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 2012Show all

8 papers · 1 filter

math.NA2012★ 73 cited

Analysis of Compatible Discrete Operator Schemes for Elliptic Problems on Polyhedral Meshes

Jerome Bonelle, Alexandre Ern

Compatible schemes localize degrees of freedom according to the physical nature of the underlying fields and operate a clear distinction between topological laws and closure relati…

math.ST2012★ 1 cited

Density modification based reliability sensitivity analysis

Paul Lemaître, Ekatarina Sergienko, Aurélie Arnaud +3

Sensitivity analysis of a numerical model, for instance simulating physical phenomena, is useful to quantify the influence of the inputs on the model responses. This paper proposes…

stat.AP2012★ 6 cited

On particle filters applied to electricity load forecasting

Tristan Launay, Anne Philippe, Sophie Lamarche

We are interested in the online prediction of the electricity load, within the Bayesian framework of dynamic models. We offer a review of sequential Monte Carlo methods, and provid…

stat.ML2012★ 1 cited

Forecasting electricity consumption by aggregating specialized experts

Marie Devaine, Pierre Gaillard, Yannig Goude +1

We consider the setting of sequential prediction of arbitrary sequences based on specialized experts. We first provide a review of the relevant literature and present two theoretic…

q-fin.RM2012

Numerical methods for the quadratic hedging problem in Markov models with jumps

Carmine De Franco, Peter Tankov, Xavier Warin

We develop algorithms for the numerical computation of the quadratic hedging strategy in incomplete markets modeled by pure jump Markov process. Using the Hamilton-Jacobi-Bellman a…

q-fin.PR2012

Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets

Stéphane Goutte, Nadia Oudjane, Francesco Russo

We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exp…

physics.class-ph2012

Thermal Shock Effects Modeling On A Globe Valve Body-Bonnet Bolted Flange Joint

Jean-Philippe Mathieu, Jean-François Rit, Jerome Ferrari +1

This paper attends to show efforts made at EDF R&D to improve comprehension of valve parts loadings during operation. Thermal shock in a globe valve is represented and modeled usin…

stat.OT2012★ 15 cited

Using complex surveys to estimate the -median of a functional variable: application to electricity load curves

Mohamed Chaouch, Camelia Goga

Mean profiles are widely used as indicators of the electricity consumption habits of customers. Currently, in Électricité De France (EDF), class load profiles are estimated using p…