52 citations
- Centre de Mathématiques Appliquées de l'École polytechniqueFR3 papers
- École PolytechniqueFR3 papers
- Engie (United States)US2 papers
- Laboratoire de Probabilités et Modèles AléatoiresFR2 papers
- Centre de Recherche en Mathématiques de la DécisionFR1 paper
- Centre National de la Recherche ScientifiqueFR1 paper
- Département de mathématiques et applicationsFR1 paper
- École Normale Supérieure - PSLFR1 paper
- Laboratoire de Mathématiques Blaise PascalFR1 paper
- Laboratoire d'Informatique Gaspard-MongeFR1 paper
- Laboratoire Lorrain de Recherche en Informatique et ses ApplicationsFR1 paper
- Nantes UniversitéFR1 paper
9 papers
Efficient Simulation of Hawkes Processes using their Affine Volterra Structure
Eduardo Abi Jaber, Elie Attal, Dimitri Sotnikov
We introduce a novel and efficient simulation scheme for Hawkes processes on a fixed time grid, leveraging their affine Volterra structure. The key idea is to first simulate the in…
Exponentially Fading Memory Signature
Eduardo Abi Jaber, Dimitri Sotnikov
We introduce the exponentially fading memory (EFM) signature, a time-invariant transformation of an infinite (possibly rough) path that serves as a mean-reverting analogue of the c…
Martingale property and moment explosions in signature volatility models
Eduardo Abi Jaber, Paul Gassiat, Dimitri Sotnikov
We study the martingale property and moment explosions of a signature volatility model, where the volatility process of the log-price is given by a linear form of the signature of…
Improving Quotation Attribution with Fictional Character Embeddings
Gaspard Michel, Elena V. Epure, Romain Hennequin +1
Humans naturally attribute utterances of direct speech to their speaker in literary works. When attributing quotes, we process contextual information but also access mental represe…
ZodiacEdge: a Datalog Engine With Incremental Rule Set Maintenance
Weiqin Xu, Olivier Curé
In this paper, we tackle the incremental maintenance of Datalog inference materialisation when the rule set can be updated. This is particularly relevant in the context of the Inte…
On Composition and Implementation of Sequential Consistency (Extended Version)
Matthieu Perrin, Matoula Petrolia, Achour Mostefaoui +1
It has been proved that to implement a linearizable shared memory in synchronous message-passing systems it is necessary to wait for a time proportional to the uncertainty in the l…