| Publication | Date of Publication | Type |
|---|
| Option pricing and hedging for regime-switching geometric Brownian motion models | 2023-09-13 | Paper |
A central limit theorem for conservative fragmentation chains
Journal of Applied Probability | 2023-08-16 | Paper |
| Counterexample to a transition probability formula for the ancestral process | 2023-05-05 | Paper |
| A centra-limit theorem for conservative fragmentation chain | 2022-10-14 | Paper |
Stability of the optimal filter in continuous time: beyond the Beneš filter
Stochastic Analysis and Applications | 2021-04-27 | Paper |
Stability of the optimal filter in continuous time: beyond the Beneš filter
Stochastic Analysis and Applications | 2021-04-27 | Paper |
Central limit theorem through expansion of the propagation of chaos for Bird and Nanbu systems
Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI | 2016-11-08 | Paper |
Central limit theorem through expansion of the propagation of chaos for Bird and Nanbu systems
Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI | 2016-11-08 | Paper |
Path storage in the particle filter
Statistics and Computing | 2016-02-23 | Paper |
Global solvability of a networked integrate-and-fire model of McKean-Vlasov type
The Annals of Applied Probability | 2015-07-27 | Paper |
Global solvability of a networked integrate-and-fire model of McKean-Vlasov type
The Annals of Applied Probability | 2015-07-27 | Paper |
Particle systems with a singular mean-field self-excitation. Application to neuronal networks
Stochastic Processes and their Applications | 2015-04-28 | Paper |
A numerical scheme for invariant distributions of constrained diffusions
Mathematics of Operations Research | 2014-07-11 | Paper |
Discrete time Markovian agents interacting through a potential
ESAIM: Probability and Statistics | 2014-04-10 | Paper |
Optimal hedging in discrete time
Quantitative Finance | 2014-02-20 | Paper |
| Perfect simulation for the Feynman-Kac law on the path space | 2012-10-01 | Paper |
Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity
Springer Proceedings in Mathematics | 2012-09-28 | Paper |
Convergence of \(U\)-statistics for interacting particle systems
Journal of Theoretical Probability | 2012-02-13 | Paper |
| A mean field theory of nonlinear filtering | 2011-07-13 | Paper |
Stability of Feynman-Kac formulae with path-dependent potentials
Stochastic Processes and their Applications | 2011-01-14 | Paper |
Dispersion and collapse in stochastic velocity fields on a cylinder
Journal of Statistical Physics | 2010-04-19 | Paper |
The convergence to equilibrium of neutral genetic models
Stochastic Analysis and Applications | 2010-02-10 | Paper |
Tree based functional expansions for Feynman--Kac particle models
The Annals of Applied Probability | 2009-06-17 | Paper |
Fast simulated annealing in R^d with an application to maximum likelihood estimation in state-space models
Stochastic Processes and their Applications | 2009-06-04 | Paper |
Approximations of a Continuous Time Filter. Application to Optimal Allocation Problems in Finance
Stochastic Analysis and Applications | 2009-05-05 | Paper |
| Expansion of the propagation of chaos for Bird and Nanbu systems | 2009-01-22 | Paper |
| Fast simulated annealing in $\R^d$ and an application to maximum likelihood estimation | 2006-09-13 | Paper |
| Coalescent tree based functional representations for some Feynman-Kac particle models | 2006-07-19 | Paper |
Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process.
Stochastic Processes and their Applications | 2005-11-29 | Paper |
Improved convergence rate for the simulation of stochastic differential equations driven by subordinated Lévy processes.
Stochastic Processes and their Applications | 2005-11-29 | Paper |
Stability and Uniform Particle Approximation of Nonlinear Filters in Case of Non Ergodic Signals
Stochastic Analysis and Applications | 2005-09-15 | Paper |
