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Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear

Gobet, Emmanuel

1, 2016

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Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions

Mathematics of computation, 2016-05, Vol.85 (299), p.1359-1391

2016

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Estimation of extreme quantiles from heavy-tailed distributions with neural networks

Statistics and computing, 2024-02, Vol.34 (1), p.1-35, Article 12

2024

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Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression

Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability, 2016-02, Vol.22 (1), p.530-562

2016

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A Mean Field Game Model for Renewable Investment Under Long-Term Uncertainty and Risk Aversion

Dynamic games and applications, 2024, Vol.14 (5), p.1093-1130

2024

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Volatility Uncertainty Quantification in a Stochastic Control Problem Applied to Energy

Methodology and computing in applied probability, 2020-03, Vol.22 (1), p.135-159

2020

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A Regression-Based Monte Carlo Method to Solve Backward Stochastic Differential Equations

The Annals of applied probability, 2005-08, Vol.15 (3), p.2172-2202

2005

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Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations

Finance and stochastics, 2020-07, Vol.24 (3), p.633-675

2020

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Quasi-Regression Monte-Carlo Scheme for Semi-Linear PDEs and BSDEs with Large Scale Parallelization on GPUs

Archives of computational methods in engineering, 2020-07, Vol.27 (3), p.889-921

2020

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Optimal ecological transition path of a credit portfolio distribution, based on multidate Monge–Kantorovich formulation

Annals of operations research, 2024-05, Vol.336 (1-2), p.1161-1195

2024

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Weak approximation of killed diffusion using Euler schemes

Stochastic processes and their applications, 2000-06, Vol.87 (2), p.167-197

Gobet, Emmanuel

2000

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Error expansion for the discretization of backward stochastic differential equations

Stochastic processes and their applications, 2007-07, Vol.117 (7), p.803-829

2007

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THE TRACKING ERROR RATE OF THE DELTA-GAMMA HEDGING STRATEGY

Mathematical finance, 2012-04, Vol.22 (2), p.277-309

2012

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Rate of Convergence of an Empirical Regression Method for Solving Generalized Backward Stochastic Differential Equations

Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability, 2006-10, Vol.12 (5), p.889-916

2006

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Multilevel Monte Carlo methods and lower–upper bounds in initial margin computations

Monte Carlo methods and applications, 2020-06, Vol.26 (2), p.131-161

2020

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Newton Method for Stochastic Control Problems

SIAM journal on control and optimization, 2022-01, Vol.60 (5), p.2996-3025

2022

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Analytical approximations of non-linear SDEs of McKean–Vlasov type

Journal of mathematical analysis and applications, 2018-10, Vol.466 (1), p.71-106

2018

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Extended Mckean-Vlasov optimal stochastic control applied to smart grid management

ESAIM. Control, optimisation and calculus of variations, 2022-06, Vol.28, p.40

2022

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Nonparametric Estimation of Scalar Diffusions Based on Low Frequency Data

The Annals of statistics, 2004-10, Vol.32 (5), p.2223-2253

2004

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Learning extreme Expected Shortfall and Conditional Tail Moments with neural networks. Application to cryptocurrency data

Neural networks, 2024, p.1-39

2024

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Sensitivity analysis using Itô-malliavin calculus and martingales, and application to stochastic optimal control

SIAM journal on control and optimization, 2005, Vol.43 (5), p.1676-1713

2005

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Bridging socioeconomic pathways of CO2 emission and credit risk

Annals of operations research, 2024-05, Vol.336 (1-2), p.1197-1218

2024

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Bridging socioeconomic pathways of $$\textrm{CO}_2$$ emission and credit risk

Annals of operations research, 2024-05, Vol.336 (1-2), p.1197-1218

2024

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Sharp estimates for the convergence of the density of the Euler scheme in small time

Electronic communications in probability, 2008-01, Vol.13 (none), p.352-363

2008

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Local Asymptotic Mixed Normality Property for Elliptic Diffusion: A Malliavin Calculus Approach

Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability, 2001-12, Vol.7 (6), p.899-912

Gobet, Emmanuel

2001

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Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear

Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions

Estimation of extreme quantiles from heavy-tailed distributions with neural networks

Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression

A Mean Field Game Model for Renewable Investment Under Long-Term Uncertainty and Risk Aversion

Volatility Uncertainty Quantification in a Stochastic Control Problem Applied to Energy

A Regression-Based Monte Carlo Method to Solve Backward Stochastic Differential Equations

Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations

Quasi-Regression Monte-Carlo Scheme for Semi-Linear PDEs and BSDEs with Large Scale Parallelization on GPUs

Optimal ecological transition path of a credit portfolio distribution, based on multidate Monge–Kantorovich formulation

Weak approximation of killed diffusion using Euler schemes

Error expansion for the discretization of backward stochastic differential equations

THE TRACKING ERROR RATE OF THE DELTA-GAMMA HEDGING STRATEGY

Rate of Convergence of an Empirical Regression Method for Solving Generalized Backward Stochastic Differential Equations

Multilevel Monte Carlo methods and lower–upper bounds in initial margin computations

Newton Method for Stochastic Control Problems

Analytical approximations of non-linear SDEs of McKean–Vlasov type

Extended Mckean-Vlasov optimal stochastic control applied to smart grid management

Nonparametric Estimation of Scalar Diffusions Based on Low Frequency Data

Learning extreme Expected Shortfall and Conditional Tail Moments with neural networks. Application to cryptocurrency data

Sensitivity analysis using Itô-malliavin calculus and martingales, and application to stochastic optimal control

Bridging socioeconomic pathways of CO2 emission and credit risk

Bridging socioeconomic pathways of $$\textrm{CO}_2$$ emission and credit risk

Sharp estimates for the convergence of the density of the Euler scheme in small time

Local Asymptotic Mixed Normality Property for Elliptic Diffusion: A Malliavin Calculus Approach

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