425 citations
- École PolytechniqueFR315 papers
- Centre National de la Recherche ScientifiqueFR74 papers
- Laboratoire de Probabilités et Modèles AléatoiresFR17 papers
- Université Paris-SaclayFR16 papers
- Centre de Recherche en Mathématiques de la DécisionFR15 papers
- Institut national de recherche en sciences et technologies du numériqueFR15 papers
- Laboratoire de Mathématiques Blaise PascalFR14 papers
- Sorbonne UniversitéFR14 papers
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- Laboratoire de Mathématiques d'OrsayFR12 papers
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60 papers · 1 filter
Quantitative rigidity of the Wasserstein contraction under convolution
Max Fathi, Michael Goldman, Daniel Tsodyks
The aim of this paper is to investigate the contraction properties of -Wasserstein distances with respect to convolution in Euclidean spaces both qualitatively and quantitativel…
Efficient Monte Carlo sampling of metastable systems using non-local collective variable updates
Christoph Schönle, Davide Carbone, Marylou Gabrié +2
Monte Carlo simulations are widely used to simulate complex molecular systems, but standard approaches suffer from metastability. Lately, the use of non-local proposal updates in a…
Spatio-temporal equilibrium thermodynamics of guided optical waves at positive and negative temperatures
Lucas Zanaglia, Josselin Garnier, Claire Michel +5
Optical thermalization has been recently studied in the 2D spatial evolution of (quasi-)monochromatic light waves propagating in multimode waveguides. Here, we investigate the spat…
Signature approach for pricing and hedging path-dependent options with frictions
Eduardo Abi Jaber, Donatien Hainaut, Edouard Motte
We introduce a novel signature approach for pricing and hedging path-dependent options with instantaneous and permanent market impact under a mean-quadratic variation criterion. Le…
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…
Stability of non-conservative cross diffusion model and approximation by stochastic particle systems
Vincent Bansaye, Alexandre Bertolino, Ayman Moussa
We study the stability of non-conservative deterministic cross diffusion models and prove that they are approximated by stochastic population models when the populations become loc…