LPSM-Equipe Mathématiques Financières et Actuarielles, Probabilités Numériques

2018

Auteur(s)/Author(s)	Titre/Title
S. Laruelle, G. Pagès	Nonlinear Randomized Urn Models: a Stochastic Approximation Viewpoint
A. Cosso, F. Russo	STRONG-VISCOSITY SOLUTIONS: SEMILINEAR PARABOLIC PDEs AND PATH-DEPENDENT PDEs
I. Honoré, S. Menozzi, G. Pagès	Non-Asymptotic Gaussian Estimates for the Recursive Approximation of the Invariant Measure of a Diffusion
M. Grigorova, P. Imkeller, Y. Ouknine, M.-C. Quenez	Optimal stopping with f -expectations: the irregular case
M. Mrad, N. El Karoui	Mixture of consistent stochastic utilities, and a priori randomness
A. Cosso, H. Pham	Zero-sum stochastic differential games of generalized McKean-Vlasov type
R. Cont, N. Perkowski	Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity
H. Pham, X. Wei, C. Zhou	Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach
C. Franco, J. Nicolle, H. Pham	Bayesian learning for the Markowitz portfolio selection problem
N. El Karoui, K. Hajji, S. Kaakai	Inextricable complexity of two centuries of demographic changes: A fascinating modeling challenge
S. Kaakai, N. El Karoui	A pathwise construction of Birth-Death-Swap systems leading to an averaging result in the presence of two timescales
S. Kaakai, H. Labit-Hardy, S. Arnold (-Gaille ), N. El Karoui	How can a cause-of-death reduction be compensated for in the presence of heterogeneity? A population dynamics approach based on English data by deprivation
J. Baptiste, L. Carassus, E. Lépinette	Pricing without martingale measure
B. Basrak, O. Wintenberger, P. Zugec	On total claim amount for marked Poisson cluster models
G. Pages, F. Panloup	Supplement to ``Weighted Multilevel Langevin Simulation of Invariant Measures''
M. Brautigam, M. Dacorogna, M. Kratz	Predicting risk with risk measures : an empirical study
D. Giorgi, V. Lemaire, G. Pages	Weak error for nested Multilevel Monte Carlo
H. Chau, R. Cont	On pathwise quadratic variation for càdlàg functions
G. Pages, A. Sagna	A general weak and strong error analysis of the recursive quantization with an application to jump diffusions
A. Balata, C. Huré, M. Laurière, H. Pham, I. Pimentel	A Class of Finite-Dimensional Numerically Solvable McKean-Vlasov Control Problems
A. Angiuli, C. V. Graves H. Li J.F. Chassagneux, F. Delarue, R. Carmona	Numerical Probabilistic Approach to MFG
G. Callegaro, M. Grasselli, G. Pages	Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough)
R. Blanchard, L. Carassus, M. Rasonyi	Optimal investment with possibly non-concave utilities and no-arbitrage: a measure theoretical approach
R. Blanchard, L. Carassus	Convergence of utility indifference prices to the superreplication price in a multiple-priors framework
E. Miller, H. Pham	Linear-Quadratic McKean-Vlasov Stochastic Differential Games
C. Huré, H. Pham, A. Bachouch, N. Langrené	Deep neural networks algorithms for stochastic control problems on finite horizon, part I: convergence analysis
A. Bachouch, C. Huré, N. Langrené, H. Pham	Deep neural networks algorithms for stochastic control problems on finite horizon, part 2: numerical applications
V. Lemaire, M. Thieullen, N. Thomas	Thinning and Multilevel Monte Carlo for Piecewise Deterministic (Markov) Processes. Application to a stochastic Morris-Lecar model

LPSM-Equipe Mathématiques Financières et Actuarielles, Probabilités Numériques

Outils pour utilisateurs

Outils du site

Panneau latéral

2018

Outils de la page