-30 | Paper |
| Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators | 2016-09-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3188122 | 2016-08-16 | Paper |
| Asymptotic error distribution for the Ninomiya-Victoir scheme in the commutative case | 2016-05-26 | Paper |
| A trajectorial interpretation of the dissipations of entropy and Fisher information for stochastic differential equations | 2016-04-21 | Paper |
| Asymptotics for the normalized error of the Ninomiya-Victoir scheme | 2016-01-20 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3458508 | 2015-12-18 | Paper |
| On two numerical problems in applied probability : discretization of Stochastic Differential Equations and optimization of an expectation depending on a parameter | 2015-11-17 | Paper |
| Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme | 2015-08-07 | Paper |
| Optimal scaling for the transient phase of the random walk Metropolis algorithm: the mean-field limit | 2015-07-27 | Paper |
| Convergence of the Wang-Landau algorithm | 2015-07-20 | Paper |
| Capital distribution and portfolio performance in the mean-field Atlas model | 2015-06-26 | Paper |
| On the long time behavior of stochastic vortices systems | 2015-05-21 | Paper |
| Optimal scaling for the transient phase of Metropolis Hastings algorithms: the longtime behavior | 2014-11-11 | Paper |
| Efficiency of the Wang-Landau Algorithm: A Simple Test Case | 2014-11-05 | Paper |
| Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme | 2014-06-13 | Paper |
| Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme | 2014-05-27 | Paper |
| The small noise limit of order-based diffusion processes | 2014-05-02 | Paper |
| A remark on the optimal transport between two probability measures sharing the same copula | 2014-04-09 | Paper |
| Efficient Second-order Weak Scheme for Stochastic Volatility Models | 2014-02-19 | Paper |
| Coupling index and stocks | 2014-01-17 | Paper |
| Propagation of chaos for rank-based interacting diffusions and long time behaviour of a scalar quasilinear parabolic equation | 2013-11-20 | Paper |
| Equivalence of the Poincaré inequality with a transport-chi-square inequality in dimension one | 2012-10-23 | Paper |
| Lévy flights in evolutionary ecology | 2012-10-22 | Paper |
| A Review of Recent Results on Approximation of Solutions of Stochastic Differential Equations | 2012-09-07 | Paper |
| Regularity of the American put option in the Black-Scholes model with general discrete dividends | 2012-08-14 | Paper |
| Regularity of the Exercise Boundary for American Put Options on Assets with Discrete Dividends | 2012-04-19 | Paper |
| On adaptive stratification | 2012-03-08 | Paper |
| CONVENIENT MULTIPLE DIRECTIONS OF STRATIFICATION | 2011-11-22 | Paper |
| Convergence of a stochastic particle approximation for fractional scalar conservation laws | 2011-06-15 | Paper |
| GENERAL DUALITY FOR PERPETUAL AMERICAN OPTIONS | 2011-04-27 | Paper |
| Adaptive optimal allocation in stratified sampling methods | 2010-10-14 | Paper |
| Existence, uniqueness and convergence of a particle approximation for the Adaptive Biasing Force process | 2010-10-12 | Paper |
| Erratum. Exact retrospective Monte Carlo computation of arithmetic average Asian options | 2010-08-13 | Paper |
| Robust adaptive importance sampling for normal random vectors | 2010-07-13 | Paper |
| Does Waste Recycling Really Improve the Multi-Proposal Metropolis–Hastings algorithm? an Analysis Based on Control Variates | 2010-02-02 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3656690 | 2010-01-13 | Paper |
| Exact volatility calibration based on a Dupire-type call-put duality for perpetual American options | 2009-09-18 | Paper |
| High order discretization schemes for stochastic volatility models | 2009-08-13 | Paper |
| Nonlinear SDEs driven by L\'evy processes and related PDEs | 2009-04-27 | Paper |
| Propagation of chaos and Poincaré inequalities for a system of particles interacting through their CDF | 2008-11-27 | Paper |
| A moments and strike matching binomial algorithm for pricing American put options | 2008-09-04 | Paper |
| Diffusion Monte Carlo method: Numerical Analysis in a Simple Case | 2008-03-20 | Paper |
| Probabilistic Approximation of a Nonlinear Parabolic Equation Occurring in Rheology | 2008-02-22 | Paper |
| Stochastic flow approach to Dupire's formula | 2007-12-16 | Paper |
| Exact retrospective Monte Carlo computation of arithmetic average Asian options | 2007-10-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5296563 | 2007-08-01 | Paper |
| A Call-Put Duality for Perpetual American Options | 2006-12-21 | Paper |
| Does waste-recycling really improve Metropolis-Hastings Monte Carlo algorithm? | 2006-11-30 | Paper |
| Random models. Applications to engineering and the life sciences | 2006-11-02 | Paper |
| QUANTUM MONTE CARLO SIMULATIONS OF FERMIONS: A MATHEMATICAL ANALYSIS OF THE FIXED-NODE APPROXIMATION | 2006-09-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5482367 | 2006-08-28 | Paper |
| Probabilistic approximation and inviscid limits for one-dimensional fractional conservation laws | 2006-07-26 | Paper |
| Long-time asymptotics of a multiscale model for polymeric fluid flows | 2006-06-15 | Paper |
| Uniqueness via probabilistic interpretation for the discrete coagulation fragmentation equation | 2006-02-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5703081 | 2005-11-08 | Paper |
| On a variance reduction technique for micro--macro simulations of polymeric fluids | 2005-11-07 | Paper |
| PROBABILISTIC INTERPRETATION AND PARTICLE METHOD FOR VORTEX EQUATIONS WITH NEUMANN’S BOUNDARY CONDITION | 2005-05-09 | Paper |
| A probabilistic approach for nonlinear equations involving the fractional Laplacian and a singular operator | 2005-05-03 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4659188 | 2005-03-21 | Paper |
| Probabilistic approximation for a porous medium equation. | 2004-09-07 | Paper |
| Existence of solution for a micro-macro model of polymeric fluid: The FENE model. | 2004-06-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4807839 | 2003-10-28 | Paper |
| A stochastic approach for the numerical simulation of the general dynamics equation for aerosols. | 2003-05-20 | Paper |
| Rate of convergence of a particle method for the solution of a 1D viscous scalar conservation law in a bounded interval | 2003-05-06 | Paper |
| Probabilistic characteristics method for a one-dimensional inviscid scalar conservation law | 2003-05-06 | Paper |
| Approximation of American put prices by European prices via an embedding method. | 2003-05-06 | Paper |
| NUMERICAL ANALYSIS OF MICRO–MACRO SIMULATIONS OF POLYMERIC FLUID FLOWS: A SIMPLE CASE | 2003-03-16 | Paper |
| American prices embedded in European prices | 2002-04-08 | Paper |
| Minimisation de l'entropie relative par méthode de Monte-Carlo | 2002-01-24 | Paper |
| Signed sticky particles and 1D scalar conservation laws | 2002-01-01 | Paper |
| Probabilistic gradient approximation for a viscous scalar conservation law in space dimension d≥2 | 2001-10-14 | Paper |
| A STOCHASTIC PARTICLE METHOD FOR THE SOLUTION OF A 1D VISCOUS SCALAR CONSERVATION LAW IN A BOUNDED INTERVAL | 2001-07-12 | Paper |
| Diffusion processes associated with nonlinear evolution equations for signed measures | 2001-05-13 | Paper |
| Convergence of moderately interacting particle systems to a diffusion-convection equation | 2000-03-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4213422 | 1999-06-01 | Paper |
| Propagation of chaos and fluctuations for a moderate model with smooth initial data | 1999-01-17 | Paper |
| Diffusions with a nonlinear irregular drift coefficient and probabilistic interpretation of generalized Burgers' equations | 1998-04-26 | Paper |
| Signature-based validation of real-world economic scenarios | N/A | Paper |
