The following pages link to Emmanuel Gobet (Q218416):
Displaying 50 items.
- Generalized fractional smoothness and \(L_p\)-variation of BSDEs with non-Lipschitz terminal condition (Q424522) (← links)
- Fractional smoothness of functionals of diffusion processes under a change of measure (Q457780) (← links)
- Optimization of joint \(p\)-variations of Brownian semimartingales (Q457782) (← links)
- A correction note to ``Discrete time hedging errors for options with irregular payoffs'' (Q468422) (← links)
- MCMC design-based non-parametric regression for rare event. application to nested risk computations (Q515537) (← links)
- Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations (Q516010) (← links)
- First time to exit of a continuous Itô process: general moment estimates and \({\mathbf{L}}_{1}\)-convergence rate for discrete time approximations (Q527458) (← links)
- LAMN property for hidden processes: the case of integrated diffusions (Q731453) (← links)
- Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations (Q777908) (← links)
- Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations (Q784734) (← links)
- (Q853850) (redirect page) (← links)
- Boundary sensitivities for diffusion processes in time dependent domains (Q853852) (← links)
- Numerical methods for the pricing of swing options: a stochastic control approach (Q861551) (← links)
- Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations (Q882887) (← links)
- Error expansion for the discretization of backward stochastic differential equations (Q886110) (← links)
- Smart expansion and fast calibration for jump diffusions (Q964692) (← links)
- \(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions (Q981015) (← links)
- Sharp estimates for the convergence of the density of the Euler scheme in small time (Q1038891) (← links)
- Feynman-Kac's representation in time-space domains and sensitivity with respect to the domain (Q1409733) (← links)
- Local asymptotic mixed normality property for elliptic diffusion: A Malliavin calculus approach (Q1611572) (← links)
- Optimal discretization of stochastic integrals driven by general Brownian semimartingale (Q1621716) (← links)
- Analytical approximations of non-linear SDEs of McKean-Vlasov type (Q1645109) (← links)
- Convergence rate of strong approximations of compound random maps, application to SPDEs (Q1756890) (← links)
- Nonparametric estimation of scalar diffusions based on low frequency data (Q1766134) (← links)
- Computation of Greeks for barrier and look-back options using Malliavin calculus (Q1768196) (← links)
- LAN property for ergodic diffusions with discrete observations (Q1863418) (← links)
- Weak approximation of killed diffusion using Euler schemes. (Q1877395) (← links)
- Study of new rare event simulation schemes and their application to extreme scenario generation (Q1996937) (← links)
- A generative model for fBm with deep ReLU neural networks (Q2171942) (← links)
- Volatility uncertainty quantification in a stochastic control problem applied to energy (Q2176387) (← links)
- Parametric inference for diffusions observed at stopping times (Q2188470) (← links)
- Stopped diffusion processes: boundary corrections and overshoot (Q2267543) (← links)
- Parameter estimation of Ornstein-Uhlenbeck process generating a stochastic graph (Q2412763) (← links)
- Quantitative bounds for concentration-of-measure inequalities and empirical regression: the independent case (Q2422732) (← links)
- Weak approximation of averaged diffusion processes (Q2434489) (← links)
- Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme (Q2485773) (← links)
- Almost sure optimal hedging strategy (Q2511561) (← links)
- A regression-based Monte Carlo method to solve backward stochastic differential equations (Q2572405) (← links)
- Efficient schemes for the weak approximation of reflected diffusions (Q2724993) (← links)
- Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions (Q2792367) (← links)
- (Q2803233) (← links)
- Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs (Q2833537) (← links)
- Asymptotic and non asymptotic approximations for option valuation (Q2849673) (← links)
- (Q2855397) (← links)
- Analytical formulas for a local volatility model with stochastic rates (Q2893202) (← links)
- Analytical Approximation of Variable Annuities for Small Volatility and Small Withdrawal (Q2967980) (← links)
- Solving BSDE with Adaptive Control Variate (Q3078556) (← links)
- (Q3083925) (← links)
- Analytical Approximations of BSDEs with Nonsmooth Driver (Q3195111) (← links)
- Rare Event Simulation Using Reversible Shaking Transformations (Q3447461) (← links)
