425 citations
- École PolytechniqueFR256 papers
- Centre National de la Recherche ScientifiqueFR59 papers
- Laboratoire de Probabilités et Modèles AléatoiresFR15 papers
- Laboratoire de Mathématiques Blaise PascalFR14 papers
- Centre de Recherche en Mathématiques de la DécisionFR12 papers
- Institut national de recherche en sciences et technologies du numériqueFR12 papers
- Université Paris NanterreFR12 papers
- Université Paris-SaclayFR11 papers
- Laboratoire Analyse et Modélisation pour la Biologie et l'EnvironnementFR10 papers
- Centre Inria de SaclayFR9 papers
- Institut Universitaire de FranceFR9 papers
- Laboratoire de Probabilités, Statistique et ModélisationFR9 papers
4 papers · 2 filters
Quadratic BSDEs with mean reflection
Hélène Hibon, Ying Hu, Yiqing Lin +2
The present paper is devoted to the study of the well-posedness of BSDEs with mean reflection whenever the generator has quadratic growth in the argument. This work is the sequ…
Reflected stochastic differential equations driven by -Brownian motion in non-convex domains
Yiqing Lin, Abdoulaye Soumana Hima
In this paper, we first review the penalization method for solving deterministic Skorokhod problems in non-convex domains and establish estimates for problems with -Hölder conti…
Numerical analysis of the Gross-Pitaevskii Equation with a randomly varying potential in time
Romain Poncet
The Gross-Pitaevskii equation with white noise in time perturbations of the harmonic potential is considered. In this article we define a Crank-Nicolson scheme based on a spectral…
Generalized and hybrid Metropolis-Hastings overdamped Langevin algorithms
Romain Poncet
It has been shown that the nonreversible overdamped Langevin dynamics enjoy better convergence properties in terms of spectral gap and asymptotic variance than the reversible one.…