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- Laboratoire de Probabilités et Modèles AléatoiresFR108 papers
- Université Paris CitéFR30 papers
- Sorbonne UniversitéFR29 papers
- Centre National de la Recherche ScientifiqueFR19 papers
- Sorbonne Paris CitéFR15 papers
- École PolytechniqueFR12 papers
- Laboratoire de Mathématiques Blaise PascalFR12 papers
- Centre de Mathématiques Appliquées de l'École polytechniqueFR11 papers
- École Normale Supérieure - PSLFR10 papers
- Département de mathématiques et applicationsFR9 papers
- Institut Universitaire de FranceFR9 papers
- Laboratoire de Mathématiques d'OrsayFR8 papers
6 papers · 2 filters
The diameter of the minimum spanning tree of the complete graph with inhomogeneous random weights
Othmane Safsafi
We study a new type of random minimum spanning trees. It is built on the complete graph where each vertex is given a weight, which is a positive real number. Then, each edge is giv…
Probabilistic representation of integration by parts formulae for some stochastic volatility models with unbounded drift
Junchao Chen, Noufel Frikha, Houzhi Li
In this paper, we establish a probabilistic representation as well as some integration by parts formulae for the marginal law at a given time maturity of some stochastic volatility…
Matricial approximations of higher dimensional master fields
Nicolas Gilliers
We study matricial approximations of master fields we constructed in a previous work. These approximations (in non-commutative distribution) are obtained by extracting blocks of a…
A brief and personal history of stochastic partial differential equations
Lorenzo Zambotti
We trace the evolution of the theory of stochastic partial differential equations from the foundation to its development, until the recent solution of long-standing problems on wel…
Space-time Euler discretization schemes for the stochastic 2D Navier-Stokes equations
Hakima Bessaih, Annie Millet
We prove that the implicit time Euler scheme coupled with finite elements space discretization for the 2D Navier-Stokes equations on the torus subject to a random perturbation conv…
Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs
Noufel Frikha, Libo Li
In this article, we are interested in the strong well-posedness together with the numerical approximation of some one-dimensional stochastic differential equations with a non-linea…