57 citations · 266 across the 32 of their papers we have counts for
5 papers · 1 filter
Numerical methods for piecewise deterministic Markov processes with boundary
Ludovic Goudenège
In this paper is described the general aspect of a numerical method for piecewise determin-istic Markov processes with boundary. Under very natural hypotheses, a crucial result abo…
Statistical and probabilistic modeling of a cloud of particles coupled with a turbulent fluid
Ludovic Goudenège, Adam Larat, Julie Llobell +4
This paper exposes a novel exploratory formalism, which end goal is the numerical simulation of the dynamics of a cloud of particles weakly or strongly coupled with a turbulent flu…
Computing Credit Valuation Adjustment solving coupled PIDEs in the Bates model
Ludovic Goudenège, Andrea Molent, Antonino Zanette
Credit value adjustment (CVA) is the charge applied by financial institutions to the counterparty to cover the risk of losses on a counterpart default event. In this paper we estim…
Weak convergence rates of splitting schemes for the stochastic Allen-Cahn equation
Charles-Edouard Bréhier, Ludovic Goudenège
This article is devoted to the analysis of the weak rates of convergence of schemes introduced by the authors in a recent work, for the temporal discretization of the stochastic Al…
Analysis of Some Splitting Schemes for the Stochastic Allen-Cahn Equation
Charles-Edouard Bréhier, Ludovic Goudenège
We introduce and analyze an explicit time discretization scheme for the one-dimensional stochastic Allen-Cahn, driven by space-time white noise. The scheme is based on a splitting…