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6 papers · 1 filter
A large deviation approach to optimal transport
Christian Léonard
A probabilistic method for solving the Monge-Kantorovich mass transport problem on is introduced. A system of empirical measures of independent particles is built in such a w…
On the auxiliary particle filter
Randal Douc, Eric Moulines, Jimmy Olsson
In this article we study asymptotic properties of weighted samples produced by the auxiliary particle filter (APF) proposed by pitt and shephard (1999). Besides establishing a cent…
Pricing, Hedging and Optimally Designing Derivatives Via Minimization of Risk Measures
Pauline Barrieu, Nicole El Karoui
The question of pricing and hedging a given contingent claim has a unique solution in a complete market framework. When some incompleteness is introduced, the problem becomes howev…
Nonlinear SDEs driven by Lévy processes and related PDEs
Benjamin Jourdain, Sylvie Méléard, Wojbor Woyczynski
In this paper we study general nonlinear stochastic differential equations, where the usual Brownian motion is replaced by a Lévy process. We also suppose that the coefficient mult…
Subgeometric ergodicity of Markov chains
Randal Douc, Eric Moulines, Philippe Soulier
The goal of this paper is to give a short and self contained proof of general bounds for subgeometric rates of convergence, under practical conditions. The main result whose proof,…
Acoustic response of a rigid frame porous medium slab with a periodic set of inclusions
Jean-Philippe Groby, Armand Wirgin, Laurent De Ryck +1
The acoustic response of a rigid frame porous slab with a periodic set of inclusions is calculated by use of a multipole method. The acoustic properties, in particular the absorpti…