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 2014Show all

7 papers · 1 filter

math.ST2014★ 29 cited

Derivative based global sensitivity measures

Serge Kucherenko, Bertrand Iooss

The method of derivative based global sensitivity measures (DGSM) has recently become popular among practitioners. It has a strong link with the Morris screening method and Sobol'…

math.ST2014

PAC-Bayesian aggregation of affine estimators

Lucie Montuelle, Erwan Le Pennec

Aggregating estimators using exponential weights depending on their risk appears optimal in expectation but not in probability. We use here a slight overpenalization to obtain orac…

math.ST2014★ 29 cited

Emulators for stochastic simulation codes

Vincent Moutoussamy, Simon Nanty, Benoît Pauwels

Numerical simulation codes are very common tools to study complex phenomena, but they are often time-consuming and considered as black boxes. For some statistical studies (e.g. ass…

math.ST2014★ 1 cited

A consistent deterministic regression tree for non-parametric prediction of time series

Pierre Gaillard, Paul Baudin

We study online prediction of bounded stationary ergodic processes. To do so, we consider the setting of prediction of individual sequences and build a deterministic regression tre…

eess.SY2014★ 13 cited

Computing an Optimal Control Policy for an Energy Storage

Pierre Haessig, Thibaut Kovaltchouk, Bernard Multon +2

We introduce StoDynProg, a small library created to solve Optimal Control problems arising in the management of Renewable Power Sources, in particular when coupled with an Energy S…

stat.AP2014★ 9 cited

Visualization tools for uncertainty and sensitivity analyses on thermal-hydraulic transients

Anne-Laure Popelin, Bertrand Iooss

In nuclear engineering studies, uncertainty and sensitivity analyses of simulation computer codes can be faced to the complexity of the input and/or the output variables. If these…

q-fin.PR2014

Hedging Expected Losses on Derivatives in Electricity Futures Markets

Adrien Nguyen Huu, Nadia Oudjane

We investigate the problem of pricing and hedging derivatives of Electricity Futures contract when the underlying asset is not available. We propose to use a cross hedging strategy…