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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Some problems related to statistical error in stochastic homogenization.

Equations aux dérivées partielles, Homogenization, Homogénéisation, Inverse problem, Matériaux aléatoires, Monte Carlo methods, Méthodes de Monte Carlo, Partial differential equations, Problème inverse, Random materials, Réduction de variance, Variance reduction

Asynchronous optimization for machine learning.

Optimisation, Optimization, Parallelization, Parallélisation, Prédiction structurée, RNN, Réduction de variance, Structured prediction, Variance reduction

Stochastic algorithms for risk management and indexing of media databases.

Apprentissage automatique, Control stochastic, Contrôle stochastique, Exact simulation, Incomplete market, Indexation d'images, Machine learning, Malliavin sensitivity, Marché incomplet, Media indexing, Optimization problem, Problème d'optimisation, Quantification, Quantization, Réduction de variance, Sensibilité par Malliavin, Simulation trajectorielle exacte, Stochastic volatility, Variance reduction, Volatilité stochastique

Preliminary control variates to improve empirical regression methods.

Distribution-free theory, Empirical regression, Variance reduction

Preliminary control variates to improve empirical regression methods.

Distribution-free theory, Empirical regression, Variance reduction

Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation.

Central limit theorem, Importance Sampling, Multilevel Monte Carlo, Uniform strong large law of numbers, Variance reduction

New weak error bounds and expansions for optimal quantization.

60E99, 65C50, Monte Carlo simulation, Numerical integration, Optimal quantization, Product quantizer, Product quantizer 2010 AMS Classification 65C05, Romberg extrapolation, Variance reduction, Weak error

Functional quantization-based stratified sampling methods.

Brownian bridge, Brownian motion, Functional quantization, Gaussian process, Karhunen-Loève, Monte Carlo, Numerical integration, Option pricing, Ornstein-Uhlenbeck bridge, Ornstein-Uhlenbeck process, Path-dependent option, Principal component analysis, Product quantizer, Stratification, Variance reduction, Vector quantization, Voronoi diagram

New Weak Error bounds and expansions for Optimal Quantization.

Monte Carlo simulation, Numerical integration, Optimal quantization, Product quantizer, Romberg extrapolation, Variance reduction, Weak error

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

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

Importance Sampling and Statistical Romberg method.

Central limit theorem, Euler scheme, Heston model, Robbins-Monro, Statistical Romberg method, Stochastic algorithm, Variance reduction

Variance Reduction in Actor Critic Methods (ACM).

Actor critic method, Deep RL, Projection, Variance reduction