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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Ninomiya-Victoir scheme : strong convergence, asymptotics for the normalized error and multilevel Monte Carlo methods.

Convergence forte, Convergence stable en loi, Multilevel Monte Carlo methods, Méthodes de Monte Carlo multi-Pas, Ninomiya-Victoir scheme, Schéma de Ninomiya-Victoir, Simulation, Stable convergence in law, Strong convergence

Multilevel Richardson–Romberg extrapolation.

Euler scheme, Multi-Step, Multilevel Monte Carlo methods, Nested Monte Carlo method, Option pricing, Richardson-Romberg Extrapolation, Stratification

Limit theorems for weighted and regular Multilevel estimators.

Central Limit Theorem, Euler scheme, Law of large numbers, Multilevel Monte Carlo methods, Nested Monte Carlo, Richardson- Romberg extrapolation

Ninomiya-Victoir scheme : strong convergence, asymptotics for the normalized error and multilevel Monte Carlo methods.

Convergence forte, Convergence stable en loi, Multilevel Monte Carlo methods, Méthodes de Monte Carlo multi-Pas, Ninomiya-Victoir scheme, Schéma de Ninomiya-Victoir, Simulation, Stable convergence in law, Strong convergence

Ninomiya–Victoir scheme: Strong convergence, antithetic version and application to multilevel estimators.

Discretisation of SDEs, Multilevel Monte Carlo methods, Ninomiya–Victoir scheme, Strong convergence

Non-asymptotic error bounds for the multilevel Monte Carlo Euler method applied to SDEs with constant diffusion coefficient.

Euler scheme, Malliavincalculus, Multilevel Monte Carlo methods, Non asymptotic bounds

Multilevel Monte Carlo methods and statistical inference for financial models.

Algorithmes stochastiques, Calcul de Malliavin, Finance Quantitative, Functional limit theorems, Jump processes, Malliavin calculus, Multilevel Monte Carlo, Multilevel Monte Carlo methods, Numerical probabilities, Probabilités numériques, Processus de branchement-diffusion, Processus à sauts, Statistics of processes for financial models, Statistique des processus, Stochastic algorithms, Théorèmes limites fonctionnels