| Publication | Date of Publication | Type |
|---|
Convex ordering for stochastic Volterra equations and their Euler schemes
Finance and Stochastics | 2025-01-09 | Paper |
Swing contract pricing: with and without neural networks
Frontiers of Mathematical Finance | 2024-07-31 | Paper |
Risk quantization by magnitude and propensity
Insurance Mathematics & Economics | 2024-05-24 | Paper |
Convergence of Langevin-simulated annealing algorithms with multiplicative noise
Mathematics of Computation | 2024-04-16 | Paper |
Functional convex order for the scaled McKean-Vlasov processes
The Annals of Applied Probability | 2024-01-16 | Paper |
Marginal and Functional Quantization of Stochastic Processes
Probability Theory and Stochastic Modelling | 2024-01-08 | Paper |
Convex ordering of solutions to one-dimensional SDEs
| 2023-12-15 | Paper |
Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall
| 2023-11-26 | Paper |
Discretization of the ergodic functional central limit theorem
Journal of Theoretical Probability | 2023-11-21 | Paper |
Convergence of Langevin-simulated annealing algorithms with multiplicative noise. II: Total variation
Monte Carlo Methods and Applications | 2023-09-18 | Paper |
Unadjusted Langevin algorithm with multiplicative noise: total variation and Wasserstein bounds
The Annals of Applied Probability | 2023-06-05 | Paper |
From elephant to goldfish (and back): memory in stochastic Volterra processes
| 2023-06-05 | Paper |
Performance of a Markovian neural network versus dynamic programming on a fishing control problem
Probability, Uncertainty and Quantitative Risk | 2023-04-26 | Paper |
Total variation distance between two diffusions in small time with unbounded drift: application to the Euler-Maruyama scheme
Electronic Journal of Probability | 2022-12-08 | Paper |
Convex order, quantization and monotone approximations of ARCH models
Journal of Theoretical Probability | 2022-11-21 | Paper |
Convex ordering for stochastic Volterra equations and their Euler schemes
| 2022-11-18 | Paper |
Monotone convex order for the McKean-Vlasov processes
Stochastic Processes and their Applications | 2022-08-29 | Paper |
Dynamic programming versus supervised learning: optimal fishing quotas
| 2022-08-19 | Paper |
Stationary Heston model: calibration and pricing of exotics using product recursive quantization
Quantitative Finance | 2022-05-27 | Paper |
Weak and strong error analysis of recursive quantization: a general approach with an application to jump diffusions
IMA Journal of Numerical Analysis | 2022-05-17 | Paper |
Quantization and martingale couplings
| 2022-02-08 | Paper |
New approach to greedy vector quantization
Bernoulli | 2022-02-01 | Paper |
Total variation distance between two diffusions in small time with unbounded drift: application to the Euler-Maruyama scheme
| 2021-11-18 | Paper |
Performance of a Markovian neural network versus dynamic programming on a fishing control problem
| 2021-09-14 | Paper |
Optimal dual quantizers of \(1 D\log \)-concave distributions: uniqueness and Lloyd like algorithm
Journal of Approximation Theory | 2021-06-30 | Paper |
Fast hybrid schemes for fractional Riccati equations (rough is not so tough)
Mathematics of Operations Research | 2021-06-03 | Paper |
Quantization-based approximation of reflected BSDEs with extended upper bounds for recursive quantization
| 2021-05-17 | Paper |
Weak error for nested multilevel Monte Carlo
Methodology and Computing in Applied Probability | 2021-01-18 | Paper |
Sharp rate for the dual quantization problem
Séminaire de Probabilités XLIX | 2020-10-20 | Paper |
Convergence rate of optimal quantization and application to the clustering performance of the empirical measure
| 2020-10-05 | Paper |
Product Markovian quantization of a diffusion process with applications to finance
Methodology and Computing in Applied Probability | 2020-05-04 | Paper |
New weak error bounds and expansions for optimal quantization
Journal of Computational and Applied Mathematics | 2020-02-18 | Paper |
Characterization of probability distribution convergence in Wasserstein distance by \(L^p\)-quantization error function
Bernoulli | 2020-02-12 | Paper |
Recursive computation of invariant distributions of Feller processes
Stochastic Processes and their Applications | 2020-01-24 | Paper |
Quantization-based Bermudan option pricing in the $FX$ world
| 2019-11-13 | Paper |
Convex order, quantization and monotone approximations of ARCH models
| 2019-10-02 | Paper |
Nonlinear randomized urn models: a stochastic approximation viewpoint
Electronic Journal of Probability | 2019-09-19 | Paper |
Recursive computation of the invariant distributions of Feller processes: revisited examples and new applications
Monte Carlo Methods and Applications | 2019-05-31 | Paper |
Numerical methods for Stochastic differential equations: two examples
ESAIM: Proceedings and Surveys | 2019-01-29 | Paper |
Weighted multilevel Langevin simulation of invariant measures
The Annals of Applied Probability | 2018-12-17 | Paper |
The parareal algorithm for American options
SIAM Journal on Financial Mathematics | 2018-10-31 | Paper |
Greedy vector quantization
Journal of Approximation Theory | 2018-10-04 | Paper |
Recursive marginal quantization of the Euler scheme of a diffusion process
Applied Mathematical Finance | 2018-09-18 | Paper |
A general weak and strong error analysis of the recursive quantization with an application to jump diffusions
| 2018-08-29 | Paper |
Numerical probability. An introduction with applications to finance
Universitext | 2018-05-28 | Paper |
Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering
Stochastic Processes and their Applications | 2018-02-13 | Paper |
Multilevel Richardson-Romberg extrapolation
Bernoulli | 2017-09-21 | Paper |
Addendum and corrigendum to: ``Randomized urn models revisited using stochastic approximation.
The Annals of Applied Probability | 2017-08-08 | Paper |
An antithetic approach of multilevel Richardson-Romberg extrapolation estimator for multidimensional SDEs
Lecture Notes in Computer Science | 2017-07-07 | Paper |
Convex order for path-dependent derivatives: a dynamic programming approach
Lecture Notes in Mathematics | 2017-06-22 | Paper |
Limit theorems for weighted and regular multilevel estimators
Monte Carlo Methods and Applications | 2017-03-16 | Paper |
Recursive computation of the invariant distribution of Markov and Feller processes
| 2017-03-13 | Paper |
The parareal algorithm for American options
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2016-11-03 | Paper |
Pointwise convergence of the Lloyd I algorithm in higher dimension
SIAM Journal on Control and Optimization | 2016-09-14 | Paper |
CVaR hedging using quantization-based stochastic approximation algorithm
Mathematical Finance | 2016-02-22 | Paper |
Introduction to vector quantization and its applications for numerics
ESAIM: Proceedings and Surveys | 2016-02-10 | Paper |
Optimization and statistical methods for high frequency finance
ESAIM: Proceedings and Surveys | 2016-01-29 | Paper |
Invariant measure of duplicated diffusions and application to Richardson-Romberg extrapolation
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2016-01-04 | Paper |
scientific article; zbMATH DE number 6514877 (Why is no real title available?)
| 2015-11-30 | Paper |
Functional quantization-based stratified sampling methods
Monte Carlo Methods and Applications | 2015-03-10 | Paper |
scientific article; zbMATH DE number 6316728 (Why is no real title available?)
| 2014-07-14 | Paper |
Constructive quadratic functional quantization and critical dimension
Electronic Journal of Probability | 2014-06-27 | Paper |
A mixed-step algorithm for the approximation of the stationary regime of a diffusion
Stochastic Processes and their Applications | 2014-02-06 | Paper |
Functional co-monotony of processes with applications to peacocks and barrier options
Lecture Notes in Mathematics | 2013-11-28 | Paper |
Multi-asset American options and parallel quantization
Methodology and Computing in Applied Probability | 2013-09-20 | Paper |
Randomized urn models revisited using stochastic approximation
The Annals of Applied Probability | 2013-09-05 | Paper |
Optimal posting price of limit orders: learning by trading
Mathematics and Financial Economics | 2013-08-06 | Paper |
Optimal Delaunay and Voronoi quantization schemes for pricing American style options
Springer Proceedings in Mathematics | 2012-09-28 | Paper |
Intrinsic stationarity for vector quantization: foundation of dual quantization
SIAM Journal on Numerical Analysis | 2012-08-23 | Paper |
The local quantization behavior of absolutely continuous probabilities
The Annals of Probability | 2012-08-17 | Paper |
Ergodic approximation of the distribution of a stationary diffusion: rate of convergence
The Annals of Applied Probability | 2012-07-08 | Paper |
Stochastic approximation with averaging innovation applied to finance
Monte Carlo Methods and Applications | 2012-05-07 | Paper |
Optimal split of orders across liquidity pools: a stochastic algorithm approach
SIAM Journal on Financial Mathematics | 2012-04-19 | Paper |
Asymptotics of the maximal radius of an \(L^{r}\)-optimal sequence of quantizers
Bernoulli | 2012-03-29 | Paper |
How to speed up the quantization tree algorithm with an application to swing options
Quantitative Finance | 2011-04-29 | Paper |
Asymptotically optimal quantization schemes for Gaussian processes on Hilbert spaces
ESAIM: Probability and Statistics | 2011-03-31 | Paper |
Convergence of multi-dimensional quantized SDEs
Séminaire de Probabilités XLIII | 2011-03-30 | Paper |
Fractal functional quantization of mean-regular stochastic processes
Mathematical Proceedings of the Cambridge Philosophical Society | 2011-01-17 | Paper |
Approximation of the distribution of a stationary Markov process with application to option pricing
Bernoulli | 2010-11-15 | Paper |
When are swing options bang-bang?
International Journal of Theoretical and Applied Finance | 2010-09-21 | Paper |
Unconstrained recursive importance sampling
The Annals of Applied Probability | 2010-08-18 | Paper |
101 quizzes for bankers. Are mathematics and finance independent?
| 2010-03-29 | Paper |
Distortion mismatch in the quantization of probability measures
ESAIM: Probability and Statistics | 2010-03-15 | 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 |
Moment estimates for Lévy processes
Electronic Communications in Probability | 2009-11-20 | Paper |
A penalized bandit algorithm
Electronic Journal of Probability | 2009-11-20 | Paper |
Expansions for Gaussian processes and Parseval frames
Electronic Journal of Probability | 2009-11-20 | Paper |
Dual Quantization for random walks with application to credit derivatives
| 2009-10-29 | Paper |
Optimal Quantization for the Pricing of Swing Options
Applied Mathematical Finance | 2009-09-13 | Paper |
Optimal Quantization for Finance: From Random Vectors to Stochastic Processes
Special Volume: Mathematical Modeling and Numerical Methods in Finance | 2009-06-05 | Paper |
Mathematics and Finance
Aspects of Mathematical Finance | 2008-09-29 | Paper |
How Fast Is the Bandit?
Stochastic Analysis and Applications | 2008-06-12 | Paper |
Quadratic Optimal Functional Quantization of Stochastic Processes and Numerical Applications
Monte Carlo and Quasi-Monte Carlo Methods 2006 | 2008-06-11 | Paper |
Functional quantization rate and mean regularity of processes with an application to Lévy processes
The Annals of Applied Probability | 2008-04-23 | Paper |
High-resolution product quantization for Gaussian processes under sup-norm distortion
Bernoulli | 2008-02-06 | Paper |
Discretization and Simulation of the Zakai Equation
SIAM Journal on Numerical Analysis | 2008-01-07 | Paper |
Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity
Monte Carlo Methods and Applications | 2007-07-27 | Paper |
Optimal quantizers for Radon random vectors in a Banach space
Journal of Approximation Theory | 2007-02-14 | Paper |
Quantization of probability distributions under norm-based distortion measures. II: Self-similar distributions
Journal of Mathematical Analysis and Applications | 2006-05-16 | Paper |
Functional quantization of a class of Brownian diffusions: a constructive approach
Stochastic Processes and their Applications | 2006-04-28 | Paper |
Optimal quantization methods for nonlinear filtering with discrete-time observations
Bernoulli | 2006-03-23 | Paper |
scientific article; zbMATH DE number 5010399 (Why is no real title available?)
| 2006-03-09 | Paper |
A two armed bandit type problem revisited
ESAIM: Probability and Statistics | 2006-03-09 | Paper |
Functional quantization for numerics with an application to option pricing
Monte Carlo Methods and Applications | 2006-01-24 | Paper |
Error analysis of the optimal quantization algorithm for obstacle problems.
Stochastic Processes and their Applications | 2005-11-29 | Paper |
A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
Mathematical Finance | 2005-08-17 | Paper |
Quantization of probability distributions under norm-based distortion measures
Statistics & Decisions | 2005-07-01 | Paper |
AN OPTIMAL MARKOVIAN QUANTIZATION ALGORITHM FOR MULTI-DIMENSIONAL STOCHASTIC CONTROL PROBLEMS
Stochastics and Dynamics | 2005-03-21 | Paper |
Functional quantization and metric entropy for Riemann-Liouville processes
| 2005-02-17 | Paper |
Local Distortion andμ-Mass of the Cells of One Dimensional Asymptotically Optimal Quantizers
Communications in Statistics: Theory and Methods | 2005-01-14 | Paper |
Sharp asymptotics of the Kolmogorov entropy for Gaussian measures
Journal of Functional Analysis | 2004-10-01 | Paper |
When can the two-armed bandit algorithm be trusted?
The Annals of Applied Probability | 2004-09-15 | Paper |
Sharp asymptotics of the functional quantization problem for Gaussian processes.
The Annals of Probability | 2004-09-15 | Paper |
A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
Bernoulli | 2004-06-10 | Paper |
RECURSIVE COMPUTATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION: THE CASE OF A WEAKLY MEAN REVERTING DRIFT
Stochastics and Dynamics | 2004-06-09 | Paper |
Functional quantization and small ball probabilities for Gaussian processes
Journal of Theoretical Probability | 2004-03-15 | Paper |
Optimal quadratic quantization for numerics: the Gaussian case
Monte Carlo Methods and Applications | 2003-10-27 | Paper |
Decreasing step Stochastic algorithms: a.s. behaviour of weighted empirical measures
Monte Carlo Methods and Applications | 2003-09-30 | Paper |
Functional quantization of Gaussian processes
Journal of Functional Analysis | 2003-03-26 | Paper |
Recursive computation of the invariant distribution of a diffusion
Bernoulli | 2003-03-13 | Paper |
Asymptotics of optimal quantizers for some scalar distributions
Journal of Computational and Applied Mathematics | 2003-02-23 | Paper |
First-Order Schemes in the Numerical Quantization Method
Mathematical Finance | 2003-01-01 | Paper |
Sur quelques algorithmes récursifs pour les probabilités numériques
ESAIM: Probability and Statistics | 2002-06-11 | Paper |
Convergence of the one-dimensional Kohonen algorithm
Advances in Applied Probability | 2002-03-06 | Paper |
A stochastic quantization method for nonlinear problems.
Monte Carlo Methods and Applications | 2001-01-01 | Paper |
Asymptotic Behavior of a Markovian Stochastic Algorithm with Constant Step
SIAM Journal on Control and Optimization | 1999-11-23 | Paper |
Rate of convergence for computing expectations of stopping functionals of an α-mixing process
Advances in Applied Probability | 1999-07-04 | Paper |
Theoretical aspects of the SOM algorithm
Neurocomputing | 1999-01-06 | Paper |
About the multidimensional competitive learning vector quantization algorithm with constant gain
The Annals of Applied Probability | 1998-08-09 | Paper |
A space quantization method for numerical integration
Journal of Computational and Applied Mathematics | 1998-07-28 | Paper |
Convergence of stochastic algorithms: from the Kushner–Clark theorem to the Lyapounov functional method
Advances in Applied Probability | 1998-02-22 | Paper |
Convergence presque sûre de l'algorithme de Kohonen unidimensionnel
Comptes Rendus de l'Académie des Sciences - Series I - Mathematics | 1997-10-08 | Paper |
Sequences with low discrepancy and pseudo-random numbers:theoretical results and numerical tests
Journal of Statistical Computation and Simulation | 1997-10-05 | Paper |
On the a.s. convergence of the Kohonen algorithm with a general neighborhood function
The Annals of Applied Probability | 1997-05-12 | Paper |
Convergence in Distribution of the One-Dimensional Kohonen Algorithms when the Stimuli are not Uniform
Advances in Applied Probability | 1994-05-12 | Paper |
Self-organization and a.s. convergence of the one-dimensional Kohonen algorithm with non-uniformly distributed stimuli
Stochastic Processes and their Applications | 1994-01-19 | Paper |
scientific article; zbMATH DE number 447040 (Why is no real title available?)
| 1994-01-09 | Paper |
Van der Corput sequences, Kakutani transforms and one-dimensional numerical integration
Journal of Computational and Applied Mathematics | 1993-05-16 | Paper |
Sur l'approximation des réduites. (On the approximation of residues)
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1990-01-01 | Paper |
Sequences with low discrepancy generalisation and application to bobbins-monbo algorithm
Statistics | 1990-01-01 | Paper |
Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1989-01-01 | Paper |
scientific article; zbMATH DE number 4106971 (Why is no real title available?)
| 1989-01-01 | Paper |
scientific article; zbMATH DE number 3986297 (Why is no real title available?)
| 1986-01-01 | Paper |
scientific article; zbMATH DE number 3928005 (Why is no real title available?)
| 1985-01-01 | Paper |
Volterra equations with affine drift: looking for stationarity
| N/A | Paper |
