38 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- CERMICSFR9 papers
- Laboratoire d’Analyse et de Mathématiques AppliquéesFR9 papers
- Centre National de la Recherche ScientifiqueFR7 papers
- Institut national de recherche en sciences et technologies du numériqueFR6 papers
- Université Paris-Est CréteilFR4 papers
- University of Rome Tor VergataIT4 papers
- University of UdineIT4 papers
- Centre de Recherche en Mathématiques de la DécisionFR3 papers
- Le LAMAFR3 papers
- Université Paris-Est Marne-la-ValléeFR3 papers
- École Centrale ParisFR2 papers
- École nationale des ponts et chausséesFR2 papers
16 papers · 1 filter
Wishart processes : mean-field limit, long time behavior, and free probability
Ezechiel Kahn
This paper is devoted to the study of the eigenvalues of the Wishart process which are the analogof the Dyson Brownian Motion for covariance matrices. Such processes were in partic…
Strong solutions to a beta-Wishart particle system
Benjamin Jourdain, Ezéchiel Kahn
The purpose of this paper is to study the existence and uniqueness of solutions to a Stochastic Differential Equation (SDE) coming from the eigenvalues of Wishart processes. The co…
Regularization lemmas and convergence in total variation
Vlad Bally, Lucia Caramellino, Guillaume Poly
We provide a simple abstract formalism of integration by parts under which we obtain some regularization lemmas. These lemmas apply to any sequence of random variables whic…
Sampling of probability measures in the convex order by Wasserstein projection
Aurélien Alfonsi, Jacopo Corbetta, Benjamin Jourdain
In this paper, for and two probability measures on with finite moments of order , we define the respective projections for the -Wasserstein dist…
Diffusions under a local strong Hörmander condition. Part I: density estimates
Vlad Bally, Lucia Caramellino, Paolo Pigato
We study lower and upper bounds for the density of a diffusion process in in a small (but not asymptotic) time, say . We assume that the diffusion coefficients…
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…
Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation
Ahmed Kebaier, Jérôme Lelong
In this work, we propose a smart idea to couple importance sampling and Multilevel Monte Carlo (MLMC). We advocate a per level approach with as many importance sampling parameters…
Simulation of BSDEs with jumps by Wiener Chaos Expansion
Christel Geiss, Céline Labart
We present an algorithm to solve BSDEs with jumps based on Wiener Chaos Expansion and Picard's iterations. This paper extends the results given in Briand-Labart (2014) to the case…
Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles
Roxana Dumitrescu, Céline Labart
We introduce a discrete time reflected scheme to solve doubly reflected Backward Stochastic Differential Equations with jumps (in short DRBSDEs), driven by a Brownian motion and an…
Convergence and regularity of probability laws by using an interpolation method
V. Bally, L. Caramellino
In [18] Fournier and Printems establish a methodology which allows to prove the absolute continuity of the law of the solution of some stochastic equations with Hölder continuous c…
Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles
Roxana Dumitrescu, Céline Labart
We study a discrete time approximation scheme for the solution of a doubly reflected Backward Stochastic Differential Equation (DBBSDE in short) with jumps, driven by a Brownian mo…
On the distance between probability density functions
Vlad Bally, Lucia Caramellino
We give estimates of the distance between the densities of the laws of two functionals and on the Wiener space in terms of the Malliavin-Sobolev norm of We actually…
On the long time behavior of stochastic vortices systems
Joaquin Fontbona, Benjamin Jourdain
In this paper, we are interested in the long-time behaviour of stochastic systems of n interacting vortices: the position in R2 of each vortex evolves according to a Brownian motio…
The small noise limit of order-based diffusion processes
Benjamin Jourdain, Julien Reygner
We introduce order-based diffusion processes as the solutions to multidimensional stochastic differential equations, with drift coefficient depending only on the ordering of the co…
Reducing the debt : is it optimal to outsource an investment?
Gilles Edouard Espinosa, Caroline Hillairet, Benjamin Jourdain +1
We deal with the problem of outsourcing the debt for a big investment, according two situations: either the firm outsources both the investment (and the associated debt) and the ex…
On the Optimal Stopping of a One-dimensional Diffusion
Damien Lamberton, Mihail Zervos
We consider a one-dimensional diffusion which solves a stochastic differential equation with Borel-measurable coefficients in an open interval. We allow for the endpoints to be ina…