| Publication | Date of Publication | Type |
|---|
A hypothesis test for the domain of attraction of a random variable
European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics | 2025-01-23 | Paper |
Lipschitz continuity in the Hurst parameter of functionals of stochastic differential equations driven by a fractional Brownian motion
Electronic Journal of Probability | 2024-10-16 | Paper |
A hypothesis test for the domain of attraction of a random variable
| 2022-10-14 | Paper |
Book Review: Sobolev and viscosity solutions for fully nonlinear elliptic and parabolic equations
Bulletin of the American Mathematical Society | 2021-07-14 | Paper |
A new McKean-Vlasov stochastic interpretation of the parabolic-parabolic Keller-Segel model: the one-dimensional case
Bernoulli | 2020-02-12 | Paper |
On a Wasserstein-type distance between solutions to stochastic differential equations
The Annals of Applied Probability | 2019-05-22 | Paper |
Mean-field limit of a particle approximation of the one-dimensional parabolic-parabolic Keller-Segel model without smoothing
Electronic Communications in Probability | 2018-11-01 | Paper |
Liquidity costs: a new numerical methodology and an empirical study
Applied Mathematical Finance | 2018-09-19 | Paper |
Noise sensitivity of functionals of fractional Brownian motion driven stochastic differential equations: results and perspectives
| 2018-03-08 | Paper |
Singular stochastic computational models, stochastic analysis, PDE analysis, and numerics
| 2017-11-06 | Paper |
Lipschitz continuity in the Hurst parameter of functionals of stochastic differential equations driven by a fractional Brownian motion
| 2016-05-11 | Paper |
A pseudo-Markov property for controlled diffusion processes
SIAM Journal on Control and Optimization | 2016-04-25 | Paper |
Clarification and complement to ``Mean-field description and propagation of chaos in networks of Hodgkin-Huxley and Fitzhugh-Nagumo neurons
The Journal of Mathematical Neuroscience | 2016-04-07 | Paper |
Mean-field limit of a stochastic particle system smoothly interacting through threshold hitting-times and applications to neural networks with dendritic component
SIAM Journal on Mathematical Analysis | 2015-10-19 | Paper |
Derivatives of solutions of semilinear parabolic PDEs and variational inequalities with Neumann boundary conditions
Springer Proceedings in Mathematics & Statistics | 2015-07-02 | Paper |
On probabilistic analytical and numerical approaches for divergence form operators with discontinuous coefficients
Advances in Numerical Simulation in Physics and Engineering | 2015-02-03 | Paper |
Stochastic simulation and Monte Carlo methods. Mathematical foundations of stochastic simulation
Stochastic Modelling and Applied Probability | 2013-08-06 | Paper |
One-dimensional parabolic diffraction equations: pointwise estimates and discretization of related stochastic differential equations with weighted local times
Electronic Journal of Probability | 2012-06-22 | Paper |
On conditional McKean Lagrangian stochastic models
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2011-11-07 | Paper |
Stochastic representations of derivatives of solutions of one-dimensional parabolic variational inequalities with Neumann boundary conditions
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2011-05-19 | Paper |
Stochastic simulation and Monte-Carlo methods.
| 2011-03-24 | Paper |
Modeling the term structure of interest rates: a review of the literature
Foundations and Trends® in Finance | 2011-01-24 | Paper |
Probabilistic interpretation and random walk on spheres algorithms for the Poisson-Boltzmann equation in molecular dynamics
ESAIM: Mathematical Modelling and Numerical Analysis | 2010-10-12 | Paper |
Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs
| 2010-01-13 | Paper |
On mean numbers of passage times in small balls of discretized Itô processes
Electronic Communications in Probability | 2009-11-20 | Paper |
Model Risk in Finance: Some Modeling and Numerical Analysis Issues
Special Volume: Mathematical Modeling and Numerical Methods in Finance | 2009-06-05 | Paper |
Estimation of the Brownian dimension of a continuous Itô process
Bernoulli | 2009-03-02 | Paper |
Model misspecification analysis for bond options and Markovian hedging strategies
Review of Derivatives Research | 2007-12-05 | Paper |
On a Monte Carlo method for neutron transport criticality computations
IMA Journal of Numerical Analysis | 2006-12-12 | Paper |
scientific article; zbMATH DE number 5052223 (Why is no real title available?)
| 2006-09-11 | Paper |
Concentration inequalities for Euler schemes
| 2006-08-28 | Paper |
Technical analysis techniques versus mathematical models: boundaries of their validity domains
| 2006-08-28 | Paper |
Discretization of one-dimensional stochastic differential equations whose generators are divergence form with a discontinuous coefficient
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2006-01-18 | Paper |
Approximation of quantiles of components of diffusion processes.
Stochastic Processes and their Applications | 2005-11-29 | Paper |
A symmetrized Euler scheme for an efficient approximation of reflected diffusions
Journal of Applied Probability | 2005-04-18 | Paper |
scientific article; zbMATH DE number 2134085 (Why is no real title available?)
| 2005-02-15 | Paper |
Convergence rate of the Sherman and Peskin branching stochastic particle method
Proceedings of the Royal Society of London. Series A: Mathematical and Physical Sciences | 2004-08-06 | Paper |
Worst case model risk management
Finance and Stochastics | 2004-03-16 | Paper |
scientific article; zbMATH DE number 2051211 (Why is no real title available?)
| 2004-03-07 | Paper |
scientific article; zbMATH DE number 1851000 (Why is no real title available?)
| 2003-05-25 | Paper |
A stochastic particle method with random weights for the computation of statistical solutions of McKean-Vlasov equations
The Annals of Applied Probability | 2003-05-06 | Paper |
Quantiles of the Euler Scheme for Diffusion Processes and Financial Applications
Mathematical Finance | 2003-01-01 | Paper |
Convergence rate of a branching stochastic particle method
Comptes Rendus de l'Académie des Sciences. Série I. Mathématique | 2002-04-11 | Paper |
Simulation of stochastic processes and applications
| 2002-02-12 | Paper |
Discretization of stochastic differential equations. Application to simulation. Stochastic numerical methods for partial differential equations
| 2001-09-24 | Paper |
Vitesse de convergence d'une méthode particulaire stochastique avec poids d'interaction aléatoires
Comptes Rendus de l'Académie des Sciences - Series I - Mathematics | 2001-05-20 | Paper |
scientific article; zbMATH DE number 1341827 (Why is no real title available?)
| 2000-04-04 | Paper |
Nonlinear self-stabilizing processes. I: Existence, invariant probability, propagation of chaos
Stochastic Processes and their Applications | 1999-11-18 | Paper |
ICIAM/GAMM 95 Numerical Analysis, Scientific computing Computer ScienceICIAM/GAMM 95 Numerical Analysis, Scientific computing Computer Science
ZAMM - Journal of Applied Mathematics and Mechanics / Zeitschrift für Angewandte Mathematik und Mechanik | 1999-11-08 | Paper |
scientific article; zbMATH DE number 1153868 (Why is no real title available?)
| 1999-11-08 | Paper |
The Euler scheme for Lévy driven stochastic differential equations
The Annals of Probability | 1997-11-18 | Paper |
The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
Monte Carlo Methods and Applications | 1997-07-20 | Paper |
Convergence rate for the approximation of the limit law of weakly interacting particles: Application to the Burgers equation
The Annals of Applied Probability | 1997-04-21 | Paper |
scientific article; zbMATH DE number 933356 (Why is no real title available?)
| 1997-01-22 | Paper |
A stochastic particle method for the McKean-Vlasov and the Burgers equation
Mathematics of Computation | 1997-01-09 | Paper |
Approximation of Lyapunov Exponents of Nonlinear Stochastic Differential Equations
SIAM Journal on Applied Mathematics | 1996-06-09 | Paper |
The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1996-05-27 | Paper |
scientific article; zbMATH DE number 822846 (Why is no real title available?)
| 1996-05-21 | Paper |
scientific article; zbMATH DE number 777921 (Why is no real title available?)
| 1996-03-25 | Paper |
Integral Formulation of the Boundary Value Problems and the Method of Random Walk on Spheres
Monte Carlo Methods and Applications | 1995-11-13 | Paper |
A stochastic particle method for some one-dimensional nonlinear p.d.e
Mathematics and Computers in Simulation | 1995-11-06 | Paper |
The Euler scheme for stochastic differential equations: Error analysis with Malliavin calculus
Mathematics and Computers in Simulation | 1995-10-31 | Paper |
Rate of Convegence of a Stochastic Particle Method for the Kolmogorov Equation with Variable Coefficients
Mathematics of Computation | 1994-12-20 | Paper |
scientific article; zbMATH DE number 447038 (Why is no real title available?)
| 1994-01-30 | Paper |
Approximation of Upper Lyapunov Exponents of Bilinear Stochastic Differential Systems
SIAM Journal on Numerical Analysis | 1992-06-25 | Paper |
Expansion of the global error for numerical schemes solving stochastic differential equations
Stochastic Analysis and Applications | 1990-01-01 | Paper |
Second-order discretization schemes of stochastic differential systems for the computation of the invariant law
Stochastics and Stochastic Reports | 1990-01-01 | Paper |
scientific article; zbMATH DE number 4150065 (Why is no real title available?)
| 1990-01-01 | Paper |
scientific article; zbMATH DE number 4143189 (Why is no real title available?)
| 1990-01-01 | Paper |
scientific article; zbMATH DE number 4097266 (Why is no real title available?)
| 1989-01-01 | Paper |
scientific article; zbMATH DE number 4032733 (Why is no real title available?)
| 1987-01-01 | Paper |
Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution
ESAIM: Mathematical Modelling and Numerical Analysis | 1986-01-01 | Paper |
Discretization and simulation of stochastic differential equations
Acta Applicandae Mathematicae | 1985-01-01 | Paper |
scientific article; zbMATH DE number 3863080 (Why is no real title available?)
| 1984-01-01 | Paper |
Resolution trajectorielle et analyse numerique des equations differentielles stochastiques
Stochastics | 1983-01-01 | Paper |
scientific article; zbMATH DE number 3812862 (Why is no real title available?)
| 1982-01-01 | Paper |
scientific article; zbMATH DE number 3818795 (Why is no real title available?)
| 1982-01-01 | Paper |
