| Publication | Date of Publication | Type |
|---|
| On some asymptotic expansions of skew diffusions | 2024-10-31 | Paper |
| Integration by parts formula for exit times of one dimensional diffusions | 2024-10-01 | Paper |
| Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall | 2023-11-26 | Paper |
| Integration by parts formula for exit times of one dimensional diffusions | 2023-10-11 | Paper |
| A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation | 2023-03-24 | Paper |
| Deep Runge-Kutta schemes for BSDEs | 2022-12-29 | Paper |
Probabilistic representation of integration by parts formulae for some stochastic volatility models with unbounded drift
ESAIM: Probability and Statistics | 2022-08-18 | Paper |
Parametrix method for the first hitting time of an elliptic diffusion with irregular coefficients
Stochastics | 2022-07-06 | Paper |
Well-posedness for some non-linear SDEs and related PDE on the Wasserstein space
Journal de Mathématiques Pures et Appliquées. Neuvième Série | 2022-03-09 | Paper |
From the backward Kolmogorov PDE on the Wasserstein space to propagation of chaos for McKean-Vlasov SDEs
Journal de Mathématiques Pures et Appliquées. Neuvième Série | 2021-11-16 | Paper |
Well-posedness of some non-linear stable driven SDEs
Discrete and Continuous Dynamical Systems | 2021-02-23 | Paper |
Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs
Stochastic Processes and their Applications | 2021-02-18 | Paper |
Weak uniqueness and density estimates for SDEs with coefficients depending on some path-functionals
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2020-05-13 | Paper |
Weak uniqueness and density estimates for SDEs with coefficients depending on some path-functionals
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2020-05-13 | Paper |
Integration by parts formula for killed processes: a point of view from approximation theory
Electronic Journal of Probability | 2019-09-19 | Paper |
Integration by parts formula for killed processes: a point of view from approximation theory
Electronic Journal of Probability | 2019-09-19 | Paper |
Joint Modelling of Gas and Electricity Spot Prices
Applied Mathematical Finance | 2018-07-20 | Paper |
On the weak approximation of a skew diffusion by an Euler-type scheme
Bernoulli | 2018-02-15 | Paper |
On the weak approximation of a skew diffusion by an Euler-type scheme
Bernoulli | 2018-02-15 | Paper |
| On the first hitting times of one dimensional elliptic diffusions | 2016-09-29 | Paper |
Multi-level stochastic approximation algorithms
The Annals of Applied Probability | 2016-06-09 | Paper |
Multi-level stochastic approximation algorithms
The Annals of Applied Probability | 2016-06-09 | Paper |
CVaR hedging using quantization-based stochastic approximation algorithm
Mathematical Finance | 2016-02-22 | Paper |
A multi-step Richardson-Romberg extrapolation method for stochastic approximation
Stochastic Processes and their Applications | 2015-08-24 | Paper |
Shortfall risk minimization in discrete time financial market models
SIAM Journal on Financial Mathematics | 2015-01-20 | Paper |
Erratum: ``Concentration bounds for stochastic approximations
Electronic Communications in Probability | 2014-09-24 | Paper |
Transport-entropy inequalities and deviation estimates for stochastic approximation schemes
Electronic Journal of Probability | 2014-01-17 | Paper |
Quantization based recursive importance sampling
Monte Carlo Methods and Applications | 2013-01-24 | Paper |
Concentration bounds for stochastic approximations
Electronic Communications in Probability | 2012-10-23 | Paper |
Recursive computation of value-at-risk and conditional value-at-risk using MC and QMC
Monte Carlo and Quasi-Monte Carlo Methods 2008 | 2010-02-15 | Paper |
Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling
Monte Carlo Methods and Applications | 2010-01-06 | Paper |
