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

Weak approximation of martingale representations.

Malliavin calculus, Martingale Representation Theorem, Stochastic Calculus, Stochastic Differential equations

On the support of solutions of stochastic differential equations with path-dependent coefficients.

Functional Ito calculus, Functional equations, Holder spaces, Path-dependent SDE, Semimartingales, Stochastic differential equations, Support theorem, Wiener space

Study and modeling of stochastic differential equations.

Calcul de Malliavin, Discretization schemes, Equation diffférentielles stochastiques, Estimateur de Maximum de Vraisemblance, Malliavin calculus, Maximum Likelyhood Estimator, Processus de Wishart, Schémas de discrétisation, Stochastic Differential Equations, Wishart process

Approximation and density estimation for stochastic evolution equations.

Calcul de Malliavin, Euler scheme, Malliavin calculus, Schéma d’Euler, Stochastic differential equations, Équation de la chaleur, Équation différentielle stochastique

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

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

Nonparametric estimation in a mixed-effect Ornstein–Uhlenbeck model.

Deconvolution method, Kernel estimator, Mixed-effect model, Neuronal interspike interval, Nonparametric estimation, Ornstein-Uhlenbeck process, Stochastic differential equations

Multiscale models for viscoelastic fluids.

Coupled system, Equations aux dérivées partielles, Fluide polymérique, Magnetohydrodynamic, Monte carlo method, Multiscale problem, Partial differential equations, Polymeric fluid, Problème multi-échelles, Stochastic differential equations, Système couplé, Techniques de réduction de variance, Variance reduction techniques

Computation of sensitivities for the invariant measure of a parameter dependent diffusion.

Feynman-Kac formulae, Invariant measure, Stochastic differential equations, Variance reduction

A trajectorial interpretation of the dissipations of entropy and Fisher information for stochastic differential equations.

Bakry Emery criterion, Convex Sobolev inequalities, Girsanov theory, Long-time behaviour, Stochastic differential equations, Time reversal

High weak order discretization schemes for stochastic differential equation.

Calcul de Malliavin, Discretization schemes, Equation diffférentielles stochastiques, Estimateur de Maximum de Vraisemblance, Malliavin calculus, Maximum Likelyhood Estimator, Processus de Wishart, Schémas de discrétisation, Stochastic Differential Equations, Wishart process

A general Doob-Meyer-Mertens decomposition for g-supermartingale systems.

Backward, Doob-Meyer decomposition, Non-linear expectations, Stochastic differential equations