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 2016Show all

9 papers · 1 filter

stat.ME2016★ 110 cited

Modelling and forecasting daily electricity load curves: a hybrid approach

Haeran Cho, Yannig Goude, Xavier Brossat +1

We propose a hybrid approach for the modelling and the short-term forecasting of electricity loads. Two building blocks of our approach are (i) modelling the overall trend and seas…

math.NA2016★ 3 cited

Stabilization of (G)EIM in presence of measurement noise: application to nuclear reactor physics

J. P. Argaud, B. Bouriquet, H. Gong +2

The Empirical Interpolation Method (EIM) and its generalized version (GEIM) can be used to approximate a physical system by combining data measured from the system itself and a red…

cond-mat.stat-mech2016

A stochastic approach to colloidal particle collision/agglomeration

Mireille Bossy, Radu Maftei, Jean-Pierre Minier +1

Colloidal particles that experience perfectly elastic collisions can be modelled using Langevin processes with specular reflection conditions. The article presents a discretisation…

cond-mat.mtrl-sci2016★ 26 cited

Cluster dynamics modelling of materials: a new hybrid deterministic/stochastic coupling approach

Pierre Terrier, Manuel Athènes, Thomas Jourdan +2

Deterministic simulations of the rate equations governing cluster dynamics in materials are limited by the number of equations to integrate. Stochastic simulations are limited by t…

stat.ML2016★ 2 cited

Recovering Multiple Nonnegative Time Series From a Few Temporal Aggregates

Jiali Mei, Yohann De Castro, Yannig Goude +1

Motivated by electricity consumption metering, we extend existing nonnegative matrix factorization (NMF) algorithms to use linear measurements as observations, instead of matrix en…

stat.CO2016★ 130 cited

Metamodel-based sensitivity analysis: Polynomial chaos expansions and Gaussian processes

L. Le Gratiet, S. Marelli, B. Sudret

Global sensitivity analysis is now established as a powerful approach for determining the key random input parameters that drive the uncertainty of model output predictions. Yet th…

q-fin.CP2016

Numerical approximation of a cash-constrained firm value with investment opportunities

Erwan Pierre, Stéphane Villeneuve, Xavier Warin

We consider a singular control problem with regime switching that arises in problems of optimal investment decisions of cash-constrained firms. The value function is proved to be t…

stat.ME2016★ 44 cited

Model Assisted Probability of Detection curves: New statistical tools and progressive methodology

Loïc Le Gratiet, Bertrand Iooss, Géraud Blatman +3

The Probability Of Detection (POD) curve is a standard tool in several industries to evaluate the performance of Non Destructive Testing (NDT) procedures for the detection of harmf…

math.NA2016★ 44 cited

A Positive and Entropy-Satisfying Finite Volume Scheme for the Baer-Nunziato Model

Frédéric Coquel, Jean-Marc Hérard, Khaled Saleh

We present a relaxation scheme for approximating the entropy dissipating weak solutions of the Baer-Nunziato two-phase flow model. This relaxation scheme is straightforwardly obtai…