244 citations
- CentraleSupélecFR57 papers
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- Laboratoire de Probabilités, Statistique et ModélisationFR4 papers
4 papers · 1 filter
Statistically validated lead-lag networks and inventory prediction in the foreign exchange market
Damien Challet, Rémy Chicheportiche, Mehdi Lallouache +1
We introduce a method to infer lead-lag networks of agents' actions in complex systems. These networks open the way to both microscopic and macroscopic states prediction in such sy…
Asymptotics for the normalized error of the Ninomiya-Victoir scheme
Anis Al Gerbi, Benjamin Jourdain, Emmanuelle Clément
In a previous work, we proved strong convergence with order of the Ninomiya-Victoir scheme with time step to the solution of the limiting SDE. In this pa…
Approximation of a compressible Navier-Stokes system by non-linear acoustical models
Anna Rozanova-Pierrat
We analyse the existing derivation of the models of non-linear acoustics such as the Kuznetsov equation, the NPE equation and the KZK equation. The technique of introducing a corre…
Stein's method on the second Wiener chaos : 2-Wasserstein distance
Benjamin Arras, Ehsan Azmoodeh, Guillaume Poly +1
In the first part of the paper we use a new Fourier technique to obtain a Stein characterizations for random variables in the second Wiener chaos. We provide the connection between…