Outils pour utilisateurs

Outils du site



S. Laruelle, G. Pagès Nonlinear Randomized Urn Models: a Stochastic Approximation Viewpoint
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. PagesFast 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
/var/www/wikis/mathfipronum/data/pages/preprints/2018.txt · Dernière modification: 2019/01/09 10:58 par pham