| Publication | Date of Publication | Type |
|---|
Robust pricing of equity-indexed annuities under uncertain volatility and stochastic interest rate
Insurance Mathematics & Economics | 2026-03-12 | Paper |
Introduction aux équations aux dérivées partielles stochastiques
European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys | 2025-12-12 | Paper |
Computing XVA for American basket derivatives by machine learning techniques
Computational Management Science | 2025-11-04 | Paper |
| A New Non-Linear Density Fluctuations Stochastic Partial Differential Equation With a Singular Coefficient of Relevance to Polymer Dynamics and Rheology: Discussions, Proofs of Solution Existence, Uniqueness, and a Conjecture | 2023-06-09 | Paper |
| Numerical approximation of SDEs with fractional noise and distributional drift | 2023-02-22 | Paper |
| Convergence of the stochastic Navier-Stokes-$\alpha$ solutions toward the stochastic Navier-Stokes solutions | 2022-10-05 | Paper |
Moving average options: machine learning and Gauss-Hermite quadrature for a double non-Markovian problem
European Journal of Operational Research | 2022-07-22 | Paper |
Numerical and convergence analysis of the stochastic Lagrangian averaged Navier-Stokes equations
Journal of Computational and Applied Mathematics | 2022-07-05 | Paper |
Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate
Decisions in Economics and Finance | 2021-08-10 | Paper |
Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models
Quantitative Finance | 2021-06-02 | Paper |
| Revisiting the framework for intermittency in Lagrangian stochastic models for turbulent flows: a way to an original and versatile numerical approach | 2021-03-24 | Paper |
Stochastic phase field \(\alpha \)-Navier-Stokes vesicle-fluid interaction model
Journal of Mathematical Analysis and Applications | 2021-02-28 | Paper |
Computing credit valuation adjustment solving coupled PIDEs in the Bates model
Computational Management Science | 2021-02-02 | Paper |
Weak convergence rates of splitting schemes for the stochastic Allen-Cahn equation
BIT | 2020-08-17 | Paper |
Ergodicity of stochastic Cahn-Hilliard equations with logarithmic potentials driven by degenerate or nondegenerate noises
Journal of Differential Equations | 2020-06-16 | Paper |
| $\alpha$-Navier-Stokes equation perturbed by space-time noise of trace class | 2020-05-23 | Paper |
Analysis of some splitting schemes for the stochastic Allen-Cahn equation
Discrete and Continuous Dynamical Systems. Series B | 2019-08-28 | Paper |
Statistical and probabilistic modeling of a cloud of particles coupled with a turbulent fluid
ESAIM: Proceedings and Surveys | 2019-07-11 | Paper |
Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
Computational Management Science | 2019-02-18 | Paper |
Numerical methods for piecewise deterministic Markov processes with boundary
IMA Journal of Numerical Analysis | 2018-09-26 | Paper |
Analysis of Some Splitting Schemes for the Stochastic Allen-Cahn Equation
(available as arXiv preprint) | 2018-01-19 | Paper |
Unbiasedness of some generalized adaptive multilevel splitting algorithms
The Annals of Applied Probability | 2017-02-21 | Paper |
Unbiasedness of some generalized adaptive multilevel splitting algorithms
The Annals of Applied Probability | 2017-02-21 | Paper |
Central limit theorem for adaptive multilevel splitting estimators in an idealized setting
Springer Proceedings in Mathematics & Statistics | 2017-01-20 | Paper |
Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models
Insurance Mathematics & Economics | 2016-12-13 | Paper |
Analysis and simulation of rare events for SPDEs
ESAIM: Proceedings and Surveys | 2016-02-10 | Paper |
Numerical methods for piecewise deterministic Markov processes with boundary
ESAIM: Proceedings and Surveys | 2016-01-29 | Paper |
Numerical methods for piecewise deterministic Markov processes with boundary
ESAIM: Proceedings and Surveys | 2016-01-29 | Paper |
A Wright-Fisher model with indirect selection
Journal of Mathematical Biology | 2015-11-20 | Paper |
Asymptotic properties of stochastic Cahn-Hilliard equation with singular nonlinearity and degenerate noise
Stochastic Processes and their Applications | 2015-08-21 | Paper |
Stochastic Cahn-Hilliard equation with double singular nonlinearities and two reflections
SIAM Journal on Mathematical Analysis | 2011-11-10 | Paper |
Stochastic Cahn-Hilliard equation with singular nonlinearity and reflection
Stochastic Processes and their Applications | 2009-10-13 | Paper |
