113 citations · 209 across the 21 of their papers we have counts for
4 papers · 1 filter
Optimal hedging in discrete time
Bruno Rémillard, Sylvain Rubenthaler
Building on the work of Schweizer (1995) and Cern and Kallseny (2007), we present discrete time formulas minimizing the mean square hedging error for multidimensional assets. In pa…
Global solvability of a networked integrate-and-fire model of McKean-Vlasov type
François Delarue, James Inglis, Sylvain Rubenthaler +1
We here investigate the well-posedness of a networked integrate-and-fire model describing an infinite population of neurons which interact with one another through their common sta…
Perfect simulation for the Feynman-Kac law on the path space
Christophe Andrieu, Nicolas Chopin, Arnaud Doucet +1
This paper describes an algorithm of interest. This is a preliminary version and we intend on writing a better descripition of it and getting bounds for its complexity.
A Numerical Scheme for Invariant Distributions of Constrained Diffusions
Amarjit Budhiraja, Jiang Chen, Sylvain Rubenthaler
Reflected diffusions in polyhedral domains are commonly used as approximate models for stochastic processing networks in heavy traffic. Stationary distributions of such models give…