Patrimony

The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).


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Some results on the McKean–Vlasov optimal control and mean field games : Limit theorems, dynamic programming principle and numerical approximations.

Approximations numériques, Jeux à champ moyen, McKean--Vlasov equations, Mean field game, Nash equilibria, Neural networks, Numerical approximation, Pareto equilibria, Problème de contrôle stochastique, Réseaux de neurones, Stochastic control problem, Stochastic differential equation, Équation différentielle stochastique, Équations de McKean--Vlasov, Équilibres de Nash, Équilibres de Pareto

Estimating functions for SDE driven by stable Lévy processes.

Estimating functions, Lévy process, Malliavin Calculus, Parametric infer- ence, Parametric inference, Stable process, Stochastic Differential Equation

Joint estimation for SDE driven by locally stable Lévy processes.

Estimating functions, Lévy process, Parametric inference, Stable process, Stochastic Differential Equation

Estimating functions for SDE driven by stable Lévy processes.

Estimating functions, Lévy process, Malliavin Calculus, Parametric infer- ence, Parametric inference, Stable process, Stochastic Differential Equation

Day-Ahead Probabilistic Forecast of Solar Irradiance: A Stochastic Differential Equation Approach.

Probabilistic forecast, Solar power, Stochastic differential equation

Day-ahead probabilistic forecast of solar irradiance: a Stochastic Differential Equation approach.

Probabilistic forecast, Solar power, Stochastic differential equation

Conic Martingales from Stochastic Integrals.

Bounded martingale, Diffusion process, Stochastic differential equation, Stochastic survival probability

Conic martingales from stochastic integrals.

Bounded martingale, Diffusion process, Stochastic differential equation, Stochastic survival probability

A mixed-step algorithm for the approximation of the stationary regime of a diffusion.

Central Limit Theorem, Ergodic diffusion, Euler scheme, Poisson equation, Stationary process, Steady regime, Stochastic differential equation

Applications of the error theory using Dirichlet forms.

Biais, Bias, Bid-ask spread, Calcul d’erreur, Dirichlet form, Dirichlet, Formes de, EDP non-linéaires, Equations aux dérivées partielles, Equations différentielles stochastiques, Equations stochastiques aux dérivées partielles, Error calculus financial model, Financial model, Liquidity model, Modèles de liquidité, Modèles financières, Non-linear PDE, Opérateur carré du champ, Partial differential equation, Sensibilité, Sensitivity, Stochastic differential equation, Stochastic partial differential equation

Applications of the error theory using Dirichlet forms.

Biais, Bias, Bid-ask spread, Calcul d’erreur, Dirichlet, Dirichlet form, EDP non-linéaires, Equations aux dérivées partielles, Equations différentielles stochastiques, Equations stochastiques aux dérivées partielles, Error calculus financial model, Financial model, Formes de, Liquidity model, Modèles de liquidité, Modèles financières, Non-linear PDE, Opérateur carré du champ, Partial differential equation, Sensibilité, Sensitivity, Stochastic differential equation, Stochastic partial differential equation

Non-parametric estimation of the density of hidden random variables.

Estimateur à noyau, Estimation non-paramétrique, Kernel estimator, Mixed models, Modèles mixtes, Méthode de sélection, Nonparametric estimation, Parameter selection, Stochastic differential equation, Équations différentielles stochastiques