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 2010Show all

9 papers · 1 filter

math.OC2010★ 4 cited

Price decomposition in large-scale stochastic optimal control

Kengy Barty, Pierre Carpentier, Guy Cohen +1

We are interested in optimally driving a dynamical system that can be influenced by exogenous noises. This is generally called a Stochastic Optimal Control (SOC) problem and the Dy…

math.ST2010

Accelerated Monte Carlo estimation of failure probabilities in output of monotone computer codes

Nicolas Bousquet

The problem of estimating the probability p=P(g(X<0) is considered when X represents a multivariate stochastic input of a monotone function g. First, a heuristic method to bound p…

q-fin.PR2010

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…

q-fin.ST2010★ 14 cited

Statistical properties of derivatives: a journey in term structures

Delphine Lautier, Franck Raynaud

This article presents an empirical study of thirteen derivative markets for commodity and financial assets. It compares the statistical properties of futures contracts's daily retu…

stat.CO2010★ 25 cited

Estimating Discrete Markov Models From Various Incomplete Data Schemes

Alberto Pasanisi, Shuai Fu, Nicolas Bousquet

The parameters of a discrete stationary Markov model are transition probabilities between states. Traditionally, data consist in sequences of observed states for a given number of…

physics.flu-dyn2010★ 83 cited

PDF model based on Langevin equation for polydispersed two-phase flows applied to a bluff-body gas-solid flow,

J. P. Minier, E. Peirano, S. Chibbaro

The aim of the paper is to discuss the main characteristics of a complete theoretical and numerical model for turbulent polydispersed two-phase flows, pointing out some specific is…

physics.data-an2010★ 13 cited

Differential influence of instruments in nuclear core activity evaluation by data assimilation

Bertrand Bouriquet, Jean-Philippe Argaud, Patrick Erhard +4

The global activity fields of a nuclear core can be reconstructed using data assimilation. Data assimilation allows to combine measurements from instruments, and information from a…

physics.data-an2010★ 18 cited

Robustness of nuclear core activity reconstruction by data assimilation

Bertrand Bouriquet, Jean-Philippe Argaud, Patrick Erhard +4

We apply a data assimilation techniques, inspired from meteorological applications, to perform an optimal reconstruction of the neutronic activity field in a nuclear core. Both mea…

math.NA2010★ 59 cited

Numerical studies of the metamodel fitting and validation processes

Bertrand Iooss, Loïc Boussouf, Vincent Feuillard +1

Complex computer codes, for instance simulating physical phenomena, are often too time expensive to be directly used to perform uncertainty, sensitivity, optimization and robustnes…