output
20042026
most citedA regression-based Monte Carlo method to solve backward stochastic differential equations

425 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

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Showing 2017 · math.STShow all

3 papers · 2 filters

math.ST2017★ 3 cited

Sensitivity analysis using perturbed-law based indices for quantiles and application to an industrial case

Roman Sueur, Bertrand Iooss, Thibault Delage

In this paper, we present perturbed law-based sensitivity indices and how to adapt them for quantile-oriented sensitivity analysis. We exhibit a simple way to compute these indices…

math.ST2017★ 30 cited

Uncertainty and sensitivity analysis of functional risk curves based on Gaussian processes

Bertrand Iooss, Loïc Le Gratiet

A functional risk curve gives the probability of an undesirable event as a function of the value of a critical parameter of a considered physical system. In several applicative sit…

math.ST2017★ 4 cited

Optimal compromise between incompatible conditional probability distributions, with application to Objective Bayesian Kriging

Joseph Muré

Models are often defined through conditional rather than joint distributions, but it can be difficult to check whether the conditional distributions are compatible, i.e. whether th…