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).


Reset

On probability distributions of diffusions and financial models with non-globally smooth coefficients.

Calcul de Malliavin, Density estimation, Equations différentielles Stochastiques, Estimation de densités, Implied volatility, Malliavin calculus, Mathematical Finance, Mathématiques financières, Stochastic Volatility, Stochastic differential equations, Volatilité implicite, Volatilité stochastique

Cross-validation and penalization for density estimation.

Adaptative estimation, Density estimation, Estimateurs linéaires, Estimation adaptative, Estimation de densité, Estimator selection, Hellinger loss, Heuristique de pente, Inégalités d'oracle, Linear estimators, Non-parametric statistics, Oracle inequalities, Penalization, Perte Hellinger, Pénalisation, Slope heuristics, Statistical algorithm selection, Statistiques non-paramétriques, Sélection d'estimateur, Sélection d'une méthode d'estimation, T-estimation, V-fold cross-validation, Validation croisée V-fold

Aggregation procedures: optimality and fast rates.

Adaptation, Classification, Density estimation, Dimension reduction, Estimation de densité, Estimation non-paramétrique, Inégalités d'oracle, Minimax rates of convergence, Non-parametric estimation, Optimality, Optimalité, Oracle inequalities, Réduction de dimension, Régression, Vitesses minimax

A note on the adaptive estimation of a bi-dimensional density in the case of knowledge of the copula density.

Copula density, Density estimation, Wavelet methods

On Adaptive Wavelet Estimation of a Class of Weighted Densities.

Block thresholding, Density estimation, Parallel system, Plug-in approach, Reliability, Series system, Wavelets, Weighted density

On the pointwise mean squared error of a multidimensional term-by-term thresholding wavelet estimator.

And phrases Pointwise mean squared error, Density estimation, Nonparametric regression, Wavelet methods

A theoretically founded over-penalization of the AIC criterion.

Akaike's information criterion, Density estimation, Histogram, Model selection, Over-penalisation

On unsupervised learning in high dimension.

Aggregation, Agr?gation, Clustering, Density estimation, Estimation de densit?, Gaussian mixtures, Grande dimension, High dimension, M?lange de gaussiennes

Bidimensional random effect estimation in mixed stochastic differential model.

Adaptive bandwidth, Density estimation, Kernel estimator, Mean integrated squared error, Mixed-effects models, Stochastic differential equations

Quantifying the Closeness to a Set of Random Curves via the Mean Marginal Likelihood.

Density estimation, Functional data analysis, Trajectory discrimination

Orthonormal Polynomial Expansions and Lognormal Sum Densities.

Archimedean copula, Conditional Monte Carlo, Density estimation, Exponential tilting, Gram–Charlier expansion, Hermite polynomial, Laguerre polynomial, Lognormal distribution, Numerical approximation of functions, Orthogonal polynomial, Stieltjes moment problem, Sums of lognormally distributed random variable

On probability distributions of diffusions and financial models with non-globally smooth coefficients.

Calcul de Malliavin, Density estimation, Equations différentielles Stochastiques, Estimation de densités, Implied volatility, Malliavin calculus, Mathematical Finance, Mathématiques financières, Stochastic Volatility, Stochastic differential equations, Volatilité implicite, Volatilité stochastique