425 citations
- École PolytechniqueFR55 papers
- Centre National de la Recherche ScientifiqueFR20 papers
- Université Paris NanterreFR10 papers
- Laboratoire de Mathématiques Blaise PascalFR5 papers
- Centre de Recherche en Épistémologie AppliquéeFR4 papers
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- Laboratoire Traitement et Communication de l’InformationFR4 papers
- Laboratoire de Mathématiques Jean LerayFR3 papers
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- Électricité de France (France)FR2 papers
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- Institut des Systèmes Complexes Paris Île-de-FranceFR2 papers
12 papers · 1 filter
Global uniqueness and reconstruction for the multi-channel Gel'fand-Calderón inverse problem in two dimensions
Roman Novikov, Matteo Santacesaria
We study the multi-channel Gel'fand-Calderón inverse problem in two dimensions, i.e. the inverse boundary value problem for the equation , , where is a…
A finite dimensional approximation for pricing moving average options
Marie Bernhart, Peter Tankov, Xavier Warin
We propose a method for pricing American options whose pay-off depends on the moving average of the underlying asset price. The method uses a finite dimensional approximation of th…
Large time asymptotics for the Grinevich-Zakharov potentials
Anna Kazeykina, Roman Novikov
In this article we show that the large time asymptotics for the Grinevich-Zakharov rational solutions of the Novikov-Veselov equation at positive energy (an analog of KdV in 2+1 di…
Low rank Multivariate regression
Christophe Giraud
We consider in this paper the multivariate regression problem, when the target regression matrix is close to a low rank matrix. Our primary interest in on the practical case wh…
A global stability estimate for the Gel'fand-Calderon inverse problem in two dimensions
Roman Novikov, Matteo Santacesaria
We prove a global logarithmic stability estimate for the Gel'fand-Calderon inverse problem on a two-dimensional domain.
FBSDE with time delayed generators: Lp-solutions, differentiability, representation formulas and path regularity
Gonçalo dos Reis, Anthony Réveillac, Jianing Zhang
We extend the work of Delong and Imkeller (2010a,b) concerning Backward stochastic differential equations with time delayed generators (delay BSDE). We give moment and a priori est…