| Publication | Date of Publication | Type |
|---|
Numerical approximation of ergodic BSDEs using non linear Feynman-Kac formulas
Stochastic Processes and their Applications | 2026-02-27 | Paper |
Mirror descent for stochastic control problems with measure-valued controls
Stochastic Processes and their Applications | 2025-10-29 | Paper |
Gradient flows for regularized stochastic control problems
SIAM Journal on Control and Optimization | 2024-07-23 | Paper |
Sig‐Wasserstein GANs for conditional time series generation
Mathematical Finance | 2024-03-14 | Paper |
Optimal Scheduling of Entropy Regularizer for Continuous-Time Linear-Quadratic Reinforcement Learning
SIAM Journal on Control and Optimization | 2024-01-19 | Paper |
Multi-index antithetic stochastic gradient algorithm
Statistics and Computing | 2023-07-18 | Paper |
| Entropic mean-field min-max problems via Best Response and Fisher-Rao flows | 2023-06-05 | Paper |
Polyak-Łojasiewicz inequality on the space of measures and convergence of mean-field birth-death processes
Applied Mathematics and Optimization | 2023-04-03 | Paper |
Weak quantitative propagation of chaos via differential calculus on the space of measures
The Annals of Applied Probability | 2022-09-05 | Paper |
Unbiased deep solvers for linear parametric PDEs
Applied Mathematical Finance | 2022-07-26 | Paper |
| Decaying derivative estimates for functions of solutions to non-autonomous SDEs | 2022-07-26 | Paper |
Polyak-\L ojasiewicz inequality on the space of measures and convergence of mean-field birth-death processes
(available as arXiv preprint) | 2022-06-06 | Paper |
Mean-field Langevin dynamics and energy landscape of neural networks
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2022-02-25 | Paper |
Antithetic multilevel sampling method for nonlinear functionals of measure
The Annals of Applied Probability | 2021-11-04 | Paper |
Antithetic multilevel sampling method for nonlinear functionals of measure
The Annals of Applied Probability | 2021-11-04 | Paper |
A modified MSA for stochastic control problems
Applied Mathematics and Optimization | 2021-10-19 | Paper |
McKean-Vlasov SDEs under measure dependent Lyapunov conditions
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2021-07-23 | Paper |
Weak existence and uniqueness for McKean-Vlasov SDEs with common noise
The Annals of Probability | 2021-07-02 | Paper |
Nonasymptotic bounds for sampling algorithms without log-concavity
The Annals of Applied Probability | 2021-03-18 | Paper |
Nonasymptotic bounds for sampling algorithms without log-concavity
The Annals of Applied Probability | 2021-03-18 | Paper |
Exponential convergence and stability of Howard's policy improvement algorithm for controlled diffusions
SIAM Journal on Control and Optimization | 2020-05-26 | Paper |
Multi-level Monte Carlo methods for the approximation of invariant measures of stochastic differential equations
Statistics and Computing | 2020-02-26 | Paper |
| On the geometry of Stein variational gradient descent | 2019-12-02 | Paper |
Iterative multilevel particle approximation for McKean-Vlasov SDEs
The Annals of Applied Probability | 2019-10-22 | Paper |
Iterative multilevel particle approximation for McKean-Vlasov SDEs
The Annals of Applied Probability | 2019-10-22 | Paper |
| Iterative Multilevel density estimation for McKean-Vlasov SDEs via projections | 2019-09-25 | Paper |
Weak Existence and Uniqueness for McKean-Vlasov SDEs with Common Noise
(available as arXiv preprint) | 2019-08-02 | Paper |
New particle representations for ergodic McKean-Vlasov SDEs
ESAIM: Proceedings and Surveys | 2019-07-11 | Paper |
An adaptive Euler-Maruyama scheme for stochastic differential equations with discontinuous drift and its convergence analysis
SIAM Journal on Numerical Analysis | 2019-02-20 | Paper |
Convergence and qualitative properties of modified explicit schemes for BSDEs with polynomial growth
The Annals of Applied Probability | 2018-11-07 | Paper |
Convergence and qualitative properties of modified explicit schemes for BSDEs with polynomial growth
The Annals of Applied Probability | 2018-11-07 | Paper |
$V$-integrability, asymptotic stability and comparison property of explicit numerical schemes for non-linear SDEs
Mathematics of Computation | 2018-01-12 | Paper |
An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process
Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences | 2017-06-07 | Paper |
Iterative Particle Approximation for McKean-Vlasov SDEs with application to Multilevel Monte Carlo estimation
(available as arXiv preprint) | 2017-06-03 | Paper |
| Full-Projection explicit FBSDE scheme for parabolic PDEs with superlinear nonlinearities | 2016-11-30 | Paper |
| Multilevel Monte Carlo for Scalable Bayesian Computations | 2016-09-15 | Paper |
Convergence and qualitative properties of modified explicit schemes for BSDEs with polynomial growth
(available as arXiv preprint) | 2016-07-22 | Paper |
Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs
The Annals of Applied Probability | 2015-10-20 | Paper |
Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs
The Annals of Applied Probability | 2015-10-20 | Paper |
Antithetic Multilevel Monte Carlo Estimation for Multidimensional SDEs
Springer Proceedings in Mathematics & Statistics | 2014-10-31 | Paper |
First order strong approximations of scalar SDEs defined in a domain
Numerische Mathematik | 2014-09-09 | Paper |
Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
The Annals of Applied Probability | 2014-08-06 | Paper |
Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
The Annals of Applied Probability | 2014-08-06 | Paper |
Strong convergence rates for backward Euler-Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
Stochastics | 2014-04-25 | Paper |
Convergence, nonnegativity and stability of a new Milstein scheme with applications to finance
Discrete and Continuous Dynamical Systems. Series B | 2013-11-12 | Paper |
| $V$-Integrability, Asymptotic Stability And Comparison Theorem of Explicit Numerical Schemes for SDEs | 2013-10-02 | Paper |
Multilevel Monte Carlo methods for applications in finance
Recent Developments in Computational Finance | 2013-09-24 | Paper |
A limit order book model for latency arbitrage
Mathematics and Financial Economics | 2013-02-26 | Paper |
Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
Journal of Computational and Applied Mathematics | 2012-11-09 | Paper |
On Markovian solutions to Markov chain BSDEs
Numerical Algebra, Control and Optimization | 2012-09-14 | Paper |
Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
BIT | 2011-08-02 | Paper |
Hybrid simulation of autoregulation within transcription and translation
BIT | 2011-05-04 | Paper |
Almost sure exponential stability of numerical solutions for stochastic delay differential equations
Numerische Mathematik | 2010-07-02 | Paper |
Comparing hitting time behavior of Markov jump processes and their diffusion approximations
Multiscale Modeling & Simulation | 2010-06-10 | Paper |
Mirror Descent for Stochastic Control Problems with Measure-valued Controls
(available as arXiv preprint) | N/A | Paper |
