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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Random polynomials, Coulomb gas, and random matrices.

Coulomb gas, Gaz de Coulomb, Grandes déviations, Large deviations, Matrices aléatoires, Polynômes aléatoires, Random matrices, Random polynomials

Coulomb gases under constraint: some theoretical and numerical results.

Conditioning, Constrained dynamics, Coulomb gases, Gibbs principle, Large deviations, Numerical simulation, Random matrices

First-order global asymptotics for confined particles with singular pair repulsion.

Coulomb interaction, Equilibrium measure, Interacting particle systems, Large deviations, Mean field limit, Potential theory, Riesz kernel

Seminar of Probability XLIX.

Diffusion processes, Large deviations, Martingale Theory, Quasi-stationary Distribution, Random Matrices, Stochastic processes

Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing.

Basket options, Implied volatility, Importance sampling, Large deviations, Wishart process

Large Deviations for Non-Markovian Diffusions and a Path-Dependent Eikonal Equation.

Backward stochastic differential equations, Large deviations, Viscosity solutions of path dependent PDEs

Large deviations for the Ornstein–Uhlenbeck process without tears.

Large deviations, Maximum likelihood estimates, Ornstein-Uhlenbeck process

Long Time Asymptotics for Optimal Investment.

Ergodic HJB equation, Large deviations, Long-term investment, Risk-sensitive control

Long time asymptotics for optimal investment.

Ergodic HJB equation, Large deviations, Long-term investment, Risk-sensitive control