69 citations · 293 across the 53 of their papers we have counts for
4 papers · 1 filter
Adaptive optimal allocation in stratified sampling methods
Pierre Etore, Benjamin Jourdain
In this paper, we propose a stratified sampling algorithm in which the random drawings made in the strata to compute the expectation of interest are also used to adaptively modify…
Nonlinear SDEs driven by Lévy processes and related PDEs
Benjamin Jourdain, Sylvie Méléard, Wojbor Woyczynski
In this paper we study general nonlinear stochastic differential equations, where the usual Brownian motion is replaced by a Lévy process. We also suppose that the coefficient mult…
Exact retrospective Monte Carlo computation of arithmetic average Asian options
Benjamin Jourdain, Mohamed Sbai
Taking advantage of the recent litterature on exact simulation algorithms (Beskos, Papaspiliopoulos and Roberts) and unbiased estimation of the expectation of certain fonctional in…
Propagation of chaos and Poincaré inequalities for a system of particles interacting through their cdf
Benjamin Jourdain, Florent Malrieu
In the particular case of a concave flux function, we are interested in the long time behaviour of the nonlinear process associated to the one-dimensional viscous scalar conservati…