60 citations · 107 across the 25 of their papers we have counts for
11 papers · 1 filter
Exponential twist of probability measures: drift correction in term of a generalized gradient
Thibaut Bourdais, Nadia Oudjane, Francesco Russo
In this paper we study the exponential twist, i.e. a path-integral exponential change of measure, of a Markovian reference probability measure . This type of transformation natu…
A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems
Lucas Izydorczyk, Nadia Oudjane, Francesco Russo
We propose a fully backward representation of semilinear PDEs with application to stochastic control. Based on this, we develop a fully backward Monte-Carlo scheme allowing to gene…
McKean Feynman-Kac probabilistic representations of non-linear partial differential equations
Lucas Izydorczyk, Nadia Oudjane, Francesco Russo
This paper presents a partial state of the art about the topic of representation of generalized Fokker-Planck Partial Differential Equations (PDEs) by solutions of McKean Feynman-K…
On the well-posedness of a class of McKean Feynman-Kac equations
Jonas Lieber, Nadia Oudjane, Francesco Russo
We analyze the well-posedness of a so called McKean Feynman-Kac Equation (MFKE), which is a McKean type equation with a Feynman-Kac perturbation. We provide in particular weak and…
Monte-Carlo Algorithms for Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations
Anthony Le Cavil, Nadia Oudjane, Francesco Russo
The paper is devoted to the construction of a probabilistic particle algorithm. This is related to nonlin-ear forward Feynman-Kac type equation, which represents the solution of a…
Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations
Anthony Le Cavil, Nadia Oudjane, Francesco Russo
We discuss numerical aspects related to a new class of nonlinear Stochastic Differential Equations in the sense of McKean, which are supposed to represent non conservative nonlinea…
Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations
Anthony Lecavil, Anthony Le Cavil, Nadia Oudjane +1
We propose a nonlinear forward Feynman-Kac type equation, which represents the solution of a non-conservative semilinear parabolic Partial Differential Equations (PDE). We show in…
Branching diffusion representation of semilinear PDEs and Monte Carlo approximation
Pierre Henry-Labordere, Nadia Oudjane, Xiaolu Tan +2
We provide a representation result of parabolic semi-linear PD-Es, with polynomial nonlinearity, by branching diffusion processes. We extend the classical representation for KPP eq…
Unbiased Monte Carlo estimate of stochastic differential equations expectations
Mahamadou Doumbia, Nadia Oudjane, Xavier Warin
We develop a pure Monte Carlo method to compute where is a bounded and Lipschitz function and an Ito process. This approach extends a previously proposed meth…
Probabilistic representation of a class of non conservative nonlinear Partial Differential Equations
Anthony Lecavil, Nadia Oudjane, Francesco Russo
We introduce a new class of nonlinear Stochastic Differential Equations in the sense of McKean, related to non conservative nonlinear Partial Differential equations (PDEs). We disc…
On some expectation and derivative operators related to integral representations of random variables with respect to a PII process
Stéphane Goutte, Nadia Oudjane, Francesco Russo
Given a process with independent increments (not necessarily a martingale) and a large class of square integrable r.v. , being the Fourier transform of a finite m…