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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Bridging the Gap between Constant Step Size Stochastic Gradient Descent and Markov Chains.

Markov chains, Stocahstic gradient descent

Optimal Claiming Strategies in Bonus Malus Systems and Implied Markov Chains.

Bonus malus, Markov chains

Optimal Claiming Strategies in Bonus Malus Systems and Implied Markov Chains.

Bonus malus, Markov chains

Optimal Claiming Strategies in Bonus Malus Systems and Implied Markov Chains.

Bonus malus, Markov chains

Study of new rare event simulation schemes and their application to extreme scenario generation.

Ergodic properties, Extreme scenario, Interacting particle systems, Markov chains, Rare event

Rare event simulation related to financial risks: efficient estimation and sensitivity analysis.

Credit default swaps, Deep out-of-the-money options, Ergodic properties, Fractional Brownian motion, Interacting particle systems, Malliavin calculus, Markov chains, Model misspecification, Monte Carlo simulation, Rare event, Sensitivity analysis

On a Monotone Dynamic Approach to Optimal Stopping Problems for Continuous-Time Markov Chains.

American option pricing, Markov chains, Optimal Stopping

Numerical Computations for Backward Doubly Stochastic Differential Equations and Nonlinear Stochastic PDEs.

Algorithme de Hastings- Metropolis, Backward Doubly Stochastic Differential Equations, Chaînes dee Markov, Equations aux dérivées partielles stochastiques nonlinéaires, Equations différentielles doublement stochastiques rétrogrades, Generalized Backward Doubly Stochastic Differential Equations, Hastings-Metropolis algorithm, Interacting particle systems, Markov chains, Monte-Carlo simulations, Projections, Quasilinear Stochastic PDEs, Régression, Semilinear Stochastic PDEs, Simulations de Monte-Carlo, Système de particules en intéraction

Processes and risk indicators in non-life insurance and food safety.

Assurance non-Vie, Chaînes de Markov, Heavy tail phenomena, Markov chains, Non life insurance mathematics, Phénomènes à queues lourdes, Rare events, Regular variation, Risk theory, Risque alimentaire, Variations régulières, Événements rares