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.

collaborating institutions
Showing 2009Show all

8 papers · 1 filter

physics.flu-dyn2009★ 22 cited

A note on the consistency of Hybrid Eulerian/Lagrangian approach to multiphase flows

Sergio Chibbaro, Jean-Pierre Minier

The aim of the present paper is to introduce and to discuss inconsistencies errors that may arise when Eulerian and Lagrangian models are coupled for the simulations of turbulent p…

physics.class-ph2009★ 1 cited

Measurement Of The Fluid Flow Load On A Globe Valve Stem Under Various Cavitation Conditions

Jerome Ferrari

The evaluation of fluid forces on the stem is important for wear prediction of valve and actuator guidance parts. While estimating the axial load is straight forward, estimating an…

math.OC2009★ 2 cited

Particle Methods For Stochastic Optimal Control Problems

Pierre Carpentier, Guy Cohen, Anes Dallagi

To tackle the difficulties faced by both stochastic dynamic programming and scenario tree methods, we present some variational approach for numerical solution of stochastic optimal…

q-fin.RM2009★ 1 cited

Conditional Value-at-Risk Constraint and Loss Aversion Utility Functions

Laetitia Andrieu, Michel De Lara, Babacar Seck

We provide an economic interpretation of the practice consisting in incorporating risk measures as constraints in a classic expected return maximization problem. For what we call t…

math.PR2009

A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs

Arash Fahim, Nizar Touzi, Xavier Warin

We consider the probabilistic numerical scheme for fully nonlinear PDEs suggested in \cite{cstv}, and show that it can be introduced naturally as a combination of Monte Carlo and f…

math.OC2009

Decomposition of large-scale stochastic optimal control problems

Kengy Barty, Pierre Carpentier, Pierre Girardeau

In this paper, we present an Uzawa-based heuristic that is adapted to some type of stochastic optimal control problems. More precisely, we consider dynamical systems that can be di…

math.OC2009

Detection of Gaussian signals via hexagonal sensor networks

Paolo Frasca, Paolo Mason, Benedetto Piccoli

This paper considers a special case of the problem of identifying a static scalar signal, depending on the location, using a planar network of sensors in a distributed fashion. Mot…

nucl-th2009★ 5 cited

Best linear unbiased estimation of the nuclear masses

Bertrand Bouriquet, Jean-Philippe Argaud

This paper presents methods to provide an optimal evaluation of the nuclear masses. The techniques used for this purpose come from data assimilation that allows combining, in an op…