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Simulating diffusion processes in discontinuous media: a numerical scheme wit...
International audience -
Global solutions to rough differential equations with unbounded vector fields
International audience -
Optimal Rate of Convergence of a Stochastic Particle Method to Solutions of 1...
The aim of this work is to present the analysis of the rate of convergence of a stochastic particle method for 1D viscous scalar conservation law equations. The... -
Asymptotic equivalence for nonparametric diffusion and Euler scheme experiments
Prépublication MAP5 -
Numerical simulation of the solution of a stochastic differential equation dr...
International audience -
On Weak Approximation of Stochastic Differential Equations with Discontinuous...
This is an abridged version submitted in a conference proceedings. -
Central Limit Theorem for the Multilevel Monte Carlo Euler Method and Applica...
This paper focuses on studying the multilevel Monte Carlo method recently introduced by Giles [8] and significantly more efficient than the classical Monte Carlo one.... -
Minimum variance importance sampling via Population Monte Carlo
International audience -
Computation of Greeks using Malliavin's calculus in jump type market models
We use the Malliavin calculus for Poisson processes in order to compute sensitivities for European options with underlying following a jump type diffusion. The main... -
On error operators related to the arbitrary functions principle
International audience -
Importance Sampling and Statistical Romberg method
The efficiency of Monte Carlo simulations is significantly improved when implemented with variance reduction methods. Among these methods we focus on the popular... -
Study of stochastic partial differential equations
This thesis deals with the mathematical field of stochastic nonlinear partial differential equations' analysis. We are interested in parabolic and hyperbolic PDE... -
Approximation of stationary solutions to SDEs driven by multiplicative fracti...
International audience
