Centre de Mathématiques Appliquées de l'École polytechnique

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20022011

most citedA regression-based Monte Carlo method to solve backward stochastic differential equations

425 citations

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3 papers · 2 filters

math.PR2011★ 2 cited

Perturbations of diagonal matrices by band random matrices

Florent Benaych-Georges, Nathanaël Enriquez

We exhibit an explicit formula for the spectral density of a (large) random matrix which is a diagonal matrix whose spectral density converges, perturbated by the addition of a sym…

math.PR2011★ 3 cited

Generalized fractional smoothness and $L_{p}$ -variation of BSDEs with non-Lipschitz terminal condition

Christel Geiss, Stefan Geiss, Emmanuel Gobet

We relate the $L_{p}$ -variation, $2 \leq p < \infty$ , of a solution of a backward stochastic differential equation with a path-dependent terminal condition to a generalized notion of f…

math.PR2011★ 1 cited

A host-parasite multilevel interacting process and continuous approximations

Sylvie Méléard, Sylvie Roelly

We are interested in modeling some two-level population dynamics, resulting from the interplay of ecological interactions and phenotypic variation of individuals (or hosts) and the…

Perturbations of diagonal matrices by band random matrices

Generalized fractional smoothness and Lp​-variation of BSDEs with non-Lipschitz terminal condition

A host-parasite multilevel interacting process and continuous approximations

Generalized fractional smoothness and $L_{p}$ -variation of BSDEs with non-Lipschitz terminal condition