| Publication | Date of Publication | Type |
|---|
Modeling diffusion in one dimensional discontinuous media under generalized permeable interface conditions: theory and algorithms
SIAM Journal on Scientific Computing | 2024-07-16 | Paper |
General diffusion processes as limit of time-space Markov chains
The Annals of Applied Probability | 2024-01-15 | Paper |
Probabilistic representations of fragmentation equations
Probability Surveys | 2023-03-20 | Paper |
Two consistent estimators for the skew Brownian motion
ESAIM: Probability and Statistics | 2023-03-09 | Paper |
Hawkes processes framework with a gamma density as excitation function: application to natural disasters for insurance
Methodology and Computing in Applied Probability | 2023-02-17 | Paper |
Maximum likelihood estimator for skew Brownian motion: the convergence rate
| 2023-02-06 | Paper |
A forward-backward probabilistic algorithm for the incompressible Navier-Stokes equations
Journal of Computational Physics | 2022-04-11 | Paper |
Book Review: A course on rough paths: With an introduction to regularity structures; Second edition
Bulletin of the American Mathematical Society | 2022-04-01 | Paper |
Constructing general rough differential equations through flow approximations
Electronic Journal of Probability | 2022-02-22 | Paper |
The non-linear sewing lemma. II. Lipschitz continuous formulation
Journal of Differential Equations | 2021-08-06 | Paper |
A Course on Rough Paths: With an Introduction to Regularity Structures
Quantitative Finance | 2021-06-02 | Paper |
A Monte Carlo estimation of the mean residence time in cells surrounded by thin layers
Mathematics and Computers in Simulation | 2021-03-01 | Paper |
An exponential timestepping algorithm for diffusion with discontinuous coefficients
Journal of Computational Physics | 2021-01-27 | Paper |
A recommendation system for car insurance
European Actuarial Journal | 2021-01-20 | Paper |
Maximum likelihood drift estimation for a threshold diffusion
Scandinavian Journal of Statistics | 2020-11-30 | Paper |
The Girsanov theorem without (so much) stochastic analysis
Séminaire de Probabilités XLIX | 2020-10-20 | Paper |
The non-linear sewing lemma III: stability and generic properties
Forum Mathematicum | 2020-09-16 | Paper |
Analytic Expressions of the Solutions of Advection-Diffusion Problems in One Dimension with Discontinuous Coefficients
SIAM Journal on Applied Mathematics | 2019-09-18 | Paper |
The non-linear sewing lemma I: weak formulation
Electronic Journal of Probability | 2019-08-06 | Paper |
A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data
International Journal of Theoretical and Applied Finance | 2019-06-24 | Paper |
Statistical estimation of the oscillating Brownian motion
Bernoulli | 2018-05-18 | Paper |
Sensitivity of rough differential equations: an approach through the omega lemma
Journal of Differential Equations | 2018-01-19 | Paper |
Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift
Journal of Computational and Applied Mathematics | 2017-08-01 | Paper |
Approximation of CVaR minimization for hedging under exponential-Lévy models
Journal of Computational and Applied Mathematics | 2017-08-01 | Paper |
scientific article; zbMATH DE number 6736735 (Why is no real title available?)
| 2017-06-28 | Paper |
An efficient algorithm to simulate a Brownian motion over irregular domains
Communications in Computational Physics | 2017-06-20 | Paper |
Simulating diffusion processes in discontinuous media: benchmark tests
Journal of Computational Physics | 2016-12-05 | Paper |
The snapping out Brownian motion
The Annals of Applied Probability | 2016-08-23 | Paper |
Detection of nearshore ocean currents using video images
ESAIM: Proceedings and Surveys | 2016-01-29 | Paper |
Perturbed linear rough differential equations
Annales Mathématiques Blaise Pascal | 2014-08-12 | Paper |
Is a Brownian Motion Skew?
Scandinavian Journal of Statistics | 2014-05-26 | Paper |
Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps
Journal of Computational Physics | 2014-04-22 | Paper |
New Monte Carlo schemes for simulating diffusions in discontinuous media
Journal of Computational and Applied Mathematics | 2013-04-22 | Paper |
Global Solutions to Rough Differential Equations with Unbounded Vector Fields
Lecture Notes in Mathematics | 2012-08-29 | Paper |
Simulation of a stochastic process in a discontinuous layered medium
Electronic Communications in Probability | 2012-06-22 | Paper |
Simulating diffusions with piecewise constant coefficients using a kinetic approximation
Computer Methods in Applied Mechanics and Engineering | 2012-02-08 | Paper |
Is a Brownian skew?
| 2011-01-05 | Paper |
Controlled differential equations as Young integrals: a simple approach
Journal of Differential Equations | 2010-10-19 | Paper |
A probabilistic interpretation of the transmission conditions using the skew Brownian motion
| 2010-09-02 | Paper |
Simulation of diffusions by means of importance sampling paradigm
The Annals of Applied Probability | 2010-09-01 | Paper |
On the constructions of the skew Brownian motion
Probability Surveys | 2010-06-29 | Paper |
Stochastic differential equations driven by processes generated by divergence form operators. II: Convergence results
ESAIM: Probability and Statistics | 2010-03-15 | Paper |
Yet another introduction to rough paths
Lecture Notes in Mathematics | 2009-12-18 | Paper |
On rough differential equations
Electronic Journal of Probability | 2009-11-20 | Paper |
Global existence for rough differential equations under linear growth conditions
| 2009-05-14 | Paper |
Estimation of the Brownian dimension of a continuous Itô process
Bernoulli | 2009-03-02 | Paper |
Rough Paths: An Introduction Using Classical Analysis
AIP Conference Proceedings | 2009-01-22 | Paper |
Computing the principal eigenelements of some linear operators using a branching Monte Carlo method
Journal of Computational Physics | 2008-11-25 | Paper |
A Donsker theorem to simulate one-dimensional processes with measurable coefficients
ESAIM: Probability and Statistics | 2007-11-30 | Paper |
Stochastic differential equations driven by processes generated by divergence form operators I: a Wong-Zakai theorem
ESAIM: Probability and Statistics | 2007-11-30 | Paper |
Computing the principal eigenvalue of the Laplace operator by a stochastic method
Mathematics and Computers in Simulation | 2007-03-12 | Paper |
Young integrals and SPDEs
Potential Analysis | 2006-12-06 | Paper |
Semi-martingales and rough paths theory
Electronic Journal of Probability | 2006-11-03 | Paper |
A random walk on rectangles algorithm
Methodology and Computing in Applied Probability | 2006-10-27 | Paper |
On \((p,q)\)-rough paths
Journal of Differential Equations | 2006-07-20 | Paper |
A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
The Annals of Applied Probability | 2006-06-29 | Paper |
A probabilistic representation of the solution of some quasi-linear PDE with a divergence form operator. Application to existence of weak solutions of FBSDE.
Stochastic Processes and their Applications | 2005-11-29 | Paper |
Monte Carlo methods for fissured porous media: a gridless approach *
Monte Carlo Methods and Applications | 2005-03-10 | Paper |
BSDE driven by Dirichlet process and semi-linear parabolic PDE. Application to homogeniza\-tion.
Stochastic Processes and their Applications | 2005-02-25 | Paper |
Simulating a diffusion on a graph. Application to reservoir engineering
| 2004-05-18 | Paper |
scientific article; zbMATH DE number 2050982 (Why is no real title available?)
| 2004-03-07 | Paper |
Séminaire de Probabilités XXXVI
Lecture Notes in Mathematics | 2004-02-23 | Paper |
On the convergence of stochastic integrals driven by processes converging on account of a homogenization property
Electronic Journal of Probability | 2003-02-13 | Paper |
A probabilistic approach to the homogenization of divergence-form operators in periodic media
Asymptotic Analysis | 2002-11-25 | Paper |
A Monte Carlo method without grid for a fractured porous domain model
Monte Carlo Methods and Applications | 2002-09-22 | Paper |
scientific article; zbMATH DE number 1777534 (Why is no real title available?)
| 2002-08-08 | Paper |
Homogenization of divergence-form operators with lower-order terms in random media
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2002-06-13 | Paper |
Weak solution of semi-linear PDE, BSDE and homogenization
Monte Carlo Methods and Applications | 2002-06-13 | Paper |
A Monte Carlo method to compute the exchange coefficient in the double porosity model.
Monte Carlo Methods and Applications | 2001-01-01 | Paper |
Beyond the delta method
| N/A | Paper |
