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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Quantifying uncertainty in asset management : Kernel methods and statistical fluctuations.

Concentration Inequalities, Covariance matrix estimation, Estimation de la matrice de covariance, Heavy tails, Inégalité de concentration, Kernel methods, Méthodes à noyau, Portfolio theory, Quantification d'incertitudes, Queues épaisses, Théorie du portefeuille, Uncertainty Quantification

Quantifying uncertainties in asset management: kernel methods and statistical fluctuations.

Concentration Inequalities, Covariance matrix estimation, Estimation de la matrice de covariance, Heavy tails, Inégalité de concentration, Kernel methods, Méthodes à noyau, Portfolio theory, Quantification d'incertitudes, Queues épaisses, Théorie du portefeuille, Uncertainty Quantification

Uncertainty Quantification for Stochastic Approximation Limits Using Chaos Expansion.

Almost-sure convergence, Chaos expansion, Stochas-tic Programming, Stochastic Approximation in Hilbert space, Uncertainty Quantification

Discretization of processes with stopping times and uncertainty quantification for stochastic algorithms.

Algorithmes stochastiques, Discretisation, Discretization, Optimisation, Optimization, Processus stochastiques, Quantification d'incertitude, Stochastic algorithms, Stochastic processes, Stopping time, Temps d'arret, Uncertainty quantification

Volatility Uncertainty Quantification in a Stochastic Control Problem Applied to Energy.

Chaos expansion, Monte Carlo simulations, Stochastic control, Stochastic programming, Swing options, Uncertainty quantification

Volatility uncertainty quantification in a stochastic control problem applied to energy.

Chaos expansion, Monte Carlo simulations, Stochastic control, Stochastic programming, Swing options, Uncertainty quantification

Uncertainty and robustness analysis for models with functional inputs and outputs.

Inversion, Quantification des incertitudes, Response surfaces, Surfaces de réponses, Uncertainty Quantification

Numerical analysis of random derivative equations, applications to hydrogeology.

Coefficient lognormal, Développement de Karhunen-Loève, Euler scheme for stochastic differential equations, Finite element method, Karhunen-Loève expansion, Lognormal coefficient, Monte-Carlo method, Multilevel Monte-Carlo method, Méthode de Monte-Carlo, Méthode de Monte-Carlo multi-niveaux, Méthode de collocation stochastique, Méthode d’éléments finis, Quantification des incertitudes, Schéma d’Euler pour des équations différentielles stochastiques, Stochastic collocation method, Uncertainty quantification

Discretization of processes at stopping times and Uncertainty quantification of stochastic approximation limits.

Algorithmes stochastiques, Discretisation, Discretization, Optimisation, Optimization, Processus stochastiques, Quantification d'incertitude, Stochastic algorithms, Stochastic processes, Stopping time, Temps d'arret, Uncertainty quantification