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 2013Show all

11 papers · 1 filter

math.ST2013

Maximum entropy copula with given diagonal section

Cristina Butucea, Jean-François Delmas, Anne Dutfoy +1

We consider copulas with a given diagonal section and compute the explicit density of the unique optimal copula which maximizes the entropy. In this sense, this copula is the least…

math.OC2013

Some non monotone schemes for time dependent Hamilton-Jacobi-Bellman equations in stochastic control

Xavier Warin

We introduce some approximation schemes for linear and fully non-linear diffusion equations of Bellman-Isaacs type. Although they are not monotone one can prove their convergence t…

q-fin.RM2013★ 3 cited

Hedging under multiple risk constraints

Ying Jiao, Olivier Klopfenstein, Peter Tankov

Motivated by the asset-liability management of a nuclear power plant operator, we consider the problem of finding the least expensive portfolio, which outperforms a given set of st…

physics.geo-ph2013★ 39 cited

Amplification of seismic ground motion in the Tunis basin: Numerical BEM simulations vs experimental evidences

Marc Kham, Jean-François Semblat, Nejla Bouden-Romdhane

This paper aims at the analysis of seismic wave amplification in a deep alluvial basin in the city of Tunis in Tunisia. This sedimentary basin is 3000m wide and 350m deep. Since th…

math.ST2013★ 156 cited

Numerical studies of space filling designs: optimization of Latin Hypercube Samples and subprojection properties

Guillaume Damblin, Mathieu Couplet, Bertrand Iooss

Quantitative assessment of the uncertainties tainting the results of computer simulations is nowadays a major topic of interest in both industrial and scientific communities. One o…

cond-mat.mtrl-sci2013★ 12 cited

Hybrid deterministic/stochastic algorithm for large sets of rate equations

Marco Gherardi, Thomas Jourdan, Solène Le Bourdiec +1

We propose a hybrid algorithm for the time integration of large sets of rate equations coupled by a relatively small number of degrees of freedom. A subset containing fast degrees…

physics.data-an2013★ 18 cited

Variational Assimilation for Xenon Dynamical Forecasts in Neutronic using Advanced Background Error Covariance Matrix

Angélique Ponçot, Jean-Philippe Argaud, Bertrand Bouriquet +3

Data assimilation method consists in combining all available pieces of information about a system to obtain optimal estimates of initial states. The different sources of informatio…

physics.flu-dyn2013★ 81 cited

Investigation of wall bounded flows using SPH and the unified semi-analytical wall boundary conditions

Arno Mayrhofer, Benedict D. Rogers, Damien Violeau +1

The semi-analytical wall boundary conditions present a mathematically rigorous framework to prescribe the influence of solid walls in SPH for fluid flows. In this paper they are in…

cs.CR2013★ 5 cited

DAG-Based Attack and Defense Modeling: Don't Miss the Forest for the Attack Trees

Barbara Kordy, Ludovic Piètre-Cambacédès, Patrick Schweitzer

This paper presents the current state of the art on attack and defense modeling approaches that are based on directed acyclic graphs (DAGs). DAGs allow for a hierarchical decomposi…

cs.AI2013★ 33 cited

Supply Restoration in Power Distribution Systems - A Case Study in Integrating Model-Based Diagnosis and Repair Planning

Sylvie Thiebaux, Marie-Odile Cordier, Olivier Jehl +1

Integrating diagnosis and repair is particularly crucial when gaining sufficient information to discriminate between several candidate diagnoses requires carrying out some repair a…

math.AP2013★ 5 cited

Oscillating waves and optimal smoothing effect for one-dimensional nonlinear scalar conservation laws

Pierre Castelli, Stéphane Junca

Lions, Perthame, Tadmor conjectured in 1994 an optimal smoothing effect for entropy solutions of nonlinear scalar conservations laws . In this short paper we will restrict our atte…