Noufel Frikha

Available identifiers

zbMath Open frikha.noufelMaRDI QIDQ292914

List of research outcomes

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	2022-08-18	Paper
Parametrix method for the first hitting time of an elliptic diffusion with irregular coefficients	2022-07-06	Paper
Well-posedness for some non-linear SDEs and related PDE on the Wasserstein space	2022-03-09	Paper
From the backward Kolmogorov PDE on the Wasserstein space to propagation of chaos for McKean-Vlasov SDEs	2021-11-16	Paper
Well-posedness of some non-linear stable driven SDEs	2021-02-23	Paper
Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs	2021-02-18	Paper
Weak uniqueness and density estimates for SDEs with coefficients depending on some path-functionals	2020-05-13	Paper
Integration by parts formula for killed processes: a point of view from approximation theory	2019-09-19	Paper
Joint Modelling of Gas and Electricity Spot Prices	2018-07-20	Paper
On the weak approximation of a skew diffusion by an Euler-type scheme	2018-02-15	Paper
On the first hitting times of one dimensional elliptic diffusions	2016-09-29	Paper
Multi-level stochastic approximation algorithms	2016-06-09	Paper
CVaR hedging using quantization-based stochastic approximation algorithm	2016-02-22	Paper
A multi-step Richardson-Romberg extrapolation method for stochastic approximation	2015-08-24	Paper
Shortfall Risk Minimization in Discrete Time Financial Market Models	2015-01-20	Paper
Erratum: ``Concentration bounds for stochastic approximations	2014-09-24	Paper
Transport-entropy inequalities and deviation estimates for stochastic approximation schemes	2014-01-17	Paper
Quantization based recursive importance sampling	2013-01-24	Paper
Concentration bounds for stochastic approximations	2012-10-23	Paper
Recursive Computation of Value-at-Risk and Conditional Value-at-Risk using MC and QMC	2010-02-15	Paper
Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling	2010-01-06	Paper

Research outcomes over time

This page was built for person: Noufel Frikha